Portfolio of Different Systems

[RobGiles]

I was re-reading Market Wizards this week and was intrigued how some traders specialise in either trend following or MR. Given I’m on a mission to build a portfolio of systems with low correlation with each other, it prompted me to ask the question ‘are there many traders who have both styles of systems in their arsenal?’

I did notice however that Paul Tudor Jones, who seems to be primarily a MR / Swing trader using Elliot Wave as a tool, also trades a range contraction/expansion trend following system, so I guess there one successful example?

[Nick Radge]

Many do. A few examples:

From Graham Capital:
…manages quantitative and discretionary trading portfolios with a variety of return and volatility objectives, as well as blended portfolios that include a combination of quantitative and discretionary strategies. Strategies trade a broad range of markets spanning global interest rates, currencies, commodities and equities and are designed to produce attractive absolute and risk-adjusted returns with low correlation to traditional assets and other alternative strategies.

From Abraham Trading:
We manage a multi-model and multi-market systematic strategy that trades a portfolio of 73 global futures markets. Our multi-model strategy allows us to adapt over time as markets develop and evolve. Our multi-market approach adds diversification and access to a broad range of market conditions

From Winton Capital:
Our programs include diversified absolute return strategies, managed futures and long-only equity. programs include diversified absolute return strategies, managed futures and long-only equity.

From Crabel Capital:
The firm has developed a broad, diverse array of trading strategies designed to systematically capture market anomalies, implemented through a technologically advanced, low latency infrastructure.

[Nick Radge]

Here’s a good article on the evolution of trend following companies since the mid-90’s. Specific quote to this topic:

Quote:

Managed futures have moved from the focused intermediate to long-term trend-following of the 80s and early 90s to more mixed strategies of more markets traded, more styles employed, and alternative timeframes for trading. These mixing of style, timing, and markets serve as mechanisms for smoothing returns, improving return to risk ratios, and finding ways to maintain fees as simpler quantitative strategies become commoditized.

And another interesting quote, which could easily be misssed, but is very important (emphasis mine):

Quote:

Strategy diversification has started to include carry type trades and position adjustment based on risk-on/risk-off indicators.

Here’s the full article:

https://mrzepczynski.blogspot.com.au/2018/04/the-evolution-of-trend-following-firms.html

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