FXhackers: BarclayHedge Indexes

23.01.2012 г.

BarclayHedge Indexes

Today while surfing with no particular place to go ;), I visited the BarclayHedge Indexes . It was interesting to see what happened the last year. It looks like almost everybody has lost money. Then I was concentrating to see who actually was making money.

And surprise surprise the market neutral and arbitrage hedge funds were making money, while a lot from the rest were loosing.

The arbitrage hedge funds are more of a roller costs. The fixed income arbitrageurs made actually a nice profit of 4.53% in 2011, 11.65% in 2010, 19.83% in 2009, but it lost 25.2% in 2008 (and that is a capital loss). Something very bad with this strategy happened in Oct 2008. And this is the major decline in the financial crisis. So it looked that those systems were not market independent at all.

The equity market neutral index is interesting the returns were quite small but steady. However the actuall 0.24 % does not look terrible anyway.

On the other hand the CTA (Commodity Trading Advisors) performance is still good. Look it is interesting how the performance in the 80 ties, it was a stellar performance, some kind of a golden age of technical analysis.

The biggest performance for the CTA was in 2002 and 2008 the biggest historical declines in the stock market. This is of paramount importance with the studies we make here about the pockets of predictability. Those market conditions are characterized by lower entropy and large Hurst exponent. During those times humans can predict the markets pretty well. Look 1987 the biggest performance by the CTA.