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Dispersion For Trend Followers, Not Larger Than Expected

|Includes: AQR Managed Futures Strategy Fund Inst (AQMIX), PQTIX
Summary

Trend followers had average dispersion, despite a negative year.

Despite a rather difficult year for Trend Followers, there does not seem to be an abnormal dispersion of yearly returns. It should be said that the data is not adjusted for survivorship biases so the reader should note that the results are shifted upward nor has all manager in the sample reported data for the full year. Nevertheless, it is interesting that the interquartile range is below average, at 10%.

Moreover, as shown above, the quartile ranges have been relatively stable over time and this year does not look abnormal. The underlying data is available at www.nilssonhedge.com for anyone looking to dig deeper into the manager data.

Disclosure: I/we have no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours.