II blames style-drift for CTA woes

[truetype]

Here’s Why CTA Strategies Are Failing Investors

Commodity trading advisers haven’t protected investors during market downturns this year because they aren't sticking to their principles.

Julie Segal

June 29, 2018

 

[Maverick1]

puttin' on carry trades? really? if that's not an indictment of trend following generally speaking then I don't know what is... only thing that is sustainable is fundamentals with a technical overlay. Anything short of that will fail longer term, including the recent 'quant' driven/AI/machine-learning rabbit hole

 

[sle]

longer term

'In the long run, we are all dead'

 

[Bill.C.]

Hahaha, nice use of Keynes

 

[Maverick1]

'In the long run, we are all dead'

You sure that's right for this situation? How have Paul Tudor Jones and Steve Cohen done with their quant operations since they started late last year? Truetype should know...

 

[sle]

You sure that's right for this situation? How have Paul Tudor Jones and Steve Cohen done with their quant operations since they started late last year? Truetype should know...

Cubist did ok last year and is up a fair bit this year, from what I know. I am not sure about PTJs operation but can ask.

 

[Maverick1]

Cubist did ok last year and is up a fair bit this year, from what I know. I am not sure about PTJs operation but can ask.

Sure, yes pls ask if you can re PTJ.

https://www.bloomberg.com/news/arti...el-from-worst-run-in-8-years-as-aqr-takes-hit

 

[sle]

https://www.bloomberg.com/news/arti...el-from-worst-run-in-8-years-as-aqr-takes-hit

I think you are confusing factor investing with systematic quantitative stuff that places like Rentech, TwoSigma and Cubist et al engage in. Those are very different strategies (far more idiosyncratic types of risks). As a matter of fact, momentum that you are so into, is a form a factor investing

PS. Apparently, PTJ systematic side is flat on the year

PPS. These are pretty bad signals- de risking on low vol, direction-independent losses etc. Could be a forerunner of a more widespread pain, just like 2007 quant crisis was driven by the mortgage losses

 

[Maverick1]

I think you are confusing factor investing with systematic quantitative stuff that places like Rentech, TwoSigma and Cubist et al engage in. Those are very different strategies (far more idiosyncratic types of risks). As a matter of fact, momentum that you are so into, is a form a factor investing

PS. Apparently, PTJ systematic side is flat on the year

PPS. These are pretty bad signals- de risking on low vol, direction-independent losses etc. Could be a forerunner of a more widespread pain, just like 2007 quant crisis was driven by the mortgage losses

No confusion at all...

Dear purveyor of all good gifts, how do you know that TwoSigma and Cubist approach is like Rentech's? Very very, very unlikely that they are doing the same thing...

Flat on the year exactly fits my earlier predictions on this site re quants: PTJ must be thrilled at forking out all that money for nothing. Wouldn't be surprised if he's negative by year end

Yes, the direction-independent losses is highly indicative of kaka for strategies. People are fooling themselves into thinking that big data and lines of code to manipulate it is the answer. It's not. If anything that's a recipe for disaster of which we are beginning to see the firstfruits

 

[sle]

Dear purveyor of all good gifts, how do you know that TwoSigma and Cubist approach is like Rentech's? Very very, very unlikely that they are doing the same thing...

I am employed in the industry myself and one of the aspects of managing a portfolio involves keeping tabs on the competition. My friends are working all over the street - while nobody would give up their trade secrets (nor would I), I have a general idea about who is doing what.

I’ll tell you a scary secret - there is no secret sauce, it’s the little differences in the recipe and the cooking process that makes the difference.