How the pros are doing

[village idiot]

Every so often I like to have a browse through the performance of the many managed futures funds reported on this website;

http://www.managedfutures.com/program_profiles.aspx

It is interesting that despite being run by various MBAs, finance degrees, computer engineers, rocket scientists, heads of this and that department major banks, and presumably having best available technology and research, just how few actually make alpha, or even money, consistently.

Another takeaway is how many programs which mention trend following in their strategy notes (3rd column) have had a hard time of it the last two or three years, with hitherto profitable equity curves turning flat or downwards, across all markets.
I found much the same when testing the momentum strategies in Unholy Grails.

 

[Gringotts Bank]

Thanks.

If you could learn profitability at MIT, there would be a lot of very rich young guys around town.

Some of the funds look good however: Global Sigma Plus Program *QEP* has extremely low DD and good returns.

 

[mazzatelli]

The important question is...are those involved making a lot of money, independent of the funds performance?

 

[DJG]

You'll probably find the fund managers also have a lot of red tape above their head on when and what they can enter and/or the strategy used. Probably a fair bit too it besides a bunch of managers with high end qualifications.