'Quant' hedge funds headed for worst month since Aug 2007

Anyone can make money when there are lots of big moves happening, but the art of trend following is to limit drawdowns when conditions are not favourable. That's pretty advanced stuff.
 
Quote from marketsurfer:

CTA's are generally trend funds, not quant funds---- This author is confused with several of the comments. surf
More...
Exactly. Horrible article, and I groaned when I read it. Vast majority of trend-following CTAs could do their work with pencil and paper.

In contrast, Aug 2007 really was a melt down of (and exclusive to) many quant funds.
 
Quote from Ash1972:

Anyone can make money when there are lots of big moves happening, but the art of trend following is to limit drawdowns when conditions are not favourable. That's pretty advanced stuff.
More...

I would argue that 1) you need to be able to identify trends with sufficient precision that you capture enough real moves and 2) early enough that the ones that play out cover the cost of the ones that don't - for this to happen you need big trends even with that precision.
 
if current SP500 is not a good trend, what it is ?!?!!?

clearly, they are not trend following.

probably some sort of statistical arbitrage of all sorts of patterns which is very volatile stuff and has no edge.
 
Quote from mm19:

if current SP500 is not a good trend, what it is ?!?!!?

clearly, they are not trend following.

probably some sort of statistical arbitrage of all sorts of patterns which is very volatile stuff and has no edge.
More...
Nonsense.

Anyways, more details about both typical components of trend following strategies, as well as performance of top CTAs in this space ($50 billion in AUM), see:

http://www.automated-trading-system.com/resources/trend-following-wizards-fund-performance/
 
sp500 is not in a trend for you then.

fair enough, 100 people 100 definitions of a trend.

too many people playing this game, mate.

that is why betting on trend reversals pays so well. Wont be forever, i guess but this is what pays $ today.
 
Quote from Spectre2007:

if you can handle the drawdowns.. look what 60 years of trading does to 6 figures.
More...

practically useless. if you unlucky after 20 years, still down. HUH.

I am afraid, trend followers have to learn how to switch to opposite mode.
 
Most of these trend following funds are long funds very reluctant to go short. They get killed in when a bull market transitions to a bear market like what is happening now. trend following is a crowded strategy, it will never outperform the S&P over the long term.
 
Quote from MarketOwl:

Most of these trend following funds are long funds very reluctant to go short. They get killed in when a bull market transitions to a bear market like what is happening now. trend following is a crowded strategy, it will never outperform the S&P over the long term.
More...
Really not true. You can't lean long only in a COMMODITY trend following fund and expect to make money.

Just take a look at what the NewEdge index did in 2008.
 
You must log in or register to reply here.
Back
Top