Dispersion For Trend Followers, Not Larger Than Expected

Despite a rather difficult year for Trend Followers, there does not seem to be an abnormal dispersion of yearly returns. It should be said that the data is not adjusted for survivorship biases so the reader should note that the results are shifted upward nor has all manager in the sample reported data for the full year. Nevertheless, it is interesting that the interquartile range is below average, at 10%.

Moreover, as shown above, the quartile ranges have been relatively stable over time and this year does not look abnormal. The underlying data is available at www.nilssonhedge.com for anyone looking to dig deeper into the manager data.

Advertisements


Categories: CTA, NilssonHedge

Leave a Reply

Please log in using one of these methods to post your comment:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out /  Change )

Google photo

You are commenting using your Google account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

Connecting to %s

This site uses Akismet to reduce spam. Learn how your comment data is processed.

%d bloggers like this: