Trend Following Declared Dead By Financial Times

Discussion in 'Wall St. News' started by marketsurfer, Sep 8, 2014.

  1. Last edited: Sep 9, 2014
    #11     Sep 9, 2014

  2. Maybe a smart move! LOL
     
    #12     Sep 9, 2014
  3. S&P only has had one trend for the last 5 years on zero volume.:eek:
     
    #13     Sep 9, 2014
  4. %%%%%%%%%%%%
    LOL
    However I remember a MarketSurf kid quote; that youngster had a pretty good grasp of Tek analysis ''Sqiggly lines''[pattern] Wisdom is profitable to direct.
    murray t turtle/trend follower/study
     
    Last edited: Sep 10, 2014
    #14     Sep 10, 2014
  5. Visaria

    Visaria

    Mav, on an article on Abraham's site, it says trend following (long and short) account for less than 30% of their trading. They are much more into mean reversion stuff. Basically, trend following may not have accounted for all that out performance against the S&P.
     
    #15     Sep 12, 2014
  6. scr12

    scr12

    Snap3.png
    Well, there was a massive trend both in equities and gold during last 3 years and their trading entirely missed.

    Also they are comparing their levered fund with unlevered SPX. They should have posted their risk adjusted return.
     
    #16     Sep 12, 2014
  7. Maverick74

    Maverick74

    It depends on the market. When the market is trending, they run their trend following stuff, when it's not, they don't. No magic here.

    "Abraham Trading Company’s trading methodology is a systematic approach blending long-term trend following, short-term trend following, short-term momentum and mean reversion strategies. Each strategy is further divided into sub-systems to facilitate smoother entries and exits. We have also implemented filtering techniques in some strategies to avoid trades with adverse risk/reward characteristics. While the filter’s goal is to capture profits, its selectiveness allows the system to enter markets only during periods when the risk/reward of a trade is heavily in the trade’s favor. It is even possible that if unacceptable risk characteristics exist, the filter could avoid trades with positive profit expectations. The end result is a trading method that has historically provided our investors exceptional returns with low correlation to stock and bond investments."
     
    #17     Sep 12, 2014
  8. Maverick74

    Maverick74

    What makes you think they missed it? They could have had losses offset the winners in those trades.
     
    #18     Sep 12, 2014
  9. EPrado

    EPrado

    Gotta love that the OP started this thread right after most Trend Following Funds had huge Augusts. Some of them had double digit winning months that erased 6 months of small losses and put them in the positive for 2014.

    Nice timing Surf.........
     
    #19     Sep 12, 2014
  10. scr12

    scr12

    Because they are comparing themselves to unlevered SPX and commodity index. If they had compared themselves to managed futures strategy, I wouldn't have commented. There was a clear trend in equity, gold, and some ag futures.

    Anyway, I agree with surf on this, last 3-5 years performance of most hedge funds have been terrible.

    Data as of Jul 2014
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    Last edited: Sep 12, 2014
    #20     Sep 12, 2014