Some Historical Moments, from Victor Niederhoffer
I thought it would be useful to look at the long term drift and variability of holding futures contracts in various markets from the beginning of this century to current spanning a nine year period with 2250 observations each.
market mean/dy % up s.d. base
S&P -04 52 154 10000
Nasdaq -01 52 51 1000
dax -02 51 79 5000
eurost -01 59 51 2500
russel 00 53 76 4500
crude oil -04 51 95 3572
nat gas -05 49 242 6000
gold 02 53 76 7500
eurodllr 02 51 75 14000
dllr/yen -01 50 72 10000
bond 03 53 65 12000
bund 02 53 35 12000
Some regularities appear. The stand deviation of nas and nat gas are much higher relative to their mean level at 5% than the others. The least volatile market is bunds which varies just 0.3% a day relative to its mean. Crude varies 2.5% a day. The S&P varies 154 points a day. That's 15.4 big points , i.e. a move from 1000 to 1015.4, a variability of about 1.5% a day which is average for all markets. There is no tendency for upward drift in stock markets from the beginning of 2000 or from other starting points back to year end 1995. There has been adrift of bonds and bunds up, oil and natural gas down.