How many articles have I read in the last year that tell me that retail investors suck (and active managers, too, for that matter...except that they are not ding-ed as hard for behavioral bias as retail)? A lot. Personally, I think a set of systematic rules and a focus on something other than the S&P500 might make a lot of difference to a certain type of investor. Here for example is me put up against a pair of trend following managed futures funds (12 billion and 500 million AUM; one is a mutual fund and the other is a private placement. I blocked the private name in case I have some clause in the placement that I could get hung up on by "publishing" results. The third line is a private placement I killed in 2016 so that doesn't count) looking only at time series and skipping over things like ratios, efficient frontiers, etc. I think I might have posted something like this before but a combination of ego and irk-ed-ness at the articles I read motivated me to throw it out there yet again. That ego reason must mean I am due for a drawdown.
This chart is after fund fees (and my expenses for my own strategy) but before adviser fees which are zero only for my alt-risk strategy which leans on but is not exclusively trend-following (but maybe it's close enough for the comparison...which it is since I often use MF to benchmark myself). Green is me:
This, of course, proves very little and what little it proves might be summed up by saying something like "you don't have to be paid an ungodly amount of money and manage billions in Connecticut to have a reasonable edge; don't let the pundits cow you out of actively (with rules, though) managing your own capital." Is five years long enough? Sure, why not? At the pace of the modern world that seems like an eternity, certainly long enough for me to trust my suck-y retail methods.
See
Not So Dumb at humbledollar.com. I read this right after I posted the above.
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