Trend Following failure

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hdas
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Trend Following failure

Post by hdas » Mon Sep 17, 2018 3:33 pm

This article: https://www.wsj.com/articles/the-big-he ... 1535281201 highlights what has been my perception of the strategy, on one hand there’s a plethora of academic (marketing?) studies supporting momentum strategies, and on the other hand you can’t find HF, funds, CTA’s with similarly stellar consistent real life returns. On average it’s been a disaster for investors. Let us stop the farce.

Cheers :greedy

livesoft
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Re: Trend Following failure

Post by livesoft » Mon Sep 17, 2018 4:03 pm

Don't know about trend following, but I think one can experiment with seeing when momentum changes from going in one direction to stopping and going in the other direction. Human beings (i.e. investors) have so many behavioral things that they rationally do, that it is not impossible to see when they have made mistakes and to take advantage of those mistakes.
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HEDGEFUNDIE
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Re: Trend Following failure

Post by HEDGEFUNDIE » Mon Sep 17, 2018 4:07 pm

Does this look like a disaster to you?

https://www.portfoliovisualizer.com/bac ... ion1_1=100

hdas
Posts: 232
Joined: Thu Jun 11, 2015 8:24 am

Re: Trend Following failure

Post by hdas » Mon Sep 17, 2018 4:27 pm

HEDGEFUNDIE wrote:
Mon Sep 17, 2018 4:07 pm
Does this look like a disaster to you?

https://www.portfoliovisualizer.com/bac ... ion1_1=100
it'll be apt for Mr. Hedgefundie to brush up on his stat here: https://www.itl.nist.gov/div898/handboo ... eda35d.htm

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nisiprius
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Re: Trend Following failure

Post by nisiprius » Mon Sep 17, 2018 4:59 pm

HEDGEFUNDIE wrote:
Mon Sep 17, 2018 4:07 pm
Does this look like a disaster to you?

https://www.portfoliovisualizer.com/bac ... ion1_1=100
No, looks good.

And over that same time period, ULPIX (red), 2X leveraged, daily-rebalanced S&P 500 fund looks better.

And SPXL, yellow (3X leveraged, daily rebalanced S&P ETF) looks better yet.

And your point is?

Source

Image
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fennewaldaj
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Re: Trend Following failure

Post by fennewaldaj » Mon Sep 17, 2018 5:01 pm

HEDGEFUNDIE wrote:
Mon Sep 17, 2018 4:07 pm
Does this look like a disaster to you?

https://www.portfoliovisualizer.com/bac ... ion1_1=100
Isn't this fund exploiting cross sectional not time series momentum?

hdas
Posts: 232
Joined: Thu Jun 11, 2015 8:24 am

Re: Trend Following failure

Post by hdas » Mon Sep 17, 2018 5:26 pm

nisiprius wrote:
Mon Sep 17, 2018 4:59 pm
No, looks good.

And over that same time period, ULPIX (red), 2X leveraged, daily-rebalanced S&P 500 fund looks better.

And SPXL, yellow (3X leveraged, daily rebalanced S&P ETF) looks better yet.

And your point is?
You seem confused, those are leverage buy and hold, not evidence of alpha in Time series mom....a better example are the AQR funds AQMIX, AQMRX, which Mr. Swedroe was exalting here:https://alphaarchitect.com/2018/02/08/t ... -evidence/

Cheers :greedy

HEDGEFUNDIE
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Re: Trend Following failure

Post by HEDGEFUNDIE » Mon Sep 17, 2018 5:49 pm

hdas wrote:
Mon Sep 17, 2018 4:27 pm
HEDGEFUNDIE wrote:
Mon Sep 17, 2018 4:07 pm
Does this look like a disaster to you?

https://www.portfoliovisualizer.com/bac ... ion1_1=100
it'll be apt for Mr. Hedgefundie to brush up on his stat here: https://www.itl.nist.gov/div898/handboo ... eda35d.htm
So how many more data points do you need before you acknowledge the outperformance is more than random? And how much in gains would you have foregone in the meantime?
nisiprius wrote:
Mon Sep 17, 2018 4:59 pm
HEDGEFUNDIE wrote:
Mon Sep 17, 2018 4:07 pm
Does this look like a disaster to you?

https://www.portfoliovisualizer.com/bac ... ion1_1=100
No, looks good.

And over that same time period, ULPIX (red), 2X leveraged, daily-rebalanced S&P 500 fund looks better.

And SPXL, yellow (3X leveraged, daily rebalanced S&P ETF) looks better yet.

And your point is?

Source

Image
Come on, Nisi, give me some credit. MTUM shows higher Sharpe ratio than S&P 500, with lower max drawdown. I agree we should see how it performs in a downturn, but so far it has not disappointed its investors, and is far from the "disaster" that OP claims.

hdas
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Re: Trend Following failure

Post by hdas » Wed Oct 10, 2018 2:11 pm

MTUM exodus, down 3.5% as we speak. I expect the underperformance that started some weeks ago to continue. H

hdas
Posts: 232
Joined: Thu Jun 11, 2015 8:24 am

Re: Trend Following failure

Post by hdas » Thu Oct 11, 2018 2:49 pm

Can Mr. Whilthrill or any other trend follower illuminate us with the expected levels for exodus in SPY, VTI ?

The usual suspects are:

> 10 Monthly average
> Monthly 11-10 down, or 12 - 10 down
> 200dma (we are below this)

quantAndHold
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Re: Trend Following failure

Post by quantAndHold » Thu Oct 11, 2018 3:01 pm

hdas wrote:
Wed Oct 10, 2018 2:11 pm
MTUM exodus, down 3.5% as we speak. I expect the underperformance that started some weeks ago to continue. H
I did not know that a few days or weeks of poor performance was relevant?

HEDGEFUNDIE
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Re: Trend Following failure

Post by HEDGEFUNDIE » Thu Oct 11, 2018 3:17 pm

hdas wrote:
Thu Oct 11, 2018 2:49 pm
Can Mr. Whilthrill or any other trend follower illuminate us with the expected levels for exodus in SPY, VTI ?

The usual suspects are:

> 10 Monthly average
> Monthly 11-10 down, or 12 - 10 down
> 200dma (we are below this)
Willthrill has stated in the past that he looks at economic indicators in addition to stock levels to decide when to sell. And the economic indicators right now are all green.

hdas
Posts: 232
Joined: Thu Jun 11, 2015 8:24 am

Re: Trend Following failure

Post by hdas » Thu Oct 11, 2018 5:35 pm

HEDGEFUNDIE wrote:
Thu Oct 11, 2018 3:17 pm
hdas wrote:
Thu Oct 11, 2018 2:49 pm
Can Mr. Whilthrill or any other trend follower illuminate us with the expected levels for exodus in SPY, VTI ?

The usual suspects are:

> 10 Monthly average
> Monthly 11-10 down, or 12 - 10 down
> 200dma (we are below this)
Willthrill has stated in the past that he looks at economic indicators in addition to stock levels to decide when to sell. And the economic indicators right now are all green.
AKA mumbo-jumbo. The lag, noise, revisions et.al of Econ indicators makes them pretty much useless for timing. There are a couple of guys running away with systems that predict recessions and their systems look great mostly with N=2.

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