Just FYI, I have already updated my trend-following strategy according to this recent trend which is "Trend-following is dead"!
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Trend Following Declared Dead By Financial Times
- Thread starter marketsurfer
- Start date
Just FYI, I have already updated my trend-following strategy according to this recent trend which is "Trend-following is dead"!
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LOL
However I remember a MarketSurf kid quote; that youngster had a pretty good grasp of Tek analysis ''Sqiggly lines''[pattern] Wisdom is profitable to direct.
murray t turtle/trend follower/study
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Mav, on an article on Abraham's site, it says trend following (long and short) account for less than 30% of their trading. They are much more into mean reversion stuff. Basically, trend following may not have accounted for all that out performance against the S&P.
Well, there was a massive trend both in equities and gold during last 3 years and their trading entirely missed.
Also they are comparing their levered fund with unlevered SPX. They should have posted their risk adjusted return.
It depends on the market. When the market is trending, they run their trend following stuff, when it's not, they don't. No magic here.
"Abraham Trading Company’s trading methodology is a systematic approach blending long-term trend following, short-term trend following, short-term momentum and mean reversion strategies. Each strategy is further divided into sub-systems to facilitate smoother entries and exits. We have also implemented filtering techniques in some strategies to avoid trades with adverse risk/reward characteristics. While the filter’s goal is to capture profits, its selectiveness allows the system to enter markets only during periods when the risk/reward of a trade is heavily in the trade’s favor. It is even possible that if unacceptable risk characteristics exist, the filter could avoid trades with positive profit expectations. The end result is a trading method that has historically provided our investors exceptional returns with low correlation to stock and bond investments."
What makes you think they missed it? They could have had losses offset the winners in those trades.
Because they are comparing themselves to unlevered SPX and commodity index. If they had compared themselves to managed futures strategy, I wouldn't have commented. There was a clear trend in equity, gold, and some ag futures.
Anyway, I agree with surf on this, last 3-5 years performance of most hedge funds have been terrible.
Data as of Jul 2014
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