Althucher guesses: trend funds to disappear within the next 10 years...

This is an interesting discussion...

What's behind their (JWH, Dunn etc) drawdowns? Does anyone here know? Oil, metals and most commodities have been on a bull trend for a few years..so what gives? Are they betting that the higher order trend in these is still down? or are they getting chopped up due to larger swings which make them buy high and they puke at the lows and then make them jump back in again at worse prices? I just am having a hardtime believing that it has been a bad time for trendfollowers.


thanks for the link.
I looked up iasg.com, there are a few funds listed for JWH..which one is his main fund? and for Dunn?
 
Quote from Diode:

It's fairly well known that trend-following works in most markets... with the notable exception of equities (and equity indexes).

Keith Fitschen, developer of the trend-following system Aberration, has done some interesting studies that show that equities are best traded counter-trend on a short timeframe, while all other markets are best traded with trend-following methodologies on a long timeframe.

Has this always been the case? I don't know. I've heard that trend-following worked on equities prior to 1987, but haven't seen any studies backing this statement up.
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Where and how do you think Fitschen screwed up the most?
 
Quote from 5yrtrader:

Hey Surfer,

How is IntrendX doing? You promised performance updates and I haven't seen any.

Thanks

5yr
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quite well, thank you. still very small with 2 very private partners--but so far so good this year. still building a useable track record, operation since jan 1 2006.

when we reach critical mass, the audited performance will be reported.

surfer
 
Diode, these statements are incorrect:

"It's fairly well known that trend-following works in most markets... with the notable exception of equities"

google columbine to see quite a bit of work on mid term momentum in equities. . .

" (and equity indexes)."

goto www.fundadvice.com for a number of backtests
 
Quote from lynx2004:

What's behind their (JWH, Dunn etc) drawdowns? Does anyone here know? Oil, metals and most commodities have been on a bull trend for a few years..so what gives? Are they betting that the higher order trend in these is still down? or are they getting chopped up due to larger swings which make them buy high and they puke at the lows and then make them jump back in again at worse prices? I just am having a hardtime believing that it has been a bad time for trendfollowers.
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Dunn has a website. If you go there, you will see that for some reason Dunn trades Interest Rates, Currencies, Stock Indices and Energies. But he refuses to trade four other sectors, i.e. Softs, Metals, Meats and Grains. Also, the allocation of funds between sectors seems uneven.

Now go to David Druz's website and look up his fund's portfolio composition and then look at his performance. Might be enlightening.
 
Quote from gm120:
Dunn has a website. If you go there, ...

Now go to David Druz's website and look up his fund's portfolio composition
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One thing you will find on David Druz's website is an explanation for why he closed down his trendfollowing fund at the bottom of a ~50% drawdown, then re-opened it two and a half years later. You won't find that on Bill Dunn's website.
 
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