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Performance of various managed futures strategies in 2011

Posted: Wed Dec 21, 2011 1:51 pm
by stopsareforwimps
TL;DR: Fixed income and spreads trading did well, everyone else average to poor. Trend following had a bad year as we know. ... cation/455

Posted: Fri Dec 23, 2011 7:30 am
by cymond
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! ... b/cta.html

Posted: Fri Dec 23, 2011 11:14 pm
by rhc
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. ... mber-2011/