the same academic paper i reference a few pages ago that im sure no one read. also check out (i think) the hand book of alternative assets which describes why the same logic applies to the GSCI. . .
surfer: answer is....it depends. adding a managed futures allocation to your portfolio improves the risk adjusted returns for lots of reasons. trendfollowing applied to indices on a lengthly time frame (see siegels work in stocks for the long run for a test back to 1900 with the DJIA, or the great work done at merriman capital, www.fundadvice.com) improves the RISK ADJUSTED returns for virtually every asset class, mainly by keeping you out of long drawdowns. . .but you need to have a decently long timeframe to avoid commissions + slippage issues. . .
That's a rather self-serving assumption. I suppose it helps you win debates when you can put (stupid) words in your adversary's mouth.
as far as stocks, there are trendfollowing factors that are predictive of stock returns....and of course factors that are inversely predictive... see haugens books "the new finance" and "the inefficient stock market"....also the blackstar paper referenced earlier. . .
maybe all this guy althucher is saying is that there are too many mooks in the market who have no idea what they're doing.
actually, thunderdog, the "bible" of trend following--"trend following" by mike covel defines trend following this way. where else is trendfollowing specifically defined? surfer
Thank you for illustrating my point. I read Covel's book and found it to be largely a waste of time. As you, yourself, pointed out it was an evangelical work more than anything else, presumably preaching to the choir. Covel may or may not have quoted some of his subjects accurately, but I don't think that when he speaks he does so for all of trend trading. Buying new highs or selling new lows is certainly one way of trading (that I, personally, never had much luck with on balance), but I doubt that it encapsulates all of trend trading. Given your low regard for Covel, as evidenced by your prior posts as well as your assessment of his book using one of your pseudonyms, why are you taking his word for it? Kiwi trader called it right: disingenuous. Do you not see that?
I am developing trading systems since 6 years - my experience (very much shortened): By the way: Trendfollowing defined as: - entry +/- setup: procyclic - exit: trailingstops or procyclic (e.g. x-period low) - no targets - comments concern trading without t-bill returns 1. Trendfollowing of mature stock indices DOES NOT WORK! 2. Trendfollowing does work for fundamentally chosen stocks. 3. Trendfollowing does work for commodities, bonds, currencies Inheritent to all trendfollowing strategies are: 1. If the return should be quite big, so are the drawdowns. 50% is not unusual. 2. If returns should somehow be quite stable (e.g. DD <=15%) then they are miniscule. 3. The longer the time frame the bigger the probability for trends (with some bounderies: very very shortterm autocorrelation is higher - trading very very longterm especially in commodities is often not a good idea). Now to the more philosophic part: Over time the number of marketplayers increased, as transactioncosts decreased and markets got more efficient => NOISE IS INCREASING. This does not mean trendfollowing won 't work anymore, but I think returns will be smaller than 10-20 years ago. Despite that I have to add that through globalisation the correlation of assets has a tendency to increase. Trendfollowing profits from asset diversification - this benefit will decrease. => So as you can see I do agree with Altucher concerning his statement about trendfollowing in stockmarkets to a big part. Concerning other assets - Altucher has the right direction, but trendfollowing will not die. Just my opinion...