Another computer driven hedge fund closes

[d08]

Quote from ronblack:

Trying to trade too many markets with a trend-following system can lead to failure because of capital constraints. Trend following works only when you have a good idea where the trends are going to develop. Sounds to me like good salesmen with large accounts but no experience with trading. Not every fund with a fancy name has experience.

"The Density fund, which traded 138 markets in stocks, fixed income, currencies and commodities, had been run as a strategy in Swedish-based Brummer & Partners' Nektar unit, which manages the $4.7 billion Nektar fund, a portfolio that has made money every calendar year since 1998 apart from in 2008. "

Why would you say they lack experience?

 

[Ash1972]

Quote from OddTrader:

What resources are required to continue fighting?

Customers

 

[toolazy]

that is really good news. markets run out of victims. markets must behave nice & rise to arouse spirits of soon to be investors.

this year we saw 2 major trends in JPY and AUD. I think this type of environment will continue until further notice.

 

[Ash1972]

Quote from toolazy:

that is really good news. markets run out of victims. markets must behave nice & rise to arouse spirits of soon to be investors.

this year we saw 2 major trends in JPY and AUD. I think this type of environment will continue until further notice.

All market conditions stay the same until they change. CTA funds make money from the increase in vol and breakdown in correlations when conditions like the current ones change.

 

[zdreg]

there are too many cta funds in a crowded field. attrition is normal under nearly all circumstances.

 

[H2O]

Quote from d08:

"The Density fund, which traded 138 markets in stocks, fixed income, currencies and commodities, had been run as a strategy in Swedish-based Brummer & Partners' Nektar unit, which manages the $4.7 billion Nektar fund, a portfolio that has made money every calendar year since 1998 apart from in 2008. "

Why would you say they lack experience?

I'm by no means familiar with the fund, but the fact that the overall portfolio has been around since 1998 doesn't mean this particular strategy (the Density fund) has the same experience.

From the website: Fund start 06-06-2012... (http://www.densityfund.se/Fond_Fakta.html)

Ok, the strategy existed since 2001 but it is not clear to me if it was actually traded and in what shape / form.

I'm in no way saying anything negative about the fund, but it makes sense to look a bit deeper into the details before drawing conclusions / asking 'rhetoric' questions...

 

[smallStops]

I can only conclude that profitable trading is not a "given"... even for well capitalized funds, with plenty of super-educated staff.

emg : any comment?

 

[slumdog]

Quote from smallStops:

I can only conclude that profitable trading is not a "given"... even for well capitalized funds, with plenty of super-educated staff.

With trend following you going to get multi year drawdowns sometimes.
That said its not possible to say if this drawdown was an expected outlier or due to incompetence.
It probably doesn't matter as either way the investors couldn't stomach it.

 

[blakpacman]

Quote from smallStops:
I can only conclude that profitable trading is not a "given"... even for well capitalized funds, with plenty of super-educated staff.
emg : any comment?

Efficient Market Theory at work. A lot can be said for low cost indexing over actively managed funds.

 

[newwurldmn]

There was an article on bloomberg the other day about how many CTAs have net if fee performances that are close to zero.