Maverick1, thanks for the link. I found it previously, but unfortunately, we only have the graph and not the precise statistics of the ZCM/MAR Trend Follower Advisors Index. I would need the monthly returns... I think I will have to contact ZCM directly to get the figures. Thanks for your help!
I think this data should be very interesting. If you believe the claims in CTA's websites, you would be convinced that no one ever had a losing year. Look up the montly results in Futures, and you will be hard pressed to find positive returns. That said, I think the statistics on trend following systems, as opposed to funds, are pretty well known. Most trend following systems will have a low percentage of winning trades, say 30%, and will make decent returns if measured over long periods, but they need to trade a diversified portfolio with plenty of reserve for drawdowns.
Could you please explain the data set you wish to have? How long a period to you want reported to you for the data set? What statistical test qualities are you requiring? Do you have a definition of what you think trend following actually is?
This may link with other thread on why folks with clearly profitable strategies or methods reveal them !?! http://www.futuresmag.com/cms/futur...torial/Trading Techniques/FEB07TTPruitt_Cover Read the actual magazine, most systems are trend following with 1/2 counter trend But why sell your system for USD$2000 or so, when you can very very likely get minted trading it yourself ?? These guys are nuts. However my experience of dealing with quants & developers is that, they are interested in others marvelling at their brilliance and intelligence
They aren't nuts, in fact, nuts are the ones buying the system. No consistent profitable system that works in all types of market environments is out there for sale because if it worked it would not be for sale. It's that simple.
The views of marketsurfer: The record of John W. Henry: http://www.jwh.com/fund_details.asp?prg=2 http://www.jwh.com/fund_details.asp?prg=10
he only has 28 million under management??:eek: how does that fund stay open without support from others?? this is after the 40% plus loss from 2004-2007? yeah, he was due to guess correctly this year, thanks for the info! surf
the guy who started the thread- check out this site for charts of annual returns of trend traders and their AUM's: www.iasg.com you will find results for the good trend followers- Winton, Rabar, Eckhardt, Abraham.... http://www.iasg.com/tabid/56/default.aspx?programid=156 Regarding the post below - Have fun Marketslayer- maybe you can find a way out of this mess- without finding a trend of course. Any idiot with a basic understanding of how a computer works can see that you search by AUM, Annualized returns, or a combination of the two. Duh....
2 of the top 10 this month have 0 assets under management. the rest are tiny, personal account size operations in the top 10. I know, those other guys you mention, have big money and big drawdowns generally. surf