Never Tell Me The Odds

2 comments

  1. I was unsure initially on the rarity as its not too clear on highlighting that you are talking about conditional probability. Namely that 1 in 5 months might be >5% down intra-month but it is only 10% or so of those months that then recover to positive territory. So overall it is closer to 2% of all months where we see this happen (so one month in 4 years or so) as we need to multiply the two together. More for the bottom two tables as its unclear they are conditional since they still say they are ‘out of 1378’ months whereas depending on the conditioning level chosen, the probabilities quoted are out of different, smaller subsets of months. [ The NYSE was also closed 100 years ago this year from july 30th to Dec 12th 1914, though this doesn’t really alter the denominator by much. Unless you’re using GFD’s data collected from brokers trading off exchange during the period to fill the gap.]

  2. We admit to taking some poetic license on saying how ‘rare’ of a bounce it was, and were mainly interested in highlighting what percent of months saw bounce backs, and bounces back to positive territory. And good catch, we did make an error labeling the bottom two charts ‘out of 1378 months’. The actual number of months ranges from 961 (1%) to 3 (30%). As for the NYSE closed 100 years ago, we weren’t around back then… but our data set did include monthly gains/losses for that period for the Dow Jones Industrial Average. We’ll research how they got those numbers. Thanks.

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Disclaimer
The performance data displayed herein is compiled from various sources, including BarclayHedge, and reports directly from the advisors. These performance figures should not be relied on independent of the individual advisor's disclosure document, which has important information regarding the method of calculation used, whether or not the performance includes proprietary results, and other important footnotes on the advisor's track record.

Benchmark index performance is for the constituents of that index only, and does not represent the entire universe of possible investments within that asset class. And further, that there can be limitations and biases to indices such as survivorship, self reporting, and instant history.

Managed futures accounts can subject to substantial charges for management and advisory fees. The numbers within this website include all such fees, but it may be necessary for those accounts that are subject to these charges to make substantial trading profits in the future to avoid depletion or exhaustion of their assets.

Investors interested in investing with a managed futures program (excepting those programs which are offered exclusively to qualified eligible persons as that term is defined by CFTC regulation 4.7) will be required to receive and sign off on a disclosure document in compliance with certain CFT rules The disclosure documents contains a complete description of the principal risk factors and each fee to be charged to your account by the CTA, as well as the composite performance of accounts under the CTA's management over at least the most recent five years. Investor interested in investing in any of the programs on this website are urged to carefully read these disclosure documents, including, but not limited to the performance information, before investing in any such programs.

Those investors who are qualified eligible persons as that term is defined by CFTC regulation 4.7 and interested in investing in a program exempt from having to provide a disclosure document and considered by the regulations to be sophisticated enough to understand the risks and be able to interpret the accuracy and completeness of any performance information on their own.

RCM receives a portion of the commodity brokerage commissions you pay in connection with your futures trading and/or a portion of the interest income (if any) earned on an account's assets. The listed manager may also pay RCM a portion of the fees they receive from accounts introduced to them by RCM.

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