Jan

31

I thought it would be useful to look at the long term drift and variability of holding futures contracts in various markets from the beginning of this century to current spanning a nine year period with 2250 observations each.

market     mean/dy    % up   s.d.     base                                        

S&P            -04            52     154      10000                                      

Nasdaq       -01            52      51       1000                                     

dax           -02             51      79       5000                                     

eurost       -01              59      51       2500                                     

russel         00              53      76       4500                                    

crude oil      -04            51      95       3572                                    

nat  gas       -05           49     242       6000                                    

gold            02             53      76       7500                                    

eurodllr        02            51       75      14000                                    

dllr/yen        -01           50       72       10000                                    

bond           03             53      65       12000                                    

bund           02             53      35       12000        

Some regularities appear. The stand deviation of nas and nat gas are much higher relative to their mean level at 5% than the others. The least volatile market is bunds which varies just 0.3% a day relative to its mean. Crude varies 2.5% a day. The S&P varies 154 points a day. That's 15.4 big points , i.e. a move from 1000 to 1015.4, a variability of about 1.5% a day which is average for all markets. There is no tendency for upward drift in stock markets from the beginning of 2000 or from other starting points back to year end 1995. There has been adrift of bonds and bunds up, oil and natural gas down.


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