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Well the easiest thing to do is infer from the futures price... Otherwise you'd need a schedule of all the firms in the index with their ex-divi and divi payment dates, and expected amounts. Good luck with that, especially for Korea. Perhaps if you'd share why you want to do this I could...

There is a small mistake and a big mistake in your calculation. The small mistake is using risk free; should be whatever you could earn if you lent out the stock. The big mistake is dividends which are responsible for about 3 points extra (yield is about 4.8% or 1.1% over 81 days; in reality it...

I don't fit system parameters, only capital allocation. You can design systems on completely random data but you can't really fit them. That's the difference between finding desirable parameters and finding optimal parameters. GAT

I wouldn't touch social trading with a bargepole. GAT

Absolutely fine to post sensible and helpful comments like that on this thread. GAT

It's the interaction of the auction calendar and the futures rolls. GAT

Yes exactly the latter.

Because of the low frequency you won't get statistical significance unless there is a strong effect: and there isn't a strong effect. GAT

You're right - good spot. The way to deal with this is to work out the p&l of each strategy individually, measure the vol, and then take that into account in the allocation of forecast weights. Personally I don't bother since I only have a couple of cross sectional strategies whose vol isn't...

Things like payroll, ISM, you mean? I spent a few years looking at this. I found that the market leads the indicator not the other way round. Personally I wouldn't waste my time on this. GAT

I have thought about this for 5 minutes and I don't think it does. But if you disagree maybe you can provide a numerical example? GAT

This is a well known effect in german bonds. Use some kind of smoothing. A moving average with a length of 180 days would remove this effect. FYI I use an exponentially weighted moving average of carry, with various different periods. The slowest smooth is 10 business days, the slowest about...

Can you give me an example? GAT

Different kind of quant (trading system design, not pricing). Relax. GAT

I can't think of any. has some stuff. @bone might be able to help. Perhaps this is another book I could write... GAT

This will be in NYC at the end of April http://quantcon.com/ One of the speakers may look familiar :-) GAT

Some good points already made. Two more: - first and most obviously there is a wider choice of spot fx than in IMM futures - if you are holding overnight the interest rate margins on spot FX are ridiculous. Let me elaborate. When you buy USD you are effectively borrowing GBP (and being...

Not exactly. AG was very careful in his posting: I will now put my bond nerd hat on. To be nitpicky the difference between say Z16 and H17 10 year bond futures is roughly (assuming they have the same deliverable bond and let's assume it has 9 year maturity): the difference between a 3 month...

Oh sorry. It's the annualised calendar spread normalised by vol to be a Sharpe Ratio, so the carry signal basically. GAT

I don't agree or disagree but frankly I don't worry about this kind of stuff. There are just too many variables going into why a price may or may not move, or why a particular system may or may not make money. I've never found strong evidence that the performance of a particular system can be...