Fully automated futures trading

globalarbtrader said:
Let's test this properly. If you regress vol normalise total returns (y axis) against current interest rate level (x axis) you will find there is a positive relationship (low rates, low returns) for long holding periods (1 year plus) BUT:

  • the relationship is much weaker at shorter holding periods that are more relevant for traders
  • the paucity of data for very low interest rates means that the statistical evidence is weaker here

The above argues for a small bias, however I'd prefer to incorporate this as another trading rule (which could be extremely simple) and let my portfolio allocation decide automatically how good it is.

GAT
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Got it GAT. I'll play around with the numbers. Thanks.
 
globalarbtrader said:
I stick to buying UK listed ETFs in the UK. However the vast majority of these are domiciled in Ireland or Luxembourg. Neither of these places charges any withholding tax, at least on the ETFs I own. This makes them tax wise foreign funds on which there is zero tax, so I just declare them on my tax form and then have to pay dividends at the UK rate (Capital gains is the same, regardless).

I'm not an expert on the tax situation for US investors, however AFAIK there is no withholding tax on Irish ETFs at source so I would imagine it would be the same.

This was top of google:

https://www2.deloitte.com/ie/en/pages/financial-services/articles/taxation-of-irish-etfs.html

GAT
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Thanks for your reply. I've already came across your link. I guess my question was stated vaguely. Let me retry. For sake of simplicity let's consider a UK listed ETF domiciled in Ireland investing in US equity. I do agree that you don't pay any Irish withholding tax. By declaring them on your tax form you only pay UK tax on them. However, you don't get 100% of the distributed dividends. As mentioned in the your link from Deloitte:

Deloitte tax information said:
Treaty Access
Another major attraction for ETFs establishing in Ireland is the existence of an extensive network of tax treaties with key jurisdictions worldwide. Such tax treaties enable ETFs to access the double taxation treaties where the fund has invested. In particular, Irish ETFs can benefit from the US/Ireland double tax treaty which reduces standard withholding tax rates from 30% to zero on US-source interest and 15% on US-source dividends.
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So the fund gets only 85% of divs on which you then pay zero withholding tax to Ireland as said above. However, this 15% on the Fund level are lost and you pay then taxes on the remaining 85% in the UK, too. Now, at least in my home country (Switzerland) there is the following option: I could directly buy a US listed ETF. This has the advantage of lower minimum order amount (at IB). The US listed ETF pays 0 withholding tax to the US govi. Since there is a tax treaty between US and CH I get charged only 15% withholding tax. This can be done via IB using the W-8BEN form:

https://www.interactivebrokers.com/en/index.php?f=tax&p=nonus&conf=am

Up to this point we didnt gain anything (except smaller minimum order amount 1USD vs 10CHF). However, I've still lost this 15%. I can reclaim it on my Swiss tax form by getting a tax credit on my next tax bill. After all I really just pay CHF tax on the divs without double taxation.

It is quite an administrative effort required. On the other hand I'm obsessed with cost so I think it is worth looking into it. My question was therefore if you weren't aware of such a thing (not sure if you could reclaim the remaining 15% as an UK investor) or if its just not worth the hassle, i.e. stick to Irish domiciled ETF listed on an exchange in your home country.

If it is off topic here, let me know and I will remove this post.

cheers
 
canicola said:
Thanks for your reply. I've already came across your link. I guess my question was stated vaguely. Let me retry. For sake of simplicity let's consider a UK listed ETF domiciled in Ireland investing in US equity. I do agree that you don't pay any Irish withholding tax. By declaring them on your tax form you only pay UK tax on them. However, you don't get 100% of the distributed dividends. As mentioned in the your link from Deloitte:



So the fund gets only 85% of divs on which you then pay zero withholding tax to Ireland as said above. However, this 15% on the Fund level are lost and you pay then taxes on the remaining 85% in the UK, too. Now, at least in my home country (Switzerland) there is the following option: I could directly buy a US listed ETF. This has the advantage of lower minimum order amount (at IB). The US listed ETF pays 0 withholding tax to the US govi. Since there is a tax treaty between US and CH I get charged only 15% withholding tax. This can be done via IB using the W-8BEN form:

https://www.interactivebrokers.com/en/index.php?f=tax&p=nonus&conf=am

Up to this point we didnt gain anything (except smaller minimum order amount 1USD vs 10CHF). However, I've still lost this 15%. I can reclaim it on my Swiss tax form by getting a tax credit on my next tax bill. After all I really just pay CHF tax on the divs without double taxation.

It is quite an administrative effort required. On the other hand I'm obsessed with cost so I think it is worth looking into it. My question was therefore if you weren't aware of such a thing (not sure if you could reclaim the remaining 15% as an UK investor) or if its just not worth the hassle, i.e. stick to Irish domiciled ETF listed on an exchange in your home country.

If it is off topic here, let me know and I will remove this post.

cheers
More...

In those circumstances I'd get tax relief based on the 15% already paid when I did my UK tax return. Since brokerage statements show the foreign tax paid this is quite easy (easier than filling in a W-8BEN).

Note also that under MFID2 it will shortly become much harder to buy many US ETFs from the EU as they don't include the appropriate disclosures (and may not bother do add them if their EU business isn't large enough). Don't know if this applies in Switzerland, or a post Brexit UK, but is a pain for me now.

Agree that US tax is a pain; I do some consultancy for a US fund and it's certainly a PITA.

GAT
 
Does anybody here happen to have the daily USD-GBP exchange rate going back to 1960, or know where I could get it at reasonable cost? (Quandl doesn't seem to have it going back so far).
 
I assume you're an academic (who else cares about data from 1960?). Any of the major vendors will work with you on your data needs for the paper.
 
Hi guys

for iterating through futures contract in a futures chain, do I have to build a static database with the months, expiry dates before I can achieve this ? Is it easier to do this by hardcoding the contract months or writing some formula to get this done?
 
traider said:
Hi guys

for iterating through futures contract in a futures chain, do I have to build a static database with the months, expiry dates before I can achieve this ? Is it easier to do this by hardcoding the contract months or writing some formula to get this done?
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The approach I took was to scrape the exchange website and parse the HTML table to get the active contracts. I did this to reduce dependency on IB API, but this data is available through the the IB API if you so wish.
 
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