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Performance of various managed futures strategies in 2011
Posted: Wed Dec 21, 2011 1:51 pm
TL;DR: Fixed income and spreads trading did well, everyone else average to poor. Trend following had a bad year as we know.
http://www.attaincapital.com/alternativ ... cation/455
Posted: Fri Dec 23, 2011 7:30 am
Amazing how brutal the year has been. Chip Chip Chop Chop.
For what it's worth, for CTAs, the year seems to be closing out as the worst on record! http://www.barclayhedge.com/research/in ... b/cta.html
Posted: Fri Dec 23, 2011 11:14 pm
Yes indeed!, a very dirty year for trend followers. (in general)
From the website of fellow forum member â€˜Jez libertyâ€™ we see that, on average
, trend followers are DOWN 7.38%
to end of November 2011.
Quite a lot of â€˜Redâ€™ and not much â€˜Blackâ€™ shown in the performance table.
http://www.automated-trading-system.com ... mber-2011/