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MS>>What were they trading ? Swiss Cheese futures or something ?
Let me guess...
As far as I know most of CTA trend-followers
are involved in currency markets this or that way.
Just a few latest volatility examples from interbank foreign exchange
markets I deal with:
EURUSD spot rate dec00 monthly Close-to-Close change 7.99%
USDJPY spot rate dec00 monthly Close-to-Close change 3.58%
USDCHF spot rate dec00 monthly Close-to-Close change -6.84%
GBPUSD spot rate dec00 monthly Close-to-Close change 4.64%
All december moves in mentioned currency pairs happened in VERY
trendy manner. So one had very nice VOLATILITY AND LIQUIDITY IN PLACE
at least in one market sector (currencies) in December.
NP> > Some sample returns for the month:
NP> > Dunn Capital +29.40%, Hawksbill Capital (Turtle) +39.13%
NP> > Saxon (Turtle) +17.50%, Eckhardt (Turtle) +11.00%
I believe the original source for monthly return figures for Dunn
Capital,
Eckhardt etc. is http://www.turtletrader.com/
So I guess monthly return figures from 11% to 39% are good
approximation
for December medium aggressive trend-following currency portfolios.
We can trust this estimate or not but I personally and few my fellow
individual
systematic fx traders have made almost the same kind of figures in
December (i.e. 15% to 42% depending on money management and pyramiding
employed).
MS>>Anyone reading Futures or Barrons has seen the articles about how
all of the
MS>>trend followers have been shot in 2000.....the worst year for
managed
MS>>commodity accounts ever.
Sorry I do not read Barrons but I can try crunching some numbers with
calculator.
MAR TRADING ADVISOR INDEX: CURRENCY PROGRAM SUBINDEX
http://www.marhedge.com/benchmarks/ta_curr.htm
Year To Date return for Dec 1, 2000 is +2.35%
Substitute some number (11% to 39%) to December value and calculate
year 2000 total return (13% to 43% p. a.).
Then compare it to S&P500 annual return (or Bonds / Money Market /
Any combination of mentioned...) !!!
Here you are... Feel the difference !
Add "almost no correlation to other conventional investment vehicles"
into equation and do not let Barron decide whether
to have managed futures in your investment portfolio.
Then you can repeat the same calculations to other benchmarks with your
data or data below
MAR TRADING ADVISOR INDEX:TREND-FOLLOWER SUBINDEX
http://www.marhedge.com/benchmarks/ta_trnd.htm
or
MAR TRADING ADVISOR INDEX: SYSTEMATIC SUBINDEX
http://www.marhedge.com/benchmarks/ta_syst.htm
Barclays Systematic Sub-Index
http://www.barclaygrp.com/indices/cta/sub/sys.html
MS> trend followers have been shot in 2000.....the worst year for
managed
MS> commodity accounts ever.
As it concerns to the whole industry...
Let's wait for CTA databases to post December results and compile the
Year 2000 (links below).
MAR TRADING ADVISOR QUALIFIED UNIVERSE INDEX
http://www.marhedge.com/benchmarks/taqui.htm
Barclays CTA index http://www.barclaygrp.com/indices/cta/
Then we'd better decide ourselves whether there is Y2k bug for managed
futures industry :-)))
Best regards,
Valery Bartashevich
Minsk, Belarus
E-mail: bvs97f@xxxxxxxxx
ICQ#12107901
> From: "M. Simms" <prosys@xxxxxxxxxxxxxxxx>
> To: "Nicola Prada" <nicola.prada@xxxxxxxxxxxx>,
> Subject: RE: Turtles and Trend Followers Kill (again)
>
> What were they trading ? Swiss Cheese futures or something ?
> Anyone reading Futures or Barrons has seen the articles about how all
> of the
> trend followers have been shot in 2000.....the worst year for managed
> commodity accounts ever.
>
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