What are reasons behind the long-drawn draw-downs of CTAs since 2009?

and yet there are exceptions look at renaissance. the bigger some get the more they make, it's really got more to do with designing methods that result in positive slippage.
 
Some Theorize that Renaissance is a Ponzi.

Their 1 fund for employees, does amazing... but no outside money.

Their outside money fund, does good.... good enough to take down HUGE Fees.

So the "internal/employee" fund is their marketing engine... so outside investors pump money into their "average" fund... and collect big money, and ponzi.

I'm by no means accusing, just very possible.
 
MarkBrown said:
let's then say a cta that holds for a few days vs a cta that holds for a few months.

the cta that holds for a few days with the same return is better than the one who holds for months producing the same return.
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I don't quite understand why a CTA holding for a few days is better than one who holds for months if both produce the same return. The CTA holding for a few days pays more commission and is more busy.
 
Palindrome said:
Could it simply be, the Larger the CTA, the Lower the Returns?

If I ran a 5 million dollar CTA, I would have the best record in the industry. If I ran a 400 Million CTA, My returns would be a hell of a lot less.
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Certainly so. Warren Buffett likes to say size kills performance. He once said he is confident of making up to annual 50% returns if he were managing only a few millions. Ironically, the trend in the fund industry seems to be that most money is flowing to the biggest funds. Ray Dalio's fund is >100 billion today.
 
How does one trade 100 billion dollars? How to scale in and out of a trade?...

helpme_please said:
Certainly so. Warren Buffett likes to say size kills performance. He once said he is confident of making up to annual 50% returns if he were managing only a few millions. Ironically, the trend in the fund industry seems to be that most money is flowing to the biggest funds. Ray Dalio's fund is >100 billion today.
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Palindrome said:
Some Theorize that Renaissance is a Ponzi.
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i met simmons and his crew before ren was formed, he and some students were trying to build prediction models from daily close to the next day open. i flew back and reported they were way far behind our research etc. and forgot all about him.

years latter a client gave me a brochure that i think i still have, that touted the ren start up and who all was on the board like 5 star generals and such and i told my client that was a scam and it would never fly. but then you know the rest of the story and how he has pulled off what he has often made me think government involvement.

so i hear ya but like you said it's all theory without proof.
 
If you are in their shoes, as the fund gets larger...Life becomes pretty simple just collecting the management fee, and if their wall st cronies keep funneling money and collecting their finders fee...everyone is happy minus the investor.

But then again, most of the investors are institutions, their lazy too.

It's just a whole scam in my opinion. I big swamp of fee generation. Brilliant too.

(not referring to renaissance in this post, but Large funds in general)
 
helpme_please said:
I don't quite understand why a CTA holding for a few days is better than one who holds for months
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time in the market equals risk - the more time you are in the market the more risk you have it's a basic money management thing to know.

the more time you are in a fighting ring the more likely you will get knocked out.

the more times you cross the freeway blindfolded the more likely you will be killed.

the more time you spend with pigs the more likely you will get mud on you.
 
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