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Wow - HOW THE MIGHTY (Dunn and J Henry) HAVE FALLEN.
Love that Winton Capital Management Diversified....terrific performance.
> -----Original Message-----
> From: Mark Johnson [mailto:janitor@xxxxxxxxxxxx]
> Sent: Monday, April 14, 2008 10:26 PM
> To: omega-list@xxxxxxxxxx
> Subject: Re: Gary's friend lost money for 2 years, quit trendfollowing
>
> About a friend, Gary Fritz wrote:
> GF> He felt that the commodity markets were "too big"
> GF> for any number of systematic trendfollowers to swamp out the
> GF> trending behaviors of the commodity markets.
> GF>
> GF> But he shut down his system this winter, because it's been in a
> GF> drawdown for 2 years and showed no sign of recovering. I don't
> GF> think he's alone. It's been my understanding that
> portfolio trading
> GF> of trend- following systems in commodities has not been
> working too
> GF> well for the last few years. I haven't seen recent data but I
> GF> believe large trend-followers like John Henry have taken
> some wicked
> GF> drawdowns.
>
>
> I am sorry your friend lost money. If it is any comfort to
> him, he is not alone. Plenty of other traders lost money at
> the same time, and a sizeable number of the losers were trend
> followers.
>
> There are lots of CTA money managers who publicly state that
> they are trend followers. Several of them have lost a whole
> lot of money recently. Publicly and embarrassingly. Perhaps
> the most infamous example is John W. Henry, owner of the
> Boston Red Sox professional baseball team. JWH had a lot of
> success for a lot of years, but has taken big losses
> recently, as Gary mentioned.
>
> I went to one of the CTA tracking websites (IASG.com),
> registered myself as a new user, and pulled down the recent
> track record of some famous CTAs that publicly state they are
> trend followers. The equity curves of their track records
> are included in this image file:
>
> <http://img229.imageshack.us/img229/5138/tfmgrsjs0.png>
>
> http://tinyurl.com/6fy9wy
>
>
> Since I know from years of experience that attachments don't
> make it into the Omega List Digests (or onto the Purebytes
> archives of the O-List), I put the image file on a free image
> upload/download server. Click to view, right click and "Save
> Target As" to download onto your computer. When it's on your
> desktop, right-click and select "Open with Windows Picture
> and Fax Viewer"
> so that you can zoom in, pan, scroll, and so forth.
>
> Sorry for the cluttered graphs, that's the website and their
> "added value". The CTA's trading results, after deducting
> all management fees and profit allocations (i.e. both halves
> of the Two-And-Twenty compensation), are shown as a heavy
> black line. The rest of the crud just clutters the graph but
> I don't know how to make it go away.
>
> Shown are
>
> John W. Henry DUNN Capital
> EMC Capital Transtrend BV
> Winton Capital
>
> JWH and DUNN are two famous long-time trend follower CTA's,
> both have been in business more than twenty years. Both have
> done terribly in the past couple years.
>
> EMC is Elizabeth M. Cheval, one of the original Turtles
> (taught to trade by Richard Dennis and William Eckhardt in
> the first Turtle class). Her trend following results seem to
> be just as good in the recent past, as in the distant past.
>
> Transtrend is a trend following CTA that many people believe
> is second-best in the world at trend following.
> Their avowed strategy is globally diversified trend
> following. Transtrend's results seem not to have suffered of late.
>
> Winton Capital Management is a CTA that most people thing is
> best TF in the world, at the moment. Winton is a trend
> follower (Google their founder: David Harding, to read more)
> that bends over backwards to call attention to the risk side
> of the equation:
> when making directional bets on commodity futures, reward is
> inevitably linked to risk. Winton's recent trend following
> results seem to be quite pleasing, and investors are flocking
> to Winton's door.
>
> So, with these graphs in hand, I would offer Gary's friend my
> sincere regrets that he lost money and gave up. I would show
> him that other, bigger, well-established, highly respected
> trend followers got badly injured at the same time, and hope
> that this knowledge would console him. I would also point
> out to him that some trend followers survived and even
> thrived during the same period.
>
> Best wishes to all,
> Mark Johnson
>
>
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