CTA's are generally trend funds, not quant funds---- This author is confused with several of the comments. surf
Any time investors "pour money into" some strategy in an attempt to escape an otherwise dismal investment climate, whether it be commodities, quant funds or private equity, you can bet that strategy is on the road to becoming crowded and any edge eroded.
Seems they are finding out just like any newbie that moving average cross overs don't work once the bull market is over.
Thier formula for head and shoulder worked 73% of time on all stocks in last 20 years. Here you go, 73% winning strategy. Another funny is 3 day reversal pattern. You can trade this with couple of contracts and not 1b+ funds. Or add some AI stuff over another AI stuff over correlation matrix so it looks fancy and sure winner.
The comments on this thread are revealing. When the masses are convinced that trend following has "stopped working" it is usually on the verge of huge profits. Wait and see..
Seems it has not been working for some time. Seems the "we have this black box" pitch has also stopped working. http://finance.yahoo.com/q/bc?s=EMG.L&t=5y&l=off&z=l&q=b&c= Presumably MAN's AHL is making a killing on the trend in MAN stock.
Has been a long wait so far (at least outside of ET) Markets move between phases where almost anybody can make money to phases where almost nobody can make money. Sure, markets will at some time go back to the kind of trend where people with no experience (the less the better) can make money on moving average crossovers, or for that matter anything.