PP utilizing futures market

[gonetowindsurf]

Has anyone attempted to implement PP utilizing the futures market?
GC=Gold, ZN=US Bond, ES=sp 500 but you could use TF=Russell to equal volatility of the GC ZN. I am going to run a continuous hold on 1 contact in GC, ZN and TF and see how it compares to an etf version (utilizing vti for the eft version).
Stay tuned.

[clacy]

The problem with a static "1 contract" of each, is that they represent completely different amounts in the underlying.  So 1 gold contract is not = to 1 ZB and so on.  You would either have to supplement this approach with ETF's, etc to round out the numbers and for rebalancing purposes.

There are other issues that might eat into your return such as rolling your contracts and such.  But overall, I agree that futures are probably the most cost effective way to us leverage with the PP.

[gonetowindsurf]

Hi Clacy - you are correct in that the contract size in dollars is not equal. What i am trying to do is to balance the volatility much like bonds up - stocks down by roughly the same amount expect when that component is in vogue.
I chose TF because the mini es moves are small for one contract compared to gold, so one would have to buy multiple contacts to offset the moves in ZN etc.
I am hoping that someone has some better insight and yes - rollover is an issue as well. And one might just cash out for a couple of days while the roller over occurs - but that is for future analysis. Right now i am trying to get the volatility of each component to match the etf version.

[gonetowindsurf]

the futures portfolio that i am watching to an $11K hit and that is with just one contract in gc, tf and zb
stay tuned to see if it climbs back up - it is just a fun (simulated) experiment.

[blackomen]

I guess futures might be a viable route if you want a super-leveraged PP..  you might need to long/short GLD, SPY, and TLT to tweak the weights whenever rebalancing time comes.