Category: Other

S&P 500 market speculation until 2010

Source: S Drozdz, F Grummer, F Ruf and J Speth
Date: 29 April 2007

The information below is extracted from a paper () presented in March 2005. The authors have shown that log-period oscillations are present across various time scales. This can be seen in the first long term chart since 1800. The second chart shows the zoomed in rectangle for the period 1997-2002 with accelerating and decelerating lognormal functions. Note that both charts are log scaled.

The next stock market top is estimated to occur in around the years 2010-2011 as shown in the chart below. The period has two main components as shown by the thin lines. The first is the long term component accelerating towards 2010 and the second is the decelerating component from Sep 2001.

Sovereign Wealth Funds

Source: Wall Street Journal (Stephen Grocer, 29 Jan 2008)

Fund Country Founded Size ($ Billions)
Abu Dhabi Investment Authority and Corporation United Arab Emirates – Abu Dhabi 1976 875
Government Pension Fund – global Norway 1990 341
Government of Singapore Investment Corp. Singapore 1981 330
Brunei Investment Agency Brunei 1983 300
Various funds Saudi Arabia n/a 300
Kuwait Investment Authority Kuwait 1953 250
China Investment Corporation China 2007 200
Temasek Holdings Singapore 1974 159
Qatar Investment Authority Qatar 2005 40
Alaska Permanent Fund United States 1976 38
Future Generations Fund Russia 2004 30
Khazanah Nasional BHD Malaysia 1993 26
Korea Investment Corporation South Korea 2005 20
Dubai International Capital United Arab Emirates – Dubai 2004 12
Mubadala Development Company United Arab Emirates – Abu Dhabi 2002 10
Istithmar United Arab Emirates – Dubai 2003 4

Currency Traders’ Performance

Barclay Currency Traders Index

An equal weighted composite of managed programs that trade currency futures and/or cash forwards in the inter bank market. In 2016 there are 66 currency programs included in the index.

1980 – 1990 57.74% 2000 4.45% 2010 3.45%
1981 – 1991 10.94% 2001 2.71% 2011 2.25%
1982 – 1992 10.27% 2002 6.29% 2012 1.71%
1983 – 1993 -3.33% 2003 11.08% 2013 0.87%
1984 – 1994 -5.96% 2004 2.36% 2014 3.35%
1985 – 1995 11.49% 2005 -1.21% 2015 4.65%
1986 – 1996 6.69% 2006 -0.12% 2016 1.02%†
1987 29.56% 1997 11.35% 2007 2.59%
1988 4.28% 1998 5.71% 2008 3.50%
1989 18.89% 1999 3.12% 2009 0.91%
†Estimated YTD performance for 2016 calculated with reported data as of Aug-3-2016

Source: Barclays

At a Glance from Jan 1987

Compound Annual Return 6.65%
Sharpe Ratio 0.33
Worst Drawdown 15.26%
Correlation vs S&P 500 -0.02
Correlation vs US Bonds 0.12
Correlation vs World Bonds -0.02

Forex market electronic trading observations

Source: ClientKnowledge FX2004-2005 Study
Presented: ECB, March 2006

Distribution of growth in traded volumes  2004 to 2005

  • If EBS / Reuters are included in the % of volumes transacted, then electronic trading is very high
  • Otherwise estimated that more than 50% of market is electronic
  • Algorithmic volumes made up 5% – 7% of overall volume by mid-2005 and may have doubled since