Over a minimum of 10 year , which ones have the best track record on a risk adjusted basis and absolute returns ? Discretionary traders, investors like Soros, Trendfollowers turtle style,etc.. OR Automated systems like Citadel,etc... Computers or the human brain ?
Bridgewater with 70 - 80 bill. under management is the largest hedgefund I know of. Ray Dalio's approach is 100% automated. Here's a interview with him before he made it big: http://www.derivativesstrategy.com/magazine/archive/2000/1000qa.asp
15% per-year for last 18 years before fees. worst year -2%. Since they only deal with institutions I can't find the fee structure.
Andrew Hall (FIBRO/Citi) has one of the best track records. Discretionary. Word is, he is trading rather aggressively. Also a candidate: Rentec You will not be able to answer the above question, since the numbers you are looking for are often highly secretive.
The real question that should be asked is there such an animal as "automated" trading without discretionary inputs? How about this one: Can trading even be considered to be automated at all? Then there is this question: Just what is considered "automated" trading? Order entry and exit can be automated to do such and such at certain spots if so and so happens but that is simply telling the PC to do what you consider something you extracted from discretionary discipline. Reread that artical and you will understand that human input was needed to develope the tactics and human input must be present to adjust as needed. Pure "AUTOMATION" is a myth except for getting in and out when you code the pc to do just that and when. Face the truth, if people were able to program a computer to just crank out money the game would be over long ago. Anyone that makes a lot more money than the other guy either discretionary or (sic) automated simply is a better trader with said strategy and tactics which he/she learned before they fired up the computer. PS: So the answer to the lame brain question is the BRAIN.
I was very impressed after seeing the presentation they gave. Out of about 10 mulitstrat. firms, that I saw present, they had the best talent, had the best corporate culture and were the biggest. They don't care what the strategy or investment is as long as it makes money. I can remember them saying they even invested in a foreign movie. If you work for them, your work can be criticised by your peers at any time and you are encouraged to do the same. I know many other funds are meritocracies, but this seemed different. If you had a problem with something Ray did, you are encouraged to bring it up. Although I can't remember specifics, they told a story about that. I miss getting their research reports.