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

Vishnu · Apr 7, 2006

Quote from LivermoresGhost:

Did you ever make a dime for your investors? Or are you just another hack who's trying to build up his own FOF assets to the point where you can generate that much in fees?

Yes I have made a dime. Even more than that - I've made enough for an entire cup of coffee.

And absolutely not. I would never think of charging fees. Horrors!

Maverick74 · Apr 7, 2006

Quote from Vishnu:

Yeah, he's a billionaire. He had a great run for many years, built up his assets to the point where he makes $50-100mm on fees alone each year - and hasn't made a dime for anyone since.

Great run? Really? You mean going from like 100k into the billions is a great run? LOL. Glad we cleared that up. I guess we can all hope to have a great run like that.

In any case, this is not a complaint against Henry. He's probably a great guy. And you're right, everyone has terrible years. All I'm saying is that probably trendfollowing is not a great strategy because of all the amount of money that flooded into this strategy after the bear market in equities. The strategy has not made any money since as a whole.

What are you talking about? Look man, you did this before and you are doing it again now. Your statements are totally off base. There are tons of trend following funds at or near all time highs right now. Some are having their best years ever. How can you say with a straight face the strategy has not made money since all based on one man, one man, John Henry. Wow.

Is John Henry impressive? Yes. Is he a god of investing and business? Maybe. I have no idea. All I'm saying, and the facts are right in your charts and the charts of the other main players, is that trend following as a strategy has fallen apart. Nothing personal against any trendfollower. They are wonderful human beings who love their children very much.

Impressive? Sir, the guy is a billionaire. Impressive does not even begin to describe it. Now granted a billion today is not as sexy as it use to be, but it's still a lot of money. And again, you can't say the strategy has fallen apart because a few guys had bad drawdowns last year. Many, many, many trend funds are having record years. Simply amazing.

Equalizer · Apr 7, 2006

Quote from ananda:

Look, letâs face it, there really is absolutely no point in such discussions. There is little point to this forum: there are few conversations of any worth or intelligent interest.

I thought the only reason for this thread - at least initially was for Hanketsurfer to flog Visnhu's book (read: hey hey - free publicity)

nicholaf · Apr 7, 2006

what Vishnu is saying is that trend following funds have inferior sharpe, sortino, omega ratio etc. they simply are not efficient in the MPT sense that there are funds that return higher per unit risk than trend followers. Thus it is not simply a matter of just returns, but the risk involved. thus whatever the fund, it has to be measured in relation to risk. why would investors want to invest in trend followers when their sharpe is lower than other funds, like stat arb, long/short, various arb strats. it doesn't make sense. i'm a stat arb guy and honestly, i really haven't seen trend following funds go above the sharpe ratio of 1 before over a long period of time... i mean there are so many more funds that approach 2 with a track record of 5+ years.

returns without any relation to risk is meaningless. trend followers typically have a sharpe of 0.5 or something... and if you think about it.... that's the same as the S&P! I don't care if you're dunn, ekhardt, etc etc, the proof is in the sharpe/sortino/omega.

nicholaf · Apr 7, 2006

ps vishnu, i like your books. gave me some good ideas.

Maverick74 · Apr 7, 2006

Quote from nicholaf:

what Vishnu is saying is that trend following funds have inferior sharpe, sortino, omega ratio etc. they simply are not efficient in the MPT sense that there are funds that return higher per unit risk than trend followers. Thus it is not simply a matter of just returns, but the risk involved. thus whatever the fund, it has to be measured in relation to risk. why would investors want to invest in trend followers when their sharpe is lower than other funds, like stat arb, long/short, various arb strats. it doesn't make sense. i'm a stat arb guy and honestly, i really haven't seen trend following funds go above the sharpe ratio of 1 before over a long period of time... i mean there are so many more funds that approach 2 with a track record of 5+ years.

returns without any relation to risk is meaningless. trend followers typically have a sharpe of 0.5 or something... and if you think about it.... that's the same as the S&P! I don't care if you're dunn, ekhardt, etc etc, the proof is in the sharpe/sortino/omega.

Sharpe ratios are meaningless. Just look at any fund that sells naked puts and then get back to me.

nicholaf · Apr 7, 2006

Quote from Maverick74:

Sharpe ratios are meaningless. Just look at any fund that sells naked puts and then get back to me.

obviously you are not institutional level

marketsurfer · Apr 7, 2006

this thread is going nowhere fast. you guys are arguing with a fund manager who is doing what you only dream about. vishnu runs a successful fund in NYC, plus is connected with the leaders in the business. he knows what he is talking about--- definitely not a armchair quarterback like some of you......

surfer

bolter · Apr 7, 2006

nicholaf,

why would investors want to invest in trend followers when their sharpe is lower than other funds, like stat arb, long/short, various arb strats. it doesn't make sense.

Institutional allocators, FOFs, pension funds etc build portfolios with allocations to a diverse range of asset classes and strategies. At any given point in time some asset classes and strategies are likely to be out of style. Such is the nature of managing a diversified portfolio.

Allocations to trend-followers is largely viewed as a form of disaster insurance. Their returns are generally negatively correlated with equities and only mildly correlated with bonds. When the shit hits the fan (eg: LTCM , tech crash, 9/11 etc) trend-followers out perform.

Lights · Apr 7, 2006

let's make a bet then, shall we? a million dollars that trend following systems continue to exist and thrive in 10 years. in fact, i'll personally make sure it happens.

i can have my lawyer draft up a contract if you're interested.

Quote from marketsurfer:

yep.

surfer