A variation of another story: "Person with no understanding of statistical significance claims four months of performance is meaningful" GAT
%% Four [4] % drawdown sounds fine. NOT buying the 11 year bullmarket, in the sense 20%/+ = a bear market[OCT 2018]; but the trend is still up, so no problem there. Bsides that time spent below 200 dma trended like abear; so I guess the hedge funds have a good excuse to underperform again...…...2019 NOT a prediction.
Seems, all these "quant hedge funds" are incapable of reading AND understanding basic 101 correlations: 1) Harvard, Hawaii Gambled on Market Calm—Then Everything Changed Harvard, Hawaii and others, pressed to improve returns, made risky bets that depended on low stock-market volatility https://www.wsj.com/articles/pensio...arket-calm-then-everything-changed-1518626836 2) Thus, investors putting monies into "quant hedge funds" will experience what a certain Mr Geenspan dubbed one day as "irrational exuberance" 3) There are funds out there who perform exceptionally well in these circumstances but certainly not "quant funds". Example: a) H2O Alegro global macro/currency fund: www.h2o-am.com See Alegro Fact Sheet attached below. b) Optimum Capital: www.optimum-fund.com c) Audentia Capital: https://audentiacapital.eu/funds/world_fx https://audentiacapital.eu/assets/documents/audentia_world_en-new.pdf
Thanks to President Trump, these quant hedge funds bet on low volatility just when high volatility is about to strike back. You've been Trumped!!
Loosely following on stationary thread... Why is it that people make things stationary (eg log returns) in order to deal with them quantitatively instead of developing new tools to work with the fact that things are non-stationary... If everyone is doing it, it's probably wrong, no?
I will try to find some links I've read later. To be fair, stationarity might remain for a while and if your edge is hidden, potentially a long while. I feel sorry for AQR who are very transparent about their research results...