Trend following fails to beat index

Quote from Pekelo:





Logically speaking, that means shit. That could mean he was unable to identify correctly the trend or there was no trend. It is not a proof against trend following as a general conclusion.

:)
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Hmm, these guys with a billion in resources can't identify the trend? and a guy with a home computer and retail broker thinks he can??? something doesn't make sense. surf
 
Quote from jdiercks:

I have read through all the posts and think you guys are being too hard on trend followers. Yes, they (we...since I am one) have struggled over the past few years, but never before in history have we had so much market interference from Central Banks or Politicians.

Also any basic review of trend following would show we hang in there in bull phases and do really really well in bear phases. We are now 5 years into a bull phase. The average bull period is 3-4 years. My guess is next year is our year.

On whether you should time trend followers, I would say NO. It is best to build a portfolio that mixes trend following with other strategies, such as buy and hold. At my firm we do this and it provided better overall returns and less volatility of return.

So trend following is far from dead, in fact, we are very close to the time you will want money with a trend follower.

On Mr Henry and his fund. It got too big. No one can nimbly invest that much money! Pure greed is what happened to him!

Jeff
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yes, well that's really the question isn't it? Buy and hold asset allocation, whether it's the S&P index or some trend following CTA, or timing. For me and my family, we'll take our chances with timing. If you've been in a long time they give you a long time to make a change. You don't get out at the top, but you don't ride it all the way back down to where you got in at or worse.

For instance, I started selling my bonds that I was not using for income at 126. Proved to be a premature bad decision. But then again, I sold half my stocks to buy them in 2000, proved to be a very good decision.

I don't think there is a magic asset allocation that can turn the market into your own personal atm. To everything there is a season.
 
Quote from marketsurfer:

Hmm, these guys with a billion in resources can't identify the trend?
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He did 24 times out of 28, not too shabby. But that is besides the point. Logically, if I fail to trade correctly a double top with RSI divergence*, that doesn't mean it is not a profitable method, it just means I sucked at it...

* Like this morning the 10 am short...
 
Quote from oldtime:

yes, well that's really the question isn't it? Buy and hold asset allocation, whether it's the S&P index or some trend following CTA, or timing. For me and my family, we'll take our chances with timing. If you've been in a long time they give you a long time to make a change. You don't get out at the top, but you don't ride it all the way back down to where you got in at or worse.

For instance, I started selling my bonds that I was not using for income at 126. Proved to be a premature bad decision. But then again, I sold half my stocks to buy them in 2000, proved to be a very good decision.

I don't think there is a magic asset allocation that can turn the market into your own personal atm. To everything there is a season.
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Oldtime --- you are right on! "to everything there is a season." There is no silver bullet!
 
Quote from DT-waw:

SHARPE+SIGNA Managed Currency Series

2010 +61%
2011 +33%
2012 (Oct YTD) +11.9%
http://www.managedfutures.com/program_performance.aspx?fundtype=&productId=80188


Quicksilver Trading in business since 1995
http://www.managedfutures.com/program_performance.aspx?fundtype=&productId=20006

Never had a losing year.... but recently
2011 -7.8%
2012 -31% !!!

But yeah, long track records help to choose effective managers :D
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don't forget the big one. Over 4 years 85% of all professional money managers under perform the S&P index.

So my 90 year old mother with her index fund is in the top 15% but she is not accepting any new clients.

But you are correct, every year a stock outperforms the index and every year a CTA outperforms. So when it comes to picking one let me ask you, "Do you feel lucky?"
 
Quote from oldtime:

don't forget the big one. Over 4 years 85% of all professional money managers under perform the S&P index.

So my 90 year old mother with her index fund is in the top 15% but she is not accepting any new clients.

But you are correct, every year a stock outperforms the index and every year a CTA outperforms. So when it comes to picking one let me ask you, "Do you feel lucky?"
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This is why savvy investors know that you need to bet on the strategy being relevant in the time frame you are invested. Past results are meaningless dribble for the unsophisticated and naive-- heck, even the Feds warn them with the "past performance is no guarantee....." but thick skulls are forever looking backwards as is proven in the popularity of TA. surf

PS. Ask youself
1. what's the strategy i am investing in?
2. Does it make sense provided my views of the next year or whatever?
3. Does the manager have effective fraud prevention controls in place?
 
Quote from marketsurfer:

This is why savvy investors know that you need to bet on the strategy being relevant in the time frame you are invested. Past results are meaningless dribble for the unsophisticated and naive-- heck, even the Feds warn them with the "past performance is no guarantee....." but thick skulls are forever looking backwards as is proven in the popularity of TA. surf

PS. Ask youself
1. what's the strategy i am investing in?
2. Does it make sense provided my views of the next year or whatever?
3. Does the manager have effective fraud prevention controls in place?
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ok, so now we have both made ourselves look smart based on the past. Let's talk about 2013. The future isn't that easy.
 
Quote from oldtime:


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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Take 10% of your assets and try and make a few hundred percent with it.

If you lose it, well it's just 10%, not a life changing event.
 
Quote from oldtime:

ok, so now we have both made ourselves look smart based on the past. Let's talk about 2013. The future isn't that easy.
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Exactly, but that's why we are not all multi millionaires-- most of us guess wrong. I like investing in 3-5 strategies and hoping one or more knocks it out of the park--- and the others stay flat to slightly down--- No clue as to what ones will do what, sometimes its the strategies you least expect... surf
 
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