Do you think over the long term, let’s say next 10 years, you will return 5% annually, 10% annually? 20% annually?
I thought it would be an interesting question to ask, as I am currently looking at the prospectus for a couple of investment products and found their annualised return over the last 10 years to be quite interesting.
For example, here is the (net of all costs/fees) performance of the “Man AHL Alpha (AUD)” fund, which is both long and short across all asset classes represented in futs markets as well as equity sectors.
(from their latest monthly report https://www.gsfm.com.au/cms/wp-cont…port_-_Retail_Audience_English_30-07-2019.pdf)
Now this is a fund that advertises itself as:
So if you think you can achieve 10%, 20%, or more p.a. over the long term, while a team of 140+ highly qualified individuals with no constraints on capital or strategy implementation can achieve only 5% p.a. over the long term with a Sharpe ratio of 0.24 …what is your reasoning for why you think you can do better?
For example, one reason I might find valid is if you say “I trade my system in much more volatile parts of the markets so I expect my returns to be higher even though my Sharpe ratio would be about the same”.
I don’t want to sound like I am negative about trend following systems, in fact I implement a couple myself for governing certain exposure within broad asset class envelopes. But I am curious to see how peoples perceptions about their own futures performance match up against the performance of best in breed systematic traders and why they think that.