Trend following fails to beat index

M

marketsurfer

This article really lays out the truth about John Henry and the relative lack of performance in trend following strategies:

http://www.attaincapital.com/altern...s-newsletter/investment-research-analysis/496

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http://www.attaincapital.com/altern...s-newsletter/investment-research-analysis/496
 
QIM makes 6% so far this year after +5% in 2011.

http://www.managedfutures.com/program_performance.aspx?fundtype=&productId=20167

Last 12 months are difficult for many trading styles. Except option writers, who only begin to touch their equity highs from mid 2008 - Ansbacher and LJM being prime examples.


The thing is: most of these managers still engage most of their assets in diversified futures trading. The fact is, most of markets currently are not suitable for profitable trading- small traders are wiped out.
Only Crude Oil and Gold are somewhat moving.

FX remains as the best, where small delusional, metatrader fools can supply fresh money to the big systematic players.
But hey.... you would have to actually develop some specific strategies for FX. Too hard task for 99% of managers!
 
Quote from DT-waw:

... Last 12 months are difficult for many trading styles. Except option writers, who only begin to touch their equity highs from mid 2008 - Ansbacher and LJM being prime examples.
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The CTA rankings for the last year are pretty much a sea of red with a few posting some really nasty returns.

http://www.managedfutures.com/top_cta_rankings.aspx

I really don't understand why someone puts money into LJM?

The only strategy appears to be waiting for a huge drawdown of at least 50% prior to investing and then hope that you can get out before the next drop?

I like the strategy and equity curve of Salus Alpha but with a $10M minimum investment it's out of my league.

http://www.managedfutures.com/program_performance.aspx?fundtype=&productId=80059
 
Quote from Slave2Market:

The CTA rankings for the last year are pretty much a sea of red with a few posting some really nasty returns.

http://www.managedfutures.com/top_cta_rankings.aspx

I really don't understand why someone puts money into LJM?

The only strategy appears to be waiting for a huge drawdown of at least 50% prior to investing and then hope that you can get out before the next drop?

I like the strategy and equity curve of Salus Alpha but with a $10M minimum investment it's out of my league.

http://www.managedfutures.com/program_performance.aspx?fundtype=&productId=80059
More...
I only had one client that made money in a managed account. He was an accountant in a very large corp. I think he invested 50k. The CTA went whole hog all in on silver, and everyvody in the fund knew that was the postiion. Silver went limit up. The client withdrew enough to completely pay off his mortgage. And then very shortly later closed his account. The fund went to hell and everybody that stayed in lost money. Years later I asked the client why he withdrew, and he simply said, "I thought it had gone too high."
 
Quote from oldtime:

I only had one client that made money in a managed account...
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I have never invested in a CTA fund but I like to watch them to see what's working ... or not working.

I'd consider investing in a fund if I could get a 10% return with minimal drawdown i.e. the "Holy Grail".

Of course I could just open a Portfolio Margin account with IB, use their High Dividend scanner, lever up and make mega bucks. That's risk free right!? :D
 
Quote from Slave2Market:

I have never invested in a CTA fund but I like to watch them to see what's working ... or not working.

I'd consider investing in a fund if I could get a 10% return with minimal drawdown i.e. the "Holy Grail".

Of course I could just open a Portfolio Margin account with IB, use their High Dividend scanner, lever up and make mega bucks. That's risk free right!? :D
More...
the point is, you should treat a managed account just like you treat a stock or an etf or any commodity. Buy them low, sell them high. There's a place for buy and hold, but a managed account is not one of them. Berkshire is the most interesting. Sometimes the very best place to be is 100% in cash, even if infaltion adjusted it is a negative return.

I can make in excess of 100% in any given year and it is not a life changing event.

I can only lose 100% in one year and my whole life is changed.
 
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