Looks like the various Superfund products were down anywhere from 16.5% to 32.5% for the month of May. Ouch. Significantly worse that most other trendfollowers.
Ouch indeed... Well, after all, this is not a bad thing since they seem to be fairly dishonest with their fees, etc. Not sure if you caught that on my blog but I ranked Trend Following CTAs and funds including Superfund, it was ranked as the second worst of all the managers, providing negative value compared to a simple and cheaper benchmark... http://www.automated-trading-system.com/cta-alpha-calculate/#perftable This wont get better after May I suppose...
That's a nice piece of work. You might add these big-name trend-followers to complete your list: BlueTrend, Campbell, Graham, Willowbridge -- assuming you can find data.
Thanks - I'll try to add those - but as you say, its not always easy to find CTA performance reported every month (ie some CTAs only make it availabelt ot clients, etc.)
Interesting... any way to computerize this algorithm? And maybe 200 day SMA is popular only for stocks not commodity futures? Thanks!
What's the definition of blow-up here? TF can also have very large drawdowns and it's embeded in its roots. What strategy does Niederhoffer use? I don't think people use only one strategy... they all run as many strategies as possible.
Blow-up: see Amaranth, LTCM, Niederhoffer, etc. basically holding positions that go the wrong way and keeping holding until the losses are too big that they "blow up" and force you to unwind the position and close the fund. Typically happens with Option-writing strategies: look (very) good until they blow up by a Black Swan event. This never happens with Trend Following thanks to the use of stop losses - of course there can also be large drawdowns resulting from many small losses, but the art of Money Management is to make sure that these strings of small losses keep you in the game until the next big moves.. Not sure that Dunn, JWH, Chesapeake, Abraham, Eckhardt, etc. use anything else than Trend Following at the root of their strategy...
Is it possible? You mean use random signal + trailing stop? Please quantify as precise as possible. Thanks
Interesting. So you mean TF works best when the vol of a security is low? TFs made lots money in 2009.