Buy and Hold Results, from Victor Niederhoffer
It is interesting to speculate about the results from holding futures for various time periods during the last 11 years. These figures use continuously adjusted futures with algebraic adjustments each quarter, so that the results would replicate what a buy and hold strategy would have realized if the position were established at the beginning of the period and held until two weeks before the end of the quarter and then the existing positions was sold and the next quarters position was bought without any slippage. In honor of chronic bears on stocks and bulls on bonds, bond results are also included.
To clarify the units, a move of 1 in stocks per day is from 1480.0 to 1480.1. A tick in futures is 0.25, i.e. a move from 1480.00 to 1480.25. In bonds the move of 01 is from 113.94 to 113.95. In euros, a move of 1 is a move from 1.4500 to 1.4501.