Performance of various managed futures strategies in 2011

How do you know when a trend has started? Ended? This forum is for discussions about trend indicators and signals.
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stopsareforwimps
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Performance of various managed futures strategies in 2011

Post by stopsareforwimps » 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

cymond
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Post by cymond » 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

rhc
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Post by rhc » 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 ‘Jez liberty’ we see that, on average, trend followers are DOWN 7.38% to end of November 2011.
Quite a lot of ‘Red’ and not much ‘Black’ shown in the performance table.
http://www.automated-trading-system.com ... mber-2011/

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