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This year has been marked by truly horrendous returns, not just in equity markets, but in nearly every market and strategy around. Where did that free lunch go?

As evidenced by the below table, the only strategies that (relatively) preserved capital were bonds, market neutral funds, managed futures, and obviously the short funds. I remember hearing quite a bit about the demise of managed futures in 2002-2003, and the death of trend-following.

I have written about managed futures many, many times on the blog before, and long-time readers know that I am a big fan. Commodities have different sources of risk premiums than capital assets, and this year goes to show how nicely a long short approach works (RYMFX and LSC).

The global tactical approach
has held up well this year. I once had a Nobel laureate refuse to read my paper because "market timing" is impossible.

Eeeesh, how many retirees won't be retirees anymore because of their adherence to buy-and-hold?