John
Lothian's Daily Futures & Securities Industry Newsletter
March 1, 2002
Lead
Stories
CBOT
Electronic Trading Sets Daily Trading Record - 02.28.2002
CBOT’s Electronic Trading Platform Sets New Daily Trading Record; Total
Exchange Volume Tops 2.2 Million
http://www.cbot.com/cbot/www/cont_detail/0,1493,10+24+109+6082,00.html
CME
Posts Record Globex® Electronic Volume as E-Mini S&P 500, E-Mini Nasdaq-100
Futures Set Volume Records (02/28/02)
Trading volume on GLOBEX®, the electronic trading platform of Chicago
Mercantile Exchange Inc. (CME), posted a new record yesterday, with 672,931
contracts traded. This record surpasses the previous record of 652,220
contracts set on Jan. 30.
http://www.cme.com/news/shownews.cfm?NewsItem=0004871A-7780-1C7E-876680EDBEFB0000
Neubauer
Cites CBOT Accomplishments at Annual Meeting - 02.28.2002
Neubauer Cites Exchange Accomplishments at CBOT Annual Meeting;
Talks About CBOT Market Integrity and Liquidity in Light of Enron Debacle.
http://www.cbot.com/cbot/www/cont_detail/0,1493,10+24+109+6083,00.html
Touch-ups
delaying CBOT for-profit makeover
http://www.chicagotribune.com/business/chi-0203010240mar01.story?coll=chi%2Dbusiness%2Dhed
LIFFE
launches Four New Individual Equity Options
http://www.liffe.com/press/releases/020301.htm
Japanese
Crackdown on Short-selling continues: A Busy Day
http://www.hedgeworld.com/news/read_news.cgi?section=intl&story=intl5556.html
TowerGroup
Announces 2002 Conference Theme - 'New Realities: Business & Technology
Strategies For Excellence' (PR Newswire)
... consumer and commercial electronic payment technologies, the evolution of
ECNs, anti-money laundering technology, new
approaches to risk management,...
http://biz.yahoo.com/prnews/020225/nym061_1.html
Financial
Industry To Serve a Watchdog Role In USA PATRIOT Act
Bankers and regulators at a BAFT conference discuss the strategic issues facing
the industry in the new regulatory and economic environment.
http://www.wallstreetandtech.com/story/topNews/WST20020228S0006
Reminder
Of FCOJ Trading Hours
http://www.nybot.com/pressRelease.asp?releaseID=394
President's
Letter - 3/01/02
http://www.nybot.com/pressRelease.asp?releaseID=395
DAILY
BRIEFING -- O'Neill Has the White House Running Scared (BusinessWeek Online)
...-- the financial shenanigans going on at the energy-trading giant....... who
believes the Treasury chief is heading in the right direction,
Securities & Exchange Commission Chief Harvey L. Pitt, and James E.
Newsome, head of the Commodity Futures Trading..
Winnipeg
Commodity Exchange Inc. Announces 2002 Board Of Directors
http://www.wce.mb.ca/wnew/newsreleases/2002/pr-02-28-02.htm
Exchange
News
CBOT
X-Fund Initial Notice - 02.28.2002
http://www.cbot.com/cbot/www/cont_detail/0,1493,10+24+268+6060,00.html
Revised
Initial CBOT X-Fund Notice - 02.28.2002
http://www.cbot.com/cbot/www/cont_detail/0,1493,10+24+268+6072,00.html
CBOT
X-Fund Final Notice
http://www.cbot.com/cbot/www/cont_detail/0,1493,10+24+268+6086,00.html
Municipal
Bond Index-Coefficient Change - 03.01.2002
http://www.cbot.com/cbot/www/cont_detail/0,1493,10+24+null+6093,00.html
Program
Trading Averaged 28.1 Percent of NYSE Volume during Feb. 19- Feb. 22, 2002
http://www.nyse.com/press/NT0007301E.html
Trading
Starts 15 Minutes Earlier on 8 March 2002
http://www.tiffe.or.jp/press/20020308gdp.html
Links
-Bond Futures Trading Participant-
http://www.tse.or.jp/english/link/member_jgb.html
BrokerTec
Global Names Garry Jones as Acting Head of BrokerTec Europe Ltd (PR Newswire)
...President BrokerTec Europe, who is leaving BrokerTec to become President of
TradeWeb Group and TradeWeb Europe LLC....
http://biz.yahoo.com/prnews/020301/nyf027_1.html
Regulatory
News
SEC
Urges Plaintiffs Suing Andersen Over Enron to Agree to Settlements (Dow Jones)
...The SEC would like to see a universal settlement as soon as possible between
the accounting firm and...
SEC
fines Trans Energy former bosses $20,000 (Reuters Securities)
...The SEC won a permanent injunction against the company and its two former
chiefs from U.S. District...
http://biz.yahoo.com/rf/020228/n28274944_2.html
Weekly
Advisory -- March 1, 2002
In
the Matter of D. Micheal Sheaves. Filed February 27, 2002. After a careful review of the
record, it was determined that Sheaves had violated
the CEAct and Commission regulations by making material misrepresentations and
omissions to NASDAQ clients in disclosure documents.
Accordingly, Sheaves was ordered to cease and desist from violating the CEAct
and Commission regulations; his registration as a CTA was
revoked and his registration as an AP was suspended for a period of six-months;
he was ordered to pay civil monetary penalty in the amount of
$50,000, 30-days after this decision becomes final; and ordered to pay
restitution in the amount of $11,923.18 for damages proximately caused
by Sheaves' violations to his NASDAQ program client Hoban. Administrative Law
Judge, George H. Painter. CFTC Docket No. 01-25.
http://www.cftc.gov/opa/adv02/opawa10-02.htm
Fee
Rate Advisory #9 for Fiscal Year 2002
http://www.sec.gov/news/press/2002-30.txt
The
SEC News Digest
http://www.sec.gov/news/digest/02-28.txt
New
ideas put forward on governance of with-profits funds
http://www.fsa.gov.uk/pubs/press/2002/024.html
Securities
Regulators Propose New Framework for the Regulation of Mutual Funds
http://www.bcsc.bc.ca/news/NR02_19-CSA.asp
Hedge
Fund Fraudster Chabot Gets 27-Month Sentence
http://www.hedgeworld.com/news/read_news.cgi?section=dail&story=dail6295.html
TSE
and Market Regulation Services Inc. (RS) - A Backgrounder -- March 1, 2002
http://tse.com/news/news_rel/news_651.html
Reports
Bond
Talk Today's Events
http://www.bondtalk.com/global.cfm?S=todaysevents
Miscellaneous
News
A.B.
Watley Receives Delisting Notice (Business Wire)
... largest direct-access brokerage firms in the industry and operates an
Institutional Sales and Trading Division specializing in the
execution of complex and sensitive large-block equity transactions......
including statements regarding the development of services and
markets and future demand for services and other statements regarding matters
that are not historical facts,...... from time to time in
A.B. Watley Group Inc.'s filings and reports with the Securities and Exchange
Commission....
http://biz.yahoo.com/bw/020228/282496_1.html
Directorate
Change - Chris Maityard
http://ww6.investorrelations.co.uk/patsystems/press/ir24509.shtml
U.S.
Energy Markets Shaky in Wake of Enron Meltdown, eyeforenergy
Top
Enron Traders Bolting from UBS Warburg, eyeforenergy
Investment
Funds Institute of Canada (IFIC) and Canadian Hedge Watch Inc. (CHW) today
announce a strategic alliance.
http://www.newswire.ca/releases/March2002/01/c6398.html
XP
update to go beyond mere fixes (CNET)
...Microsoft plans to present some significant technology enhancements, along
with the bug fixes that it typically includes in updates or
service packs to operating systems such as Windows......"They have to open
up these APIs (application programming interfaces) for
the DOJ settlement by the time Service Pack 1 shipped...
http://story.news.yahoo.com/news?tmpl=story&u=/cn/20020301/tc_cn/xp_update_to_go_beyond_mere_fixes
HSBC
to reveal Argentina bad debts (Reuters Securities)
Global banking group HSBC Holdings is expected to reveal a big bad debt charge
for Argentina when it reports full-year results on
Monday. The focus of the results, which will bring the UK bank reporting season
to a close, will be bad debts, which have been the
underlying worry for the sector.
http://biz.yahoo.com/rf/020301/l0124208_4.html
TradeWeb
Names Lee Olesky President of TradeWeb Group and TradeWeb Europe; TradeWeb
Europe Looks to Extend Its
Leadership With Olesky (PR Newswire)
...Salomon Smith Barney, Morgan Stanley, Deutsche Bank, JP Morgan, ABN Amro,
Barclays Capital, Bear Stearns, Greenwich
Capital Markets, UBS Warburg,...
http://biz.yahoo.com/prnews/020301/hsf011_1.html
TradeStation
Group, Inc. Invites You to Join Its 2001 4th Quarter and Fiscal Year-End
Earnings Conference Call on the Web (Business Wire)
... Securities Corp. (NYSE:BSC) and futures and futures options transactions
are cleared through Refco, LLC....
http://biz.yahoo.com/bw/020227/270018_1.html
The
World's Top Billionaires List (AP)
...Schwab, Charles R., United States, 64, $4.1, Charles Schwab 87....
http://story.news.yahoo.com/news?tmpl=story&u=/ap/20020301/ap_on_bi_ge/forbes_billionaires_list_5
Cargill
Foods and Nusco Manufacturing and Supply Ltd. win top safety awards (Canada
NewsWire)
Cargill Foods and Nusco Manufacturing and Supply Ltd. are this year's
recipients of the Workers' Compensation Board's fourth-annual
WorkSafe(TM) Award.
http://biz.yahoo.com/cnw/020228/wcb_ab_safety_awards_1.html
Kids
Against Hunger Seeks Volunteers and Donations to Help Feed Afghani Children (PR
Newswire)
...In conjunction with Archer Daniels Midland, Cargill, General Mills and
Pillsbury, Kids Against Hunger has developed a special meal
package consisting...
http://biz.yahoo.com/prnews/020228/mnth014_1.html
Analysts
Speculate Goldman May Cut Up to 2,000 Jobs in Coming Weeks (Dow Jones)
WASHINGTON --
Goldman Sachs Group Inc. is expected to cut as many as 2,000 jobs beginning
next week, with the possibility of
more layoffs coming later in the spring if the market doesn't pick up.
Datek
Customers are Optimistic About Health Care and Technology Sectors (PR Newswire)
Health care and technology stocks will be the best performing sectors over the
next six months, according to a survey of customers
conducted by Datek Online Financial Services, one of the nation's leading online
brokers.
http://biz.yahoo.com/prnews/020301/nyf009_1.html
Report:
Surfers Stay Longest at Online Banks, Brokers (NewsFactor)
... it ranked third in terms of duration of stay, behind Schwab.com and
Datek.com....
http://story.news.yahoo.com/news?tmpl=story&u=/nf/20020227/bs_nf/16526
Stockholmsborsen
Report February 2002 (with link) (Primezone)
...Derivative tradingAverage derivative trading turnover (Swedish share and
interest-rate related contracts)...
http://biz.yahoo.com/pz/020301/24485.html
Track
Data Announces That Its myTrack Service Will Offer An Account Exclusively For
Futures Day Trading (Business Wire)
...In addition, myTrack expects to offer single stock futures when they begin
trading in the U.S. GOOD LIQUIDITY, HIGH
MARGIN,...
http://biz.yahoo.com/bw/020226/260290_1.html
Should
You Buy an ETF or a Mutual Fund? (Morningstar.com)
The essentials of choosing between an ETF and a mutual fund.
http://biz.yahoo.com/ms/020301/13441.html
State
Street Global Advisors, Ltd. (Canada NewsWire)
...The Fund is an exchange-traded fund, or ETF....
http://biz.yahoo.com/cnw/020301/state_street_distrib_1.html
New
Direct Access Vendor Takes Aim at Clearing Industry
TRD, a new direct-access vendor, has its eye on clearing firms.
http://www.wallstreetandtech.com/story/topNews/WST20020228S0008
Other
Voices
*****
Today's Other Voices contributor is Tom Bass of Trendstat Capital Management,
Inc. (http://www.trendstat.com/about/aboutus.htm)
and a respected Commodity Trading Advisor and a member of the National Futures
Association Board of Directors. He wrote in response to my commentary
yesterday the following:
John,
I have
actually done extensive studies on trading our equity curve and come up with
zilch. Just when you put on a diversified portfolio at a drawdown level you
find attractive, you go into a record drawdown and lose. Just when you close
down a profitable equity curve position, the markets continue to shine on you
and miss out on huge profits that you needed to pay for the losses you cut
short. Try as hard as I can and with all my 25+ years of knowledge on trading,
I have not been able to successfully model improving the success of the
portfolio by trading the equity curve.
That being
said, I do agree that if you are going to take some profits from the portfolio,
it should be done, as you suggest, by going across the whole portfolio. To do
otherwise messes up the balanced diversification that the portfolio presumably
has. When starting up again you should put on your positions across the whole
portfolio to achieve that nice diversification and balance across the
portfolio. We have modeled taking new signals only or putting the portfolio on
all at once and putting it on all at once consistently beats the new signal
approach.
One
suggestion that gets you to partially to where you want to be is to maintain a
diversified balance portfolio throughout time, rather than starting up and
shutting down trading. Adjusting position sizes for where you are in the scheme
of things makes more sense and can be modeled successfully. For example, if the
markets are twice as volatility and you're at an equity high, then consider
going to half size across the board. This essentially puts you back to where
you were before the volatility increased
and profit
started rolling in. If you're in a drawdown and the markets are half as
volatile, it's time to increase position sizes and get ready for the next big
run.
Tom Basso
John's
Comments
I will be
traveling to Boca Raton, Florida for the Futures Industry Association's
International Futures Industry Conference during March 13 to 15. I will
try to produce a newsletter each day during that time, but the letter's may
come out at night rather during the morning. We shall play it by ear.
If you are
attending the conference and a reader of this newsletter, and we have not met,
please look for the big tall goofy looking guy with the reddish hair and shiny
forehead, and odds are you will find me. I look forward to meeting any of
the readers attending.
*********
It is
pretty amazing when the CBOT and the CME both set electronic trading volumes on
the same day. The CME set its record on Globex and the CBOT set its
record on the trading platform they no longer call by name.
********
Brorkertec
had a big jump in volume the same day the CBOT and CME set its volume records
as well, but 25,520 of the 28,662 contracts traded were block trades.
This and incredibly interesting trade to occur when the CBOT markets were at
their most liquid either electronically or in the pit, with total CBOT volume
hitting 2,246,862 that same day.
Where is
the best value? The market where you have the greatest liquidity?
Or the market with the lowest fees? Somehow this reminds me of the story
of the Golden Goose.
Is there a
best execution rule for treasury futures contracts?
********
The Price
Group's Electronic Trading Division web site (www.pricegroupetd.com) is being
relocated due to some problems with some hackers. It should be back up
soon, with the archives for this newsletter.
*******
Today is
Barbara Richards last day as an employee of Nasdaq-LIFFE. I wish Barbara the best
in her future endeavors.
*******
Here are
the results of the latest round of X-Funds and O-Funds.
February
28 CBOT X-Funds Settle - 03.01.2002
CBOT X-Fund 1 (X2G2) settled at 97.4 CBOT X-Fund 2 (Y2G2)settled at 100.8
http://www.cbot.com/cbot/www/cont_detail/0,1493,10+24+null+6089,00.html
March
1-15 X-Fund Components Announced
The new components have been announced and a NEW CBOT X-Fund added to the
line-up. 02.28.02
http://www.cbot.com/cbot/www/cont_detail/0,1493,10+24+109+6059,00.html
Closing
O-Fund Values
Brown
787
Heisler
1036
Lothian
1040
Viljoen
1019
Wynne
773
(I can't
help but notice that my randomly selected O-Funds have been the most successful
to date. Interesting, but meaningless.)
*******
Not to be
outdone by the CBOT adding a new X-Fund designer, I have accepted a new O-Fund
exercise participant. Unfortunately, I can't identify this person to you
because of his employment status. Thus, we shall refer to him as Trader
O.
Here are
the new O-Fund baskets for the third round of comparisons between the
professionally selected X-Funds and the O-Funds:
John
Lothian's randomly selected O-Fund components:
Long April
Cattle
Long May
Cotton
Long May
Crude Oil
Short June
Canadian Dollar
Mark Brown
Long June
Nasdaq
Long June
Dow Jones
Long June
S&P
Short June
T-Bonds
Bob Heisler
Long April
Crude Oil
Long April
Lean Hogs
Short May
Soybeans
Short June
Emini S&P
Bill Wynne
Long March
Nasdaq
Long March
S&Ps
Long May
Orange Juice
Long May
Corn
Barry
Viljoen
Long June
Emini S&P
Short June
Emini Nasdaq
Short June
Emini Nasdaq
Long June
Ten Year Note
Trader O
Short June
Bonds
Long June S
& P
Short May
Wheat
Long Nov
Beans
Regards,
John J.
Lothian
The Price
Futures Group, Inc.
Electronic
Trading Division
Chicago
Board of Trade Building
141 West
Jackson Boulevard, Suite 1340A
Chicago, IL
60604
Phone:
1-800-713-0215 or 312-648-2426
Fax:
312-902-6437
Web site: www.pricegroupetd.com
E-Mail: JLothian@pricegroup.com
Disclaimer: This letter is strictly the opinion of its writer, and not
necessarily those of The Price Group and its management, and is
intended solely for informative purposes and is not to be construed, under any
circumstances, by implication or otherwise, as an
offer to sell or a solicitation to buy or trade in any commodities or
securities herein named. Information is obtained from sources
believed to be reliable, but is in no way guaranteed. No guarantee
of any kind is implied or possible where projections of future
conditions are attempted.
Futures and
options trading involves risk. Past results are no indication of future
performance.
Hypothetical
performance results have many inherent limitations, some of which are described
below. No representations are being made that nay account will or is
likely to achieve profits or losses similar to those shown. In fact,
there are frequently sharp differences between hypothetical performance results
and the actual results
subsequently achieved by any particular trading program. One of the
limitations of hypothetical performance results is that they are generally
prepared with the benefit
of hindsight. In addition, hypothetical trading does not involve
financial risk, and no hypothetical trading record can completely account for
the impact of financial risk in
actual trading. For example, the ability to withstand losses or to adhere
a particular trading program in spite of trading losses are material points
which can adversely
affect actual trading results. There are numerous other factors related
to the markets in general or to the implementation of any specific trading
program which cannot
be fully accounted for in the preparation of hypothetical performance results
and all of which can adversely affect actual trading results.