Acceptable Max DD?

Discussion in 'Strategy Building' started by Corso482, Jan 22, 2003.

  1. man

    man

    definitely right. 12 years is a long time. strategy know how is the very best info you can have.


    peace
     
    #51     Feb 13, 2003

  2. i haven't been able to dig up any long term performance reports either. i think part of the reason they're so hard to find is that there are actually so few of them that have managed to stay around for more than 10 years.

    size just seems to kill them off.
     
    #52     Feb 13, 2003
  3. man

    man

    IMO the answer is twofold. first you are right, many managers do not survive. but second is at least as important: they do not look for new money any more or even more would not accept fresh money due to strategy constraints. In professional alternative investment portfolios up to 70% cannot be found anywhere, though they are huge.

    do not forget that you just see the surface of this industry in any kind of (expensive) data bases, much more so for free information on the web.

    getting more into this is really not easy without substantial capital behind you. but hindsight and a skeptical approach can help a lot in avoiding stupid mistakes in delegating investments.


    peace
     
    #53     Feb 13, 2003
  4. sabena

    sabena

    I would rather invest in a fund with
    a 3-year track record and 10000
    trades than in one with a 12-year
    track record and only 500 trades.....

    Point ; time is not an issue, it's the
    number of trades.....

    Suppose you had a fund that bought
    stocks in 1990 and sold them in 2000
    only 1 trade , what meaning would
    that equity curve have......
    :confused:
     
    #54     Feb 13, 2003
  5. man

    man

    sabena
    i basically agree. higher number of trades is preferable. yet be aware that in tough times these strategies still pay the same amount of money on trading costs ...


    peace
     
    #55     Feb 13, 2003
  6. sabena

    sabena

    Man,



    I am referring to the statistical analysis
    of the system , I leave commissions
    out of the equation....
     
    #56     Feb 13, 2003
  7. man

    man

    i see.
     
    #57     Feb 13, 2003
  8. ChrisM

    ChrisM

    DD distribution and modelling is IMHO the most important aspect of trading. Well done tells you when to stop.
    There are some rules coming mostly from undestanding whole process of trading but there is no rule of thumb, just general tips.
     
    #58     Feb 14, 2003
  9. Coming from a manager, when looking for a fund I'd have to agree that knowing the strategy is immensely important. Then one can evaluate the length of the track record, maxdd, volatility levels and other criteria.
     
    #59     Feb 16, 2003
  10. man

    man

    elite
    could not agree more. it makes substantial difference to see a sharpe of 1 over ten years in a daytrading fund or in a short seller ...


    peace
     
    #60     Feb 16, 2003