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All of the post.

Wouldn't a conservative approach (rf = 10y) be more prudent, over and against convenience, especially considering that rates have been heading higher?

Huh?

Reminds me of a t-shirt once seen on a stats professor: "When all fails, manipulate the data" Lol. Jes messin with ya :thumbsup:

So, if twenty years of data on returns is not enough, and 10 years of data on returns basically tells us nothing, what do 10 and 20 years of data tell us about correlations? Thanks.

I asked you, where did you get 0.5 for Cantab's SR?

:) This is a beauty! http://www.managedfutures.com/program_performance.aspx?fundtype=mf&productId=48059 Cantab's SR is 0.28 according to the above. Where do you get 0.5? And 10 years, in your view, is not a "short period of time"? A technical analyst, fundamental analyst, and a quant try...

I'm done here, thanks for the thoughts. Do carry on without me if you'd like :)

Good point. When the Fed cuts the spigot, or worse, ramps its down, only to open it again in years to come, watch the fireworks in the quant/CTA space, it's not going to be pretty... the game has changed once again, and their investors won't realize until it's too late. They're probably saying...

Now Winton is something else, they have a sharpe of almost 0.6 and very few down years. Makes a lot more sense to diversify with a manager like this. But I suspect they are the exception and not the rule.

From the blog post you linked to: "The strategy behind COINX is simple: at the end of each month, a coin is flipped by the portfolio team. If the coin lands on heads, the investors earn a 3% return for the day. If it lands on tails, the investors receive a -3% return" and "Rather, we...

Question: are there any low return, low sharpe (say, less than 0.4 or even 0.5) but uncorrelated CTA funds that have been raising money in the past 3-4 years or more recently? Can anyone provide any examples?

If you are think they are overstated now, wait till the CTAs can no longer pile into treasuries during the next equity-selloff, because the Fed and other central banks will be unable to engineer monetary easing at the scale they've achieved in the past... Most of those uncorrelated big up years...

Reminds me of that physicist, chemist and economist (quant) horse race predicting joke, "First, let's assume the horse is a sphere"... Ever heard of a logical fallacy called begging the question?

see the Bloomberg article link posted above (post #13)

The main point of this thread that I started, is to call into question this assertion above, which is increasingly made by the managed futures industry. I'll ask again, what is the point of low correlation if you have very low Sharpe ratios and strings of long periods with no returns?

You did not address the main point here, i.e., it is precisely the low sharpe ratios and low returns that are being called into question... Now if you can show me evidence of funds that have good returns and are uncorrelated to major indices, that's another matter altogether (they are likely...

It may have been whitepapered for decades, but no one can deny that there's been a recent growing trend, like never before, towards advocating investing in managed futures for "low correlation" benefits regardless of absolute returns... Everybody and their grandma is saying "look here, no...

No doubt, the pitching of managed funds as "diversification" is the trend (pun intended) du jour. But this, to me, is smoke and mirrors: of what benefit is a -0.01 correlation to the S&P (Cantab) when the fund has basically made ZERO money in the last 4 years, all the while charging 20% and 1%...

https://www.standard.co.uk/business/hedge-fund-cantab-capital-snapped-up-by-swiss-wealth-firm-gam-a3283666.html Cantab was bought by swiss GAM in 2016 for $300 million, 10 years after Cantab was founded. Why would they buy a firm with a 10 year track record that is not meaningfully different...