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

Hey that is pretty cool! The person who used to post as userid "vegasoul" is now posting as "capitalMan", and she has pointed us to the IASG performance report of the Vegasoul commodity trading advisor. Thank you!

Here is the geneological ancestry of vegasoul -> capitalMan. Post1 quotes vegasoul but post2 shows that she is now capitalMan

Post1 = http://www.elitetrader.com/vb/showt...5936&highlight=vegasoul+psychology#post635936

Post2 = http://www.elitetrader.com/vb/showthread.php?s=&postid=635775&highlight=psychology#post635775
 
I made a nice 12-14% YTD 2006 with the 2 trendfollowing hedge funds that I invested in. If it aint broken.. dont try to fix it.
 
It is interesting to note that the S&P trend following index of investable funds reported daily on Bloomberg at 1209 at close 5 8 is ups 13% from its year end close of 1069. It's covered this ground since its 1069 close on FEB 27. The April flash reports of the largest 130 CTA programs show results for the big trend followers mentioned in the Covel book as up 9 to 16% in April and 4 to 14% respectively, with comparable figures for the year to date. The big fund run by the former manager for the big baseball owner fund is showing comparable figures. And these excellent numbers appear to place the sets of funds on average down 10 to 20% since year end 2004. One must point out that what we ordinarily mean by trend following funds are those that follow mechanical rules buying momentum as defined by their special algorithms and not a macro fund that picks a good qualitative field like bond investing or emerging market investing and rides with it. With repsect to the trend following funds as written of in the standard books, and referenced and predicted by the columnist hedge fundist that sparked this thread I would have the following questions. What is the predictivity for other markets of months when trend followers have done so well. ? What does it foretell retrospectively for the trend followers themselves. By what amount on average have the transactions of funds moved prices away from what they would have been without their transactions and will these moves be reversed in the long or short run a la Marshallian supply demand analysis? Will the funds themselves now take in great inflows and repeat the terrible nightmare of making good returns when they have reducedl money under management and terrible returns when their funds under management increase? To what extent can funds that take out an implicit 8 to 12 % of funds under management each year in fees and commissions, ( based on using normal kinds of standard deviations for past performances of such funds) hope to overcome the tendency cited by Harris for decision makers based on ephemeral factors to make long term contributions to the dealers and higher level feeders in the community? I certainly dont have the answers to most of these questions but I believe attempts to answer them would be quite illuminating Sincerely, Profturf
 
Quote from profturf:

It is interesting to note that the S&P trend following index of investable funds reported daily on Bloomberg at 1209 at close 5 8 is ups 13% from its year end close of 1069. It's covered this ground since its 1069 close on FEB 27. The April flash reports of the largest 130 CTA programs show results for the big trend followers mentioned in the Covel book as up 9 to 16% in April and 4 to 14% respectively, with comparable figures for the year to date. The big fund run by the former manager for the big baseball owner fund is showing comparable figures. And these excellent numbers appear to place the sets of funds on average down 10 to 20% since year end 2004. One must point out that what we ordinarily mean by trend following funds are those that follow mechanical rules buying momentum as defined by their special algorithms and not a macro fund that picks a good qualitative field like bond investing or emerging market investing and rides with it. With repsect to the trend following funds as written of in the standard books, and referenced and predicted by the columnist hedge fundist that sparked this thread I would have the following questions. What is the predictivity for other markets of months when trend followers have done so well. ? What does it foretell retrospectively for the trend followers themselves. By what amount on average have the transactions of funds moved prices away from what they would have been without their transactions and will these moves be reversed in the long or short run a la Marshallian supply demand analysis? Will the funds themselves now take in great inflows and repeat the terrible nightmare of making good returns when they have reducedl money under management and terrible returns when their funds under management increase? To what extent can funds that take out an implicit 8 to 12 % of funds under management each year in fees and commissions, ( based on using normal kinds of standard deviations for past performances of such funds) hope to overcome the tendency cited by Harris for decision makers based on ephemeral factors to make long term contributions to the dealers and higher level feeders in the community? I certainly dont have the answers to most of these questions but I believe attempts to answer them would be quite illuminating Sincerely, Profturf
More...
One cannot help but notice the similarity of your formatting and punctuation, to that of the slut-whore "cRaCkHoUr" in the posting mentioned below.

http://www.tradingblox.com/forum/viewtopic.php?p=18515&highlight=main+discipline#18515

With best wishes and maximal fond regards for all,
H.
 
What a waste of my time reading "Trend Following" by Michael Covel -- I am amazed at and congraulate the guy for writing a 400+ page book and deliver next to nothing. For me, only the appendix with perfromance stats of various funds is of any use as a reference.

Not that I don't believe in the strategy. I actually think staying with trends can make big returns over time.

Also, curious if anyone here know how Renaissance Capital (Jim Simmons) makes such huge returns? I've read they use very short-term strategies across many markets...beyond that it is a mystery to me how those guys rack up huge returns???

Any good articles/books I should read?
 
I recall Simons saying that certain non-random patterns in the markets exist which can be identified and used to generate profitable trades. Thats about the extent of it from an interview I read.

I imagine hes found such patterns in all timeframes on all underlying stocks and contracts, around the world.
 
Quote from lynx2004:
curious if anyone here know how Renaissance Capital (Jim Simmons) makes such huge returns?
More...
Renaissance returns = 1/3rd small edges + 1/3rd volatility
pumping + 1/3rd snake oil

Don't forget to include the returns of its folded funds in
total returns. There was Matrix, Nova, Equimetrix... all
of which crashed and burned and were either closed
or folded into Medallion without affecting Mediallion's
reported past returns. There was also a venture cap
fund that started in late 1999 or early 2000 -- that
one came and went so quickly I don't even remember
the name of it.


Quote from lynx2004:
Any good articles/books I should read?
More...
For the small edges SPlus has put out a few white papers
on financial time series modeling. For the volatility pump
anything by Thomas Cover. And for the snake oil you can
read Simons' own interviews, or listen to one (there is a
two hour mp3 on the Nuclear Phynance board). Or you can
read Andy Lo on return smoothing.

This pdf file is a good overview:

http://www.charttricks.com/Resources/Articles/jim_simons.pdf

However note that the events of the critical years 1989-1990
are not wholly accurate. For the true story see Elwyn
Berlekamp's home page at Cal Berkeley.
 
Thanks, Kevin for the info.

So what's the snake oil part??

Yes, many forget about the folded funds...

I am curious about the Axcom connection...any more insights on this?

Thanks!



QUOTE]Quote from Kevin Schmit:

Renaissance returns = 1/3rd small edges + 1/3rd volatility
pumping + 1/3rd snake oil

Don't forget to include the returns of its folded funds in
total returns. There was Matrix, Nova, Equimetrix... all
of which crashed and burned and were either closed
or folded into Medallion without affecting Mediallion's
reported past returns. There was also a venture cap
fund that started in late 1999 or early 2000 -- that
one came and went so quickly I don't even remember
the name of it.



For the small edges SPlus has put out a few white papers
on financial time series modeling. For the volatility pump
anything by Thomas Cover. And for the snake oil you can
read Simons' own interviews, or listen to one (there is a
two hour mp3 on the Nuclear Phynance board). Or you can
read Andy Lo on return smoothing.

This pdf file is a good overview:

http://www.charttricks.com/Resources/Articles/jim_simons.pdf

However note that the events of the critical years 1989-1990
are not wholly accurate. For the true story see Elwyn
Berlekamp's home page at Cal Berkeley. [/QUOTE]
 
http://news.yahoo.com/s/usatoday/20060526/bs_usatoday/363misaveragepayfortophedgefundmanagers

"James Simons, a mathematician turned money manager who prefers hiring Ph.D.s over MBAs, inched out oil tycoon T. Boone Pickens Jr. as the world's best-paid hedge fund manager in 2005, collecting an estimated $1.5 billion, according to rankings released today by Institutional Investor's Alpha magazine."

You can say whatever you want to say about Jim Simons, but he's now the highest paid hf manager in HISTORY. He beat out Lampert. $1.5B is nice change for one year's worth of work.

Finally, a quant guy comes out on top.

-99
 
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