Subject: File No. S7-11-04
From: Darrell D Wiard

March 18, 2004

Dear Sirs: Your point on time zone arbitrage continues to rankle me. It seems to me your point is that this intl trade because of the time zone differences is almost a sure thing, hence your term time zone arbitrage. As I have pointed out, there have been not only years, but decades, where this trade did not work. Currently, the nature of the trade is changing rapidly. For my own info, I looked at just this year with the SP500 and Nasdaq100 daily results determining whether to buy, sell or hold an international mutual fund that I do not think uses FMV pricing. What I found was that the US mkt direction predicted the price direction in the international mutual fund on 32 days, but was incorrect on 19 days. It was wrong almost 40 percent of the time. That does not sound like a sure thing to me. One day gives a good example. Yesterday, March 17th, our markets rose strongly, in excess of 1 percent almost 1.5 percent in NDX100. In your time zone arbitrage theseis, clearly a buy day. Oops, it did not work today, with Europe down strongly, and only Tokyo up in Asia. Therefore, why do we need a billion dollar administrative cost for a trade which is just that, a trade which sometimes works but sometimes does not. Hardly a sure thing. I think your time zone arbitrage experts also lost money with LTCM. Please ask them to comment on the trade in the 80s and 90s and over the past few quarters. Thank you. Darrell Wiard