Interesting, so if I replicated your Chapter 15 strategy, and I had 10 year annualized returns of zero, and lets say the SP500 did 5 percent per year annualized, I should still stick with it?
Sorry to butt in but my less than 2c worth (blame the recent drawdowns) is that the Computer says 'probably Yes'. Of course if it was me and competing strategies do better in a statistically significant way than using GAT's distilled wisdom, I would be inclined to increase allocations to the better performing strategies. Keep in mind whatever you do, over an infinite time horizon your risk of ruin is 100% in any case
It depends. Do you have the option of putting some of you money in the strategy and some in the S&P? (of course you do) Why are you allocating to trend following- for absolute return, or portfolio diversification? GAT
Hi Rob, Just wanted to check on the position of the above item on your to-do list Your thoughts / view on adaptations required would be much appreciated! Thanks in advance
This is rude, although GAT will be too polite to say so. It's a public chatboard. If you're in a hurry for results, do the work yourself.
Thanks @Elder (please don't apologize for offering your view!) and GAT. I am looking to maximize returns, as this is my retirement account, to be tapped in maybe 25 years. I do have some money in index funds, but not as much as I'd like because most of my account capital is required to have enough instruments (16) in my futures portfolio to get sufficient diversity to produce a decent backtested sharpe (.87). I guess I'm just nervous that trend following might be dead, and I'd feel regret if I made no money or lost money after ten years on my futures portfolio when it could have been in stocks all that time.
Hi GAT and all other fellow traders, say we want to estimate the 1 month volatility ahead, a good method will be to use the implied vol of traded options. However if we want to do some estimate of the intraday volatility, say just the volatility of today, are there any good techniques to do so?
AHL back in the hunt this year - MFPA nominees just announced - Managed Futures Pinnacle Awards BEST LARGE CAP CTA 1-Year Best Large Cap CTA ($5 billion + AUM) Man AHL (AHL Dimension) Man AHL (AHL Evolution) 3-Year Best Large Cap CTA ($5 billion + AUM) Man AHL (AHL Dimension) Man AHL (AHL Evolution) 5-Year Best Diversified CTA ($500 million + AUM) Man AHL (AHL Dimension) Man AHL (AHL Evolution)