John Henry--The Next Blow Up ??

His flagship fund may have experienced larger drawdowns in the past, but I seriously doubt that nearly ALL of his funds have drawdown this much simultaneously. That is the real story, not simply what his flagship fund has done, but what all of these funds have done simultaneously. You would figure that at least one sector or strategy of the bunch would outperform, but alas that is not the case.

Senor Zen
 
Quote from GetWhatUDeserve:

Yes I

Maybe you could stomach a bigger drawdown, maybe you would benefit from a system with larger swings and perhaps alarger reward. Food for thought. If you plan to make a career of trading, then its worth considering.

Again, I see the makings of confrontation in your posts. I don't intend to argue, but share with you what I know. Your experience is quite different from some of these larger money managers it seems.
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No need to argue. I appreciate your insights, even though, obviously, we disagree.

:D
 
Yes....well there is always change. And future performance exists somewhere in that non-existing future.

Who knows what will happen....its all uncertainty and I am sure none of us will predict it with much of a measure of accuracy. I could be the end of JH, but it could also be the beginning of another period of huge returns. We can't tell until its a matter of record.
 
Most trend following systems that have averaged over 20% a year over 20 years occasionally have 30-40% drawdowns which they have always recovered from.

I bet you don't average 20% a year and are managing millions of dollars.

Here is an interesting pdf explaining drawdowns for trendfollowers I found on quadrigafund.com
 

Attachments

Quote from GetWhatUDeserve:

Yes....well there is always change. And future performance exists somewhere in that non-existing future.

Who knows what will happen....its all uncertainty and I am sure none of us will predict it with much of a measure of accuracy. I could be the end of JH, but it could also be the beginning of another period of huge returns. We can't tell until its a matter of record.
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Yes, I agree. The future is unwritten.

JG
 
Quote from jsmith:

Most trend following systems that have averaged over 20% a year over 20 years occasionally have 30-40% drawdowns which they have always recovered from.

I bet you don't average 20% a year and are managing millions of dollars.

Here is an interesting pdf explaining drawdowns for trendfollowers I found on quadrigafund.com
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Thanks for the attachment. Interesting. Speaking of Quadriga--ranked worst perfoming public fund in April. 3rd worst this year.


JG
 
Just for the sake of clarity, here are the JWH funds and their returns YTD:

Currency Strategic Allocation (29.31%)
Dollar (39.72%)
Financial & Metals (21.95%)
G7 Currency (22.20%)
Global Analytics Family of Programs (14.06%)
Global Diversified (20.86%)
Global Fin & Energy (27.15%)
Intl Foreign Exchange (27.31%)
Original Investment (36.61%)
Strategic Allocation (26.79%)
Worldwide Bond (3.62%)
 
Quote from jsmith:

Most trend following systems that have averaged over 20% a year over 20 years occasionally have 30-40% drawdowns which they have always recovered from.

I bet you don't average 20% a year and are managing millions of dollars.

Here is an interesting pdf explaining drawdowns for trendfollowers I found on quadrigafund.com
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JWH Strategic Allocation Program- Annualized Returns 9.91% (1996-2005)

Chesapeake Capital Diversified- 16.17% (1988-2005)

Campbell and Co Global Diversified- 11.69% (1986-2005)

Dunn Capital Man WMA- 14.46% (1984-2005)

I'm not sure about averaging 20%, I would say 10-15% is more accurate for the bigger trend following CTAs

S&P 500 1984-2002, 10.54% not including dividends (and this includes not catching the run from 2002-2005)
 
Quote from GetWhatUDeserve:

Thats really my point. He KNOWS to expect these drawdowns, and he can still operate WHEN they occur. That is the key to trading...or one of the ones most salient to me. Each of us here benefits from knowing that we can handle the volatility of our own trading methods (assuming a positive expectation). The reason is so each of us can continue to trade in a systematic fashion, following our plan, when those big drawdowns occur.

If you like big returns, you gotta be able to stomach the big heat. If you don't like the heat, you can design trading that doesn't have those huge monster drawdowns, but be happy with smaller returns. But whatever we do as traders, if our plan over the long haul makes money, we gotta be able to stick to the system.
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Yes, he expects these kinds of drawdowns and he has accounted for it and all - but I just don't think any 'system' can totally encapsulate the market and tell you what kind of drawdowns you can 'expect' - sounds like prediction, which all trend follows hate but really can't avoid at some level.
What if the long term trend following strategy, which is now so popular and staturated actually is going to be dead for a number of years.
JH maybe able to handle a 50% drawdown, but just one or two more bad years and lets say its a 70-80% drawdown - I don't think any institutional investor can stomach that.
Then he will blow up. And I don't have anything against him personally but I think that would be great. I don't think a lot of big players doing the same thing is healthy for any market.
 
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