Schindler Trading up 17% YTD

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Quote from BlindLemonBoosh:

5 year performance (2003-2007, CAR):
DJ Wilshire 5000: 12.2%
Schindler Trading: 5.3%
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How are you calculating that 5.3% return? I get 7.7% CAGR for 5 years ending 12/31/07. Take the total return of 44.94% (after fees) and then annualize it (1.4494)^(1/5)-1 to get 7.7%.

Keep in mind that this return is uncorrelated with the stock market. So the highest return-to-risk portfolio isn't the stock market or Schindler Trading, but a combination of both. (See the chart below).

<img src="http://www.schindlertrading.com/include/content/divers7.gif" width="495" height="315" alt="" border="0">

And like you say (and also thanks to Powerfade), Schindler Trading compares favorably if you include a bear market (again, because of the non-correlation). Since inception 7 years ago Schindler Trading is up 220% versus 43% for the S&P 500.

Aaron Schindler
Schindler Trading

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
FUTURES TRADING IS SPECULATIVE AND INVOLVES A HIGH DEGREE OF RISK.
 
Quote from Aaron:

How are you calculating that 5.3% return? I get 7.7% CAGR for 5 years ending 12/31/07. Take the total return of 44.94% (after fees) and then annualize it (1.4494)^(1/5)-1 to get 7.7%.

Keep in mind that this return is uncorrelated with the stock market. So the highest return-to-risk portfolio isn't the stock market or Schindler Trading, but a combination of both. (See the chart below).

<img src="http://www.schindlertrading.com/include/content/divers7.gif" width="495" height="315" alt="" border="0">

And like you say (and also thanks to Powerfade), Schindler Trading compares favorably if you include a bear market (again, because of the non-correlation). Since inception 7 years ago Schindler Trading is up 220% versus 43% for the S&P 500.

Aaron Schindler
Schindler Trading

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
FUTURES TRADING IS SPECULATIVE AND INVOLVES A HIGH DEGREE OF RISK.
More...


Classy reply and nice performance. I wish you the best in 08 ; I’ve read and heard only good opinions about you from few ET’s that I respect ( riskarb , Mav , Readon)
 
Couch quarterbacks should just stick to playing with themselves in their armchairs since that's all they have experience with. Aaron, the oil trade was ugly but it is easy to understand why you were in it. Hopefully you took something of future value away from it.

:D
 
Quote from Aaron:

How are you calculating that 5.3% return? I get 7.7% CAGR for 5 years ending 12/31/07. Take the total return of 44.94% (after fees) and then annualize it (1.4494)^(1/5)-1 to get 7.7%.
More...

Sorry to answer a question with a question, but, where are you getting a total return of 44.94% from?

The (last 5 year) returns listed on your website are:
+2.3%
+7.3%
+6.3%
+20.5%
-8.1%

This doesn't compound up to +44.94%

Quote from Aaron:

And like you say (and also thanks to Powerfade), Schindler Trading compares favorably if you include a bear market (again, because of the non-correlation). Since inception 7 years ago Schindler Trading is up 220% versus 43% for the S&P 500.
More...

A caveat: the ratio of cumulative bear market duration to cumulative bull market duration is quite a bit higher for late 2001 through 2007 than for many longer time frames, such as 1982 through 2007. So, your excellent bear market results might be positively influencing your results more than they would 'normally'. Additionally, from what I understand (please let me know if I'm wrong here), your risk management is generally more stringent these days than it was during 2001-2002. As such, I believe that you will be hard pressed to replicate those numbers in future bear markets (without re-upping your risk level).

I hope that I'm not pestering you too much here. :)
 
Quote from Aaron:



<img src="http://www.schindlertrading.com/include/content/divers7.gif" width="495" height="315" alt="" border="0">

...
More...
Did you change your fund's characteristics, I could have sworn that you said your fund moved in invert direction of SP500?
 
Quote from BlindLemonBoosh:

Sorry to answer a question with a question, but, where are you getting a total return of 44.94% from?

The (last 5 year) returns listed on your website are:
+2.3%
+7.3%
+6.3%
+20.5%
-8.1%

This doesn't compound up to +44.94%
More...

Ah, thank you. It was a 44.94% 5 year return as of 11/30/2007 but in December the +14.5% gain in 12/02 dropped out of the 5 year result and was replaced by a +2.0% gain in 12/2007 for a 29.3% 5 year return. I was using old data. You are correct, BLB.
 
Quote from nkhoi:

Did you change your fund's characteristics, I could have sworn that you said your fund moved in invert direction of SP500?
More...

There is no particular negative correlation between Schindler Trading and the S&P500, but there is no particular positive correlation either -- it's close to no correlation in either direction.

If you are looking at the chart, keep in mind that there will be a strong correlation between the S&P500 and a 90/10 combination of the S&P500 plus Schindler Trading because the latter is still 90% invested in the S&P500.

The point of the chart is to show that a small allocation to a risky but uncorrelated asset like managed futures, as represented by Schindler Trading, can both increase long term returns while at the same time reducing risk. Diversification is the only free lunch in finance. See http://en.wikipedia.org/wiki/Diversification_(finance)
 
imho to aaron,

you should not post here.

a. you are already regulated by the NFA, by spending time arguing with dectactors on this board, you may get tripped.

"never argue with an idiot. For you will lose....cause he has spend more time being an idiot"

b. fund managers should not be on sites like this. it makes your product seem less than "A class"

just some thoughts.
 
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