Have his investors broken even yet from just three years ago?
surf
Trend Following Is Dead
- Thread starter marketsurfer
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Have his investors broken even yet from just three years ago?
surf
he is having a good year so far...
http://elitetrader.com/vb/showthread.php?s=&postid=3765634&highlight=dunn#post3765634
Well to be fair, you alluded to trend following been dead "now" and citing "this" year's performance of FX Concepts as your proof. So I'm citing "this" year's performance of Superfund.
Superfund has always been very volatile and their fees are the highest in the industry. But their returns are net positive since inception. I believe 8.5% net of fees over the last 13 years. Don't get me wrong, there is way too much volatility in this fund and most trend funds but let's not cherry pick good years and bad years. Let's either use this current year as our yardstick or the entire performance since inception.
Ok, point taken-- but to be fair-- niether one of us should be cherry picking when it comes to strategy evaluation.
The real way, real allocators decide on strategy performance is something like this.
Take the top 12 by AUM funds on your link--- this top dozen averages negative 3.4% for 2013. That should be the yardstick, not a particular out performing fund.
still sound like a solid investment strategy?
I didn't think so.
surf
Surf, you know as well as I do that trend following is HIGHLY cyclical. In fact, it tends to only do well with risk assets do poorly. Well, we all know how seldom that happens. However having said that, there is enough data out there to suggest that being long risk assets while being long a trend following strategy produce lower overall volatility and a higher risk adjusted return. Think of it as a put replacement strategy. Instead of throwing money away every day hedging your risk assets, one can simply be long a good trend following fund. If they are lucky, maybe they make a few basis pts even during the up years in stocks. But when the shit hits the fan, and Surf, it always does sooner or later, these funds perform very well. But yes I do agree in an environment like now where stocks are melting up, you want long exposure along with your trend following fund. So, using the data you just provided without cherry picking, our long put is down 3.4% this year and our long index is up 20%. Not a bad combo.
I think a good trend following fund can serve a purpose for mom and pop types who get killed trying to time or hedge their investments. It never works. They always sell too soon and stay long all the way down. They would be better served stay all long all the time and invested in a good trend following fund. Now, you don't disagree with that do you?
Surf, did you know that is a trend following ETF (TRND)?
Looks good to me.
Looks good to me.
Also Surf, can we safely say hedge funds in general are dead?
Unless you think getting killed every year by the little old S&P 500 is a good thing.
http://www.businessweek.com/articles/2013-07-11/why-hedge-funds-glory-days-may-be-gone-for-good
Unless you think getting killed every year by the little old S&P 500 is a good thing.
http://www.businessweek.com/articles/2013-07-11/why-hedge-funds-glory-days-may-be-gone-for-good
Taylor? No, he's not considered a diversified trend follower at all.
Quote from Maverick74:
Also Surf, can we safely say hedge funds in general are dead?
Unless you think getting killed every year by the little old S&P 500 is a good thing.
http://www.businessweek.com/articles/2013-07-11/why-hedge-funds-glory-days-may-be-gone-for-good
Interesting, we made an absolute killing during those 2 big down bars on your graph--- enough to not worry. There will always be niche funds that outperform and that's my business to find these ideas and present them to my clients--- before they become mainstream and burned out in the ever changing market cycles.
Are you in NYC, Mav? Would love to grab a burger with you one of these days!!
surf