Blood on the streets...

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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Post by AFJ Garner » Wed May 30, 2012 11:42 am

Hilarious and in most respects probably pretty accurate. Don't let's forget however that the article is written by an employee of Vanguard.

Macro
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Post by Macro » Tue Jun 05, 2012 7:22 pm

Toosday wrote:I have to admit, Macro's post made my morning. Obviously drawdowns are not fun but to see this type of language (although I cannot really tell who it is coming from) is something that pops up every drawdown. Noone can really predict what will happen but I sure would rather be in my position than in JPM's, who are stuck in their il- liquid large trade that is moving against them.
I'm afraid you stand corrected. Trend following funds have made a killing in the month of May. On the contrary, mean reversion funds are confronted with losses. Regarding bleeding beta, I was under the notion that almost all strategies tend to have high beta when compared to an index of funds employing similar strategies. What should be of concern, however, is charging 2/20 and still having high beta with the market (read: long short equity and the like).

Toosday
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Post by Toosday » Tue Jun 05, 2012 9:56 pm

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AFJ Garner
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Post by AFJ Garner » Wed Jun 06, 2012 3:13 am

Macro wrote: I'm afraid you stand corrected. Trend following funds have made a killing in the month of May.
An inaccurate generalization I fear. JWH and Tactical for instance had down months.

stopsareforwimps
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Post by stopsareforwimps » Wed Jun 06, 2012 8:13 am

AFJ Garner wrote:
Macro wrote: I'm afraid you stand corrected. Trend following funds have made a killing in the month of May.
An inaccurate generalization I fear. JWH and Tactical for instance had down months.
And it's been a long time between drinks.

http://www.attaincapital.com/alternativ ... cation/475

It doesn't look to me that recent performance is out of the ordinary. Another 2-3 years of poor performance would take it into new territory.

Chris67
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Post by Chris67 » Wed Jun 06, 2012 10:29 am

I lost in May !!
Partly my own fault for reducing risk slightly before it all soared and then we use very L/T systems which have taken longer to get short everything - now its bouncing a bit obvioulsy
Interesting that from some of the TF performances in May its fairly obvious to see they havent really swayed too much out of the short / medium term systems !!! and we heavily concentrated in fx by the looks of it
I expect our index of TF's to post an average of +3 to 5 % for the month of May

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