Allocation: Interest rates 14.70 % Equity related markets 16.68 % FX 25.17 % Metals 6.09 % Energies 7.01 % Agriculturals 9.74 % Hybrids 20.62 % Total 100 %
I'm guessing they've employed shorter term models, which have struggled in the last five years. Their performance over the last five years has been similar to the Turtles. Before that though, their track record was stellar. Assets under management may have played a role as well.
Common lore is the advantage a little retail fella has over "big money " is his ability to fully enter and exit with a single mouse clicks. Has anyone out there actually managed entering a position such as "long term US treasuries" of say 500 million USD? Must be some algo or ratios relating liquidy/position size/required trend. Keep layering till it stops working? Talk about a level of uncertainty beyond beleif. How is this really done? (Garachen, Scat?) or anyone able to say under their ET handle?
Hedge funds and CTAs are constantly trying to improve ways to execute trades to reduce slippage and to mask their trades. They are always hiring quants to program this stuff so it can be more automated. In the case of really big orders, humans are still responsible for trade execution. Ultimately, the more successful trading businesses are trading a multi-strategy approach that allows them to scale in and out trends at different levels, and they are employing a variety of strategies to execute the orders.
I can say a bit as I'm now retired. I ran a portfolio of fixed income systematic strategies, mostly trend following. To give you an idea of size, if the entire portfolio was in 10 year treasuries the peak position would have been around $25bn. Given you're mostly in trend following you would be gradually adding to positions, and then gradually removing them, but you are constrained by the cost of trading that market as to how fast the trends you catch would be. Generally you'd set a limit on how fast you're prepared to trade depending on the cost of the market. In the most liquid markets it's probably okay to trade every week. In less liquid markets, like credit or EM swaps, you might only be able to turn over your portfolio a few times a year. Getting this right is essentially a statistical exercise of comparing a known cost with an unknown payoff from faster trading. You want to be able to get out of a position in a relatively short period of time, without impacting price too much. So you might set a rule of thumb like 'I want to be out of my position in five days without being more than 10% of average daily volume'. That implies you can't hold a position of more than 50% of ADV (or perhaps less, given that volumes will probably fall in a crisis). You also might want a limit on what proportion of the open interest you are. So the larger the portfolio you have you have to reduce diversification by sticking to the most liquid markets. This comes down to setting limits on any portfolio optimisation you have. Interestingly the total costs you face at that level are fairly close to the costs as a 'point and click' retail trader (trading futures through IB at least). There is a sweet spot for costs for funds of around a billion dollars (depending on the asset class) where you can get institutional commission levels, but not be impacting the market. So the game isn't as different as you might think.
No I ran a third (the fixed income part) of a $15bn portfolio. The AUM number is meaningless without a risk target which is why I said that if that entire portfolio was in US treasury futures, then at peak risk you'd need to own 25,000 contracts. I hope that makes sense - I can explain more clearly if you like.