Dance With The Girl That Brought You To The Party
Tuesday, January 19th, 2010Anyone can get old, all you have to do is live long enough – GROUCHO MARX
This is a rather humorous yet profound Groucho Marx quote that I recently read. It reminded me of trading, where the quote might be “Anyone can make money, all you have to do is stay in the game long enough.” Same thing, I guess, just live long enough.
The problem seems to be that this is a lot easier to say than do. The lure of easy money is a powerful aphrodisiac. We are constantly lured to the latest success of a fund or trading system, or worse yet, the advice of the recent “expert”, only to find they have rocky periods as well. No one makes money all the time and the markets have the uncanny ability to make fools of those who keep chasing the dream. I’m sure there are countless examples of people who switched from this fund to that fund, only to see the one they sold go up, and the one they bought go down.
Wouldn’t it make better sense to become as knowledgeable as possible about a few reliable approaches that would exploit trends in the various asset classes and then stay with them until there is a legitimate reason to make changes? Isn’t it only reasonable to assume that ALL methodology has flat and down years and that it is part of the process of winning to have losing periods?
Below, I list the year end stats on some of the most formidable trend following organizations. Notice where 2009 was a very rocky year for some. Does this mean they’re finished, or is that kind of volatility routine for that program?
This is why it is important to be knowledgeable about your program. Is the volatility routine or a red flag? In the case of John Henry or Clarke, isn’t it reasonable to assume if you can earn a 90% return, that perhaps you will see a 30% draw down?
In the case of Rabar or Saxon that same 30% might be a red flag since these programs are designed to produce more steady returns with lower draw downs. Should we be upset when Saxon doesn’t have 90% years?
Anyway, I think it is safe to say that what you are doing has a lot to do with……….. How you are doing.
|
Organization / Fund
|
2007
|
2008
|
2009
|
3 year
Max DD
|
Lifetime
Max DD
|
Minimum
|
|
19.20%
|
28.81%
|
-5.56%
|
7.24%
|
27.19%
|
10 M
|
|
|
8.18%
|
25.42%
|
-11.25%
|
21.53%
|
21.53%
|
500 K
|
|
|
2.33%
|
15.38%
|
0.40%
|
23.36%
|
23.36%
|
5 M
|
|
|
35.24%
|
79.90%
|
-29.78%
|
31.19%
|
31.19%
|
50 K
|
|
|
5.00%
|
75.64%
|
9.02%
|
13.43%
|
32.51%
|
5 M
|
|
|
7.60%
|
51.45%
|
-0.57%
|
36.36%
|
60.26%
|
10 M
|
|
|
34.12%
|
13.15%
|
-4.80%
|
8.03%
|
27.11%
|
10 M
|
|
|
17.32%
|
46.30%
|
-14.35%
|
16.54%
|
45.16%
|
2 M
|
|
|
20.24%
|
96.22%
|
-15.32%
|
24.67%
|
61.78%
|
5 M
|
|
|
-5.85%
|
49.78%
|
3.96%
|
15.31%
|
29.27%
|
1 M
|
|
|
18.61%
|
90.63%
|
-24.06%
|
30.49%
|
30.50%
|
20 M
|
|
|
19.61%
|
33.23%
|
-16.95%
|
17.90%
|
17.90%
|
30 K
|
|
|
12.85%
|
20.61%
|
-7.33%
|
16.16%
|
26.89%
|
150 K
|
|
|
15.12%
|
18.22%
|
6.99%
|
8.61%
|
29.84%
|
2.5 M
|
|
|
21.20%
|
20.90%
|
10.37%
|
5.93%
|
41.49%
|
2 M
|
|
|
-0.92%
|
30.00%
|
-29.46%
|
32.54%
|
32.54%
|
5 K
|
|
|
14.46%
|
18.99%
|
-8.36%
|
8.51%
|
8.51%
|
10 M
|
|
|
16.13%
|
21.02%
|
-4.63%
|
10.26%
|
25.73%
|
10 M
|
Notes:
1. Abraham Trading was founded by Salem Abraham,. Introduced to managed futures and trend following by Jerry Parker (see#3). Salem Abraham is considered a 2nd generation turtle.
2. The four founders of Aspect (Eugene Lambert, Anthony Todd, Michael Adam and Martin Lueck) were significant members of one of the most successful funds in managed futures – AHL (Adam, Harding and Lueck)
3. Chesapeake Capital was founded by Jerry Parker, a former Turtle. Diversified Program
4. Clarke Capital was founded by Michael Clarke in 1993. Global Basic Program.
5. Drury Capital, Inc., was founded in
6. Dunn Capital was founded by Bill Dunn. World Monetary and Agriculture (WMA).
7. Eckhardt Trading is the firm managed by William Eckhardt, who co-led the Turtle experiment with Richard Dennis. Standard Program.
8. EMC Capital was founded by Liz Cheval, a former Turtle. Classic Program
9. Hawksbill Capital was founded by Tom Shanks, a former Turtle. Global Diversified Program
10. Hyman Beck & Co. main principals are Alexander Hyman and Carl Beck. Global Portfolio.
11. JWH & Co. was founded by John W. Henry, Owner of the Boston Red Sox. JWH Global Analytics Program
12. Originally ED & F
13. Millburn Ridgefield have been trading Trend Following models since the early 1970′s. Millburn
14. Rabar Market Research is the company of Paul Rabar, a former Turtle. Diversified Program
15. Saxon Investment was founded by Howard Seidler, a former Turtle. Diversified Program.
16. Superfund founder and CEO: Christian Baha. Superfund Q-AG
17. Transtrend is a Trend follower CTA based in
18. Winton Capital is a London-based CTA founded by Dave Harding (also co-founder of AHL).
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