YTD performance of Trend Following Wizards

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absret111
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YTD performance of Trend Following Wizards

Post by absret111 » Wed Jul 20, 2011 7:03 am

The following site (by Jez Liberty) shows YTD performance of Trend Following Wizards:

http://www.automated-trading-system.com ... -red-june/

Since only 4 Wizards holding onto a “blackâ€

LeapFrog
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Post by LeapFrog » Wed Jul 20, 2011 11:51 am

Without knowing anything about anything, I would say the thing they have in common is luck.

Not like they "hit it out of the ball park" that much ahead.

Most all the tracking indicies for CTA types are showing red YTD.

On the other hand, if you were to ask me what some of the traders listed below have in common, I'd say it was genes of the sort that Michael Jordan or David Beckham received upon entering our world. Some of them seem to pump out consistent well above average returns over many years.

Food for thought.
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Chris67
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Post by Chris67 » Wed Jul 20, 2011 1:11 pm

or perhaps they share the same administrators as Bernie Madoff ? :D

Chris67
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Post by Chris67 » Wed Jul 20, 2011 1:16 pm

here is our trend following index for June
It covers 30 TF's covering $52 Billion of AUM and shows the index going back 5 years along with some associated stats (I have the index back to Feb 1977)
If anyone wants this regularly I'll put you on my mailing list and send it out monthly (p.m me)
TIM - i do not charge - there is no financial gain hehe - plse dont scrub this post !!!
Jezz Liberty's site (which is excellent) and his monthly update will be similar onviously although I do pay for some non - publicly available data from some of the trend followers to build my index
either way you cut it ...... its a crap year !!!!
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Jez Liberty
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Re: YTD performance of Trend Following Wizards

Post by Jez Liberty » Thu Jul 21, 2011 4:10 am

Thanks for the mention!

[quote="absret111"]The following site (by Jez Liberty) shows YTD performance of Trend Following Wizards:

http://www.automated-trading-system.com ... -red-june/

Since only 4 Wizards holding onto a “blackâ€

Chuck B
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Re: YTD performance of Trend Following Wizards

Post by Chuck B » Thu Jul 21, 2011 9:06 am

absret111 wrote: It would be interesting to know, if or what these 4 Wizards with "black" YTD numbers have in common?
The answer is most likely nothing. It could range from asset selection to risk sizing algos, discretion (i.e. recognizing after the huge 2+ year run-up that the Bin Laden execution was "the" emotional trigger to de-risk by world's markets), etc...

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