Reminds me of that physicist, chemist and economist (quant) horse race predicting joke, "First, let's assume the horse is a sphere"...
Ever heard of a logical fallacy called begging the question?
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Why would anyone invest in these funds?
- Thread starter Maverick1
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Reminds me of that physicist, chemist and economist (quant) horse race predicting joke, "First, let's assume the horse is a sphere"...
Ever heard of a logical fallacy called begging the question?
If you are think they are overstated now, wait till the CTAs can no longer pile into treasuries during the next equity-selloff, because the Fed and other central banks will be unable to engineer monetary easing at the scale they've achieved in the past... Most of those uncorrelated big up years by CTAs (like 2008) are very unlikely to be repeated... i'm not surprised that Cantab for example sold itself to a larger firm, he probably is seeing what's coming down the pike. Better than that just fold, like many others such as Mindich etc
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Would you invest in a coin flip fund (COINX)with zero (or even -ve assuming transaction costs) expected return, low correlation?
The strategy behind COINX is simple: at the end of each month, a coin is flipped by the portfolio team. If the coin lands on heads, the investors earn a 3% return for the day. If it lands on tails, the investors receive a -3% return.
https://blog.thinknewfound.com/2017..._term=0_258a9e801d-4c5e14765a-387553425#_ftn2
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From the blog post you linked to:
"The strategy behind COINX is simple: at the end of each month, a coin is flipped by the portfolio team. If the coin lands on heads, the investors earn a 3% return for the day. If it lands on tails, the investors receive a -3% return"
and
"Rather, we decompose it into a portfolio that is 60% stock return, 40% bond return, and then some added idiosyncratic risk. We’ll assume this idiosyncratic risk is normally distributed with a volatility of 3%"
See economist joke above... (post #31)
Here, I'll one-up you: there are plenty of CTAs and hedge funds in the real world with persistent negative returns, albeit uncorrelated to equities or whatever. Why then aren't they raising more and more money, or more humbly, simply continuing on with business as usual? Why was 2016 the worst year for hedge funds? Why did quant firm Cantab with billions under management sell itself to another firm? Could it be because in the real world from an investor's perspective, risks are more nuanced and real than naive CAPM/finance 101 type models present them to be?
https://www.bloomberg.com/news/arti...t-chase-trends-are-this-year-s-biggest-losers
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Huh? The mega-CTAs such as Winton are at all-time AUM highs.
Now Winton is something else, they have a sharpe of almost 0.6 and very few down years. Makes a lot more sense to diversify with a manager like this. But I suspect they are the exception and not the rule.
Depends on the lookback, I guess. They're about flat, cumulatively 2015/ 16/ 17.
I don't think you need to read anything into it. GAM was a motivated buyer, put in a bullet bid, and he very sensibly hit it. (This is conjecture -- I've met him only briefly.)
Good point. When the Fed cuts the spigot, or worse, ramps its down, only to open it again in years to come, watch the fireworks in the quant/CTA space, it's not going to be pretty... the game has changed once again, and their investors won't realize until it's too late. They're probably saying to themselves, "Hey, 3 meh years in a row, this is a great time to invest!"...