Is There Something More Going on Other Than Trend Following?

Clifford: The performance of the sogen trend index seems to suggest there is something else going on other than trend following. But could that profile actually be due to just the fact that you are looking at an index of different managers, different systems? Could that explain it? Or is it, as cliff suggests, a really something a more devious, namely, a carrya? There's, there's a little bit of both going on. And iwassa, i've played with this data fairly extensively, is that some of em are going to cancel out some of the positive convexity that i might have.

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