From Seekingalpha.com: I have always been a proponent of understanding models and understanding the assumptions behind models as there are no models for all seasons. Knowing when a model might perform well or not perform well can give an investor insights into the market environment.
I have been watching the performance of the trend following models, as proxied by the returns of the commodity trading advisors, or CTAs. The CTAs, as measured by the FTSE CTA Managed Futures Index, was one of the few groups of hedge funds that showed positive returns in 2008. This year their performance has turned negative…..Full Article: Source