EurOil Index
Created and maintained by Dimitrios D.
Thomakos © 2007/2008
Past Postings of News
05/12/2008 – The Oil is still rising and has reached a cumulative 23-week
return of over 23% while, in the meantime, the Euro has depreciated by about
-1.5% wrt the USD and now has a cumulative return of
6.50% over the duration of the project. The main, no-cash strategy has reached
a cumulative return of over 32% while the best cash strategy had a decline due
to the Euro recommendation issued last week – the best cash strategy reported
below is now #1 which has gained as it had a recommendation for Oil. All models
are recommending staying with Oil for the coming Monday.
04/03/2008 – Another rotation
right on the mark!!! The last recommendation was a rotation from Oil to
Euro and was successfully realized. This brings the cumulative return of the
main strategy at 24% over 19 weeks of the project. The cumulative return from
Oil and the Euro are, during the same period, 11.11% and 7.51%. See the table
below for more information and note that the GMV portfolio performance is on
par with the Euro. Also, scroll down to the section with comprehensive tables
and figures to check the performance of the two cash strategies as they have
started giving off quite different results and a possible dominating model
(among the two) may be emerging. The sign success ratio (the % of correct
choices) is now at 63.15%.
03/26/2008 – After a successful rotation for the week of the 17th
we had a drastic drop in both Oil and the Euro (-3.39% and -2.38%
respectively). This has, unavoidably, reversed the gains from the rotation
Oil-to-Euro made on the 17th. The model conforms to the volatile
nature of the market over these two to three past weeks, indicating frequent
rotations: the last four weeks have given 3 rotations (including the one for
the coming week on the 31st.) The main, no-cash, strategy and the
best performing cash strategy are now very close in performance – see below for
more. The sign success ratio over the past 18 weeks was 61%.
03/13/2008 – The continuing rise of both Oil and the Euro and, of
course, the correct recommendation for staying with Oil so far has now yielded
a 22.21% cumulative return over 16 weeks of the project. Next week’s
recommendation is going to be very interesting because its a rotation from Oil
to Euro; the two models with cash have also given a cash recommendation. So
either the Euro is going to outperform Oil or there is a possibility for a
reversal in the recent trend of both series.
03/06/2008 – The sharp rise of both Oil and the Euro continues amide
turbulence in the US and global markets. The main model’s recommendation Oil
continues for 8 weeks in a row with the total cumulative return of 18.83% since
the beginning of the project. Please see the summary section
for the current recommendations (no changes from past week’s) and scroll down
to the simulated trading section for more on past
performance.
02/28/2008 – Both Oil and the Euro are rising, the former at a faster
rate. Past week’s gains were modest and the main strategy’s cumulative gain is
14.41%.
02/21/2008 – Lucky 13!!! In
the last five weeks the main(no cash) strategy was suggesting Oil and it was
correct in 3 out of 5 times (one week had a wrong rotation when Oil fell more
than the Euro and another week had both assets with similar close-to-zero
returns 0.20% and 0.29% respectively). But the last two trading recommendations
for Oil were very crucial as they matched the rise in prices and brought the
cumulative 13 week return to 14.00% (with 12.99% for the best cash strategy).
The hit ratio for correct rotations was 61%.
02/13/2008 – Another excellent
week! The last trading recommendation for Oil came out correct this past
Monday. The Euro dropped -2.22% while Oil gained 3.07%. This brings the
cumulative return (of the main, no-cash strategy) from the beginning of the
project to 10.75% in 12 weeks!
02/07/2008 – A quiet week...Both
Oil and Euro have made modest gains, less than 1%. The no-cash strategy is now
at 7.68%. All models still support a long position in Oil. However, from this
week on we will be presenting the trade recommendation from another rotation model,
one that will be automatically updated (optimized) each week. In this way we
will be examining the relative robustness of the models that are being used so
far – no model is good forever and we have to be alert as to when we should be
changing to a model more suitable to the times...Please see the summary section for the new model’s trade recommendation.
01/30/2008 – We are back!
Another correct directional prediction placed last week, this time for Oil,
materialized correctly. Oil appreciated more than the Euro this past Monday and
the total cumulative return from the no-cash strategy is back to 7.48%! This is
the 10th week EurOil Index has been running: compare the 7.48% of the
strategy with the corresponding cumulative returns from Oil and Euro that were
-0.73% and 0.88%. We were correct on the choice of the asset to rotate 6 out of
the 10 weeks (in the no-cash strategy).
01/25/2008 – We could not escape the recent global turmoil of financial markets. Both Oil and the Euro have
lost value and, unfortunately, the recommended Oil trade lost more than the
Euro but we are still running on the positive side. The next recommended trade
from the no-cash strategy is still Oil. Check the summary section below as well
as the performance performace tables for the latest. Note that the latest
realized returns are computed using data from Tue the 22nd of
January (US markets were closed on Monday the 21st.)
01/17/2008 – An important rotation!
The last prediction from the main strategy correctly identified a turning point
(similarly to the 12/03/2007 prediction): oil prices fell sharply while euro
appreciated against the dollar. This has brought the cumulative return since
the beginning of this project to 9.30% in eight weeks!
01/10/2008 – First cash signal:
the second cash strategy, which was giving so far the same signals as the
no-cash strategy, has given its first cash signal.
01/08/2008 – A correction: the
data for Euro for the 12/24/2007 now became available. Many thanks to my
colleague Viki Skintzi for pointing this out. The previous calculations were
using the 12/26/2007 value and I have now updated them. This resulted in a drop
of the cumulative return that was posted in the last update. Everything has now
been updated, including all past values and past comments!
01/08/2008 – There is another update on the sign forecasting strategy
posted in the commentary
page.
01/03/2008 - Happy New Year!!!
2007 has ended with a 6 week cumulative return of 7.46%! During the same time
Oil had a cumulative return of 2.27% and Euro had a cumulative return of
-0.37%. The best cash strategies, that have given cash signals, return 7.57%
and 2.35% respectively.
12/28/2007 - Site update: a
summary of trend forecasts and the recommended trading strategies is now at the
top of the page for faster viewing.
12/28/2007 - New commentary added, click on the link above to see it.
12/19/2007 - Christmas bonus!!!
EurOil Index is now running for 4 weeks. The cumulative return of the main
strategy is 4.92%, compared to -1.39% for Oil and -1.99% for Euro. If you have
invested $1,000,000 in the main strategy four weeks ago you would now have
$49,000 worth of profits! The best cash strategy, that has given a cash signal,
returns 2.17%.