Global macro did better than systematic trend following this year. Macro consists primarily of discretionary investment styles; by contrast, trend followers rely on computerized models. You might compare two people trading the same set of futures contracts and find that the discretionary manager made money while the quant did not—see our News Briefs and Top Ten for some comparisons. Of course, 2008 was a different story.

In Founders, Larry Smith gives us a perspective on how different methods work under certain conditions. Having talked with Larry over the years, I have long been impressed by his ability to use macro economic themes to understand particular markets. His experience making investment decisions at Credit Suisse and JP Morgan no doubt helped hone his skills.

My own impression is that in recent years quant traders – including top quantitative managers – have on the whole been less successful than they were in the past. But that impression may be misleading, Insider Talk with Rishi Narang suggests. Quantitative strategies are attracting investors.

Solidly on the quant side, Rishi literally wrote the book about quantitative strategies and succeeded in getting inside the metaphorical back box. He tells us why he likes to invest with quant managers. I think you’ll agree that Rishi is a remarkably thoughtful investor, whether or not you share his view.

In Manager Profile, Quantum Forecasting presents an excellent example of the novel quantitative methods being applied by CTAs. And in Futures Lab, an expert lawyer discusses how to protect a quant’s valuable property—the computer code.

Models, it seems, can perform wonders but require human supervision as they churn out signals. They may be like exceptionally clever little children who do mischief if left to their own devices.

Chidem Kurdas,
Editor
kurdas@opalesque.com
www.opalesque.com