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WEEK THREE
MFRE FUTURES TRADING GAME
Ariel, Tekuni, Mia, Linda
Outline
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This week’s news
Spotlight: US Gov’t Shutdown
MFRE Portfolio reviews
Lessons Learned this week
Top Blogs!
This week’s news
USDA crop report
What did it contain?
Same old news
Crop stocks higher than expected
Corn
Soybean
China going to need more
etc etc
What do we do with it?
Read it
And make trading decisions
The question is....do we really do that!!!
Maybe no! For a number of us
Yes for some!
Did it move the market?
Most of us were not sure
Why?
We didn’t read it
We still not sure of how to relate the
report to market
Can’t wake up at 3am
Sense some fatigue
people become tired of blogging
video making and homework
Brendan says completing Masters
while trading ......is like driving while
texting
You’ll drive into a ditch!
US Government Shutdown
What happened?
Lessons learned
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Keep Calm
Try new strategies
Tell stories!
Week Review of MFRE Portfolio
Performance
Sep 30 – Oct 4
Overview of portfolio return
29-Sep
60%
30-Sep
1-Oct
2-Oct
3-Oct
40%
20%
0%
-20%
-40%
-60%
mean
maximum
minimum
4-Oct
5-Oct
Trades Made Since First Week
Trades Made
8
7
4
3
2
1
0-5
6-10
11-15
16-20
21-25
26-30
Sharpe Ratio
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Getting Paid for Risk
A measure of what an investment returned for each
"unit" of risk it carried.
The higher the Sharpe ratio, the better the
investment's historical risk-adjusted performance.
(Expected Portfolio Return − Risk Free Rate)
Portfolio Standard Deviation
Notice: Sharpe ratios work best when
figured over a period of at least three
years.
Airlie
Behzad
Linda
04-Oct
03-Oct
02-Oct
01-Oct
30-Sep
04-Oct
03-Oct
02-Oct
01-Oct
30-Sep
04-Oct
03-Oct
02-Oct
01-Oct
30-Sep
Sharpe Ratio Rankings
10
9
8
7
6
5
4
3
2
1
0
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Vivid explanation
of trading decision
Creative
Professional
Vanilla Chen
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Introduce new concepts and application in analysis
Open interest
Spread
Correlation matrix
Combine the theory with her experience and
analysis
Professional and deep analysis
We need more!
Laura
Creative strategy basefartlek
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How to lose money-season 2
Two hedge position with two
stop order
harmony's mfre blog
alex
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Livestock future
New information
Analysis
Airlie
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Amanda style format!
Forecast of fall in volume
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Amanda
Great graphics
Well-written
Good analysis
Forecast of fall in price
Bee