Musings on (worthless) Past Performance

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.
fjpenney
Contributing Member
Contributing Member
Posts: 9
Joined: Sat Mar 19, 2011 1:45 pm
Location: Canada
Contact:

Post by fjpenney » Wed Feb 22, 2012 5:03 am

AFAIK = As Far As I Know

ifyousayso
Full Member
Full Member
Posts: 20
Joined: Sun Feb 19, 2012 11:47 am
Location: UK

Post by ifyousayso » Wed Feb 22, 2012 5:19 am

Yup; AFAIK=As far as I know.

ifyousayso
Full Member
Full Member
Posts: 20
Joined: Sun Feb 19, 2012 11:47 am
Location: UK

Post by ifyousayso » Wed Feb 22, 2012 12:38 pm

By the way, chris67, I'm not dissing WCM, which is clearly top shelf in a lot of ways, but I was curious about your remarks about their effect on the rest of the CTA industry. It seems to me fairly unlikely at this stage (for the reasons stated above) that they're competing with Mulvaney at the moment for client money. Rather it appears that WCM is in the process of morphing into a more mainstream asset management company, which is in line with the interviews and the opinion pieces they've placed in P&I.

AFJ Garner
Roundtable Knight
Roundtable Knight
Posts: 2040
Joined: Fri Apr 25, 2003 3:33 pm
Location: London
Contact:

Post by AFJ Garner » Mon Mar 12, 2012 2:58 pm

AFJ Garner wrote:
DPH wrote: As you will see the highest MAR ratio was a 2.01 with the average being a 0.40
Sobering. And that of course takes no account of the survivorship bias.
I got a monthly performance sheet for a Canadian Merger Arb fund called Amethyst Arbitrage Fund. The MAR of the onshore version is 0.29

They quoted max DD and return since inception for various HF indices from which the following MARs emerged:

HFRI Convert Arb 0.22
HFRI Risk Arb 1.03
HFRI Event Driven 0.39
HFRI Global 0.39

Frankly I had never bothered to look at, work out or consider this measure on the hedge fund indices before. But with the exception of the Risk Arb index they look surprisingly (a) shitty and (b) similar to the sort of figures we find on CTAs.

Post Reply