Hacer publicos los sistemas los hace inservibles?
The story of many managed futures funds and also of many hedge funds is rather simple: someone at some point in time discovered a trading edge and used it successfully to generate a track record of managing real money for up to 5 years. Then a fund was launched and the track record was used to attract clients. This has worked fine up to recently for even simple edges like channel breakouts and counter-trend strategies.
I am not going to mention specific papers but you can find hundreds of them written by physics or engineering professors. You can even find more edges published in the blogosphere. I am not going to try to analyze the peculiar fact that a lot of people find satisfaction in publishing edges instead of using them to make money. A person I know insists that this is typical behavior of losers or insecure individuals in general. I do not know if I agree with that. I think there may be many different reasons as to why people elect to discover and publish trading edges. One of the simplest reasons is that the academic community has run out of new ideas in the traditional fields and has just discovered a new field to generate papers from. Some people need the papers bad to get tenure.
The fact is that in the last few years and after the trend in publishing trading edges has started, a lot of funds, especially managed futures funds, are having problems generating absolute returns. Recall that published fund indices always include the survivors, i.e. they suffer from survivorship bias, and it is very difficult to ascertain what information they convey exactly.
Necessarily, fund managers will have to move towards higher complexity or face ruin. The move will be problematic as many funds are essentially just sales departments with a small room for a trader or two and all trading is handled secretly by those who know the details of the edge. Hiring quants will increase the possibilities of edges vanishing also because of becoming public, especially after quants depart from one fund to join another or elect to take the edge they discovered and start their own fund. Thus, many may elect to shut down the funds instead or move to higher complexity edges if they can manage that themselves. The life of fund managers is becoming very hard.
A mí me da que el tema es al revés. No es que sean inservibles por hacerse públicos, sino que se hacen públicos porque ya son inservibles, bien porque cambiaron las condiciones del mercado o porque ya han sido "emulados" por muchos otros.
Así que, cuando el sistema no funciona, pues se cierra el chiringuito.
Saludos
Yo no creo que los hedge funds y demas vayan haciendo publicos los sistemas cuando ya no les funcionan.
Pero si que hay mucho investigador que hace pubicas sus investigaciones.
De hecho ley un libro en el que habian descubierto varias formas de hacer dinero en los mercados, tampoco algo increible, pero si funcionaban, y ellos mismos dijeron que anaizando el mercado veian a grandes bancos de inversiones arbitrando lo que ellos habian escrito.
Al final la conclusion es… si ves que alguien publica algo muy bueno que funciona, seguramente dejara de funcionar dentro de poco, o es que ya no funciona, o simplemente nunca funciono y el que lo escribe vende la moto.
Si tienes algo que funciona y lo haces publico, dejara de funcionar.
Todo esto para corto plazo, claro, para largo plazo es otra historia, ya que a muy poca gente le interesa y ademas para probar que sigue funcionando necesitas gran parte de tu vida inversora, es una apuesta arriesgada.