CTA Performance Index

Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
AFJ Garner
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Re: Dunn

Post by AFJ Garner » Tue May 15, 2012 7:17 am

Either way the 2+20 provisions make it hard for the punters to win.
And it is not just the hedge funds who screw investors. In this country there are also the mutual funds themselves with their absurd management fees for sub-index performance and their huge bid offer spreads. Then there are the IFAs (independent financial advisers) who take an up front fee sometimes running into a few percentage points for putting their clients into the mutual funds.

I am firmly in the indexing camp.

Incidentally, it is inconceivable that Dunn do not have a High Watermark policy.

mirec79
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Dunn

Post by mirec79 » Tue May 15, 2012 8:11 am

AFJ so i contacted Dunn and they answered:

"Yes, we charge a performance fee only on "net", new high watermarks."

So it would be interesting "how much" it was during last 10 years.

Mirec.

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Post by AFJ Garner » Tue May 15, 2012 8:24 am

The spreadsheet you provided contained results for 132 months. New highs were reached in 13 of those months. I fear that the chart I posted above represents a more accurate picture than yours does. :cry:

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Dunn

Post by mirec79 » Tue May 15, 2012 8:26 am

Right.

M.

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Re: Dunn

Post by Moto moto » Tue May 15, 2012 12:07 pm

stopsareforwimps wrote:
miroslav_krajcir wrote:Ok, i ll drop them an email and i ll be back with the answer. AFJ you are right if they are not charging fees on new highs this matters a lot.

Mirec.
Either way the 2+20 provisions make it hard for the punters to win.

Someone calculated that if Warren Buffet had charged the investors in BRK-A 2+20 they would have underperformed someone who indexed the S&P500.
Isnt that the reason for Warrens Bet (Bloomberg - made a friendly bet four years ago that funds that invest in hedge funds for their clients couldn’t beat the stock market over a decade. So far he’s winning.
The wager that began on Jan. 1, 2008, pits the Omaha, Nebraska, billionaire against Protégé Partners LLC, a New York fund of hedge funds co-founded by Ted Seides and Jeffrey Tarrant. Protégé built an index of five funds that invest in hedge funds to compete against a Vanguard mutual fund that tracks the Standard & Poor’s 500 Index. The winner’s charity of choice gets $1 million when the bet ends on Dec. 31, 2017.)

and AFJ - I do know of a fund that charged daily for profit share, with a HWM that was reset (ie; it did not have one) yearly. Thankfully they have been banned by the FSA and SEC, and yet still operate an offshore fund.
They also kept any interest on cash balances as it was a futures account....so nothing should surprise.

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CTAs

Post by mirec79 » Tue May 15, 2012 3:24 pm

AFJ, it would be interesting to compare CAGR and DD of CTAs with and without commissions.

Any idea where to find such data?

So i could have an idea what is the real performance of such CTAs, and i would have idea which numbers are realistic for me as TF.

Mirec.

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Post by AFJ Garner » Tue May 15, 2012 3:27 pm

I re-visited the MLM Index today after a gap of some years. The information is not, I believe, publicly available and so I am loathe to quote too many figures. The thought behind the index is that is represents a benchmark for trend following CTAs. It is not a buy and hold index like the GSCI or the CRB. Rather, it adopts a simple trend following strategy - a similar and far earlier idea to the Newedge Trend Following index.

You can't call it a passive index therefore. In any event, it too shows significantly declining rates of return over the past decade. Up until about 1980, the returns were significantly greater than after that date. The real deterioration set in after the year 2000.

Which is not to say of course that you can't devise any number of systems which do NOT appear to have deteriorated over the past decade.
Last edited by AFJ Garner on Tue May 15, 2012 4:20 pm, edited 1 time in total.

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Re: CTAs

Post by AFJ Garner » Tue May 15, 2012 3:31 pm

miroslav_krajcir wrote:AFJ, it would be interesting to compare CAGR and DD of CTAs with and without commissions.

Any idea where to find such data?

So i could have an idea what is the real performance of such CTAs, and i would have idea which numbers are realistic for me as TF.

Mirec.
I suspect you would have to calculate such information yourself. If you do so, be careful to look at segmented data in, say, 5 or 10 year chunks rather than CAGR and volatility figures for the whole period. Of course, looking at a chart of the VAMI will give you a good idea as to whether profitability has been declining or increasing. Similarly, look at volatility on a rolling 3 year basis rather than the often quoted (and misleading) figure for the entire length of track record.

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Post by babelproofreader » Wed Jun 06, 2012 4:18 pm

The code for my attempt at a simple mechanical benchmark is here. I chose to go with R code and a function written using the Rcpp package. Feedback on this code would be welcome.

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