Greenlight lost less than 35% and their AUM dropped by what, 70%? A 50% draw and you're out of the game, IMO. At least you should not be managing outside funds.
Larry Williams still in the ring...
- Thread starter Maverick1
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Greenlight lost less than 35% and their AUM dropped by what, 70%? A 50% draw and you're out of the game, IMO. At least you should not be managing outside funds.
yes these big guys are strong hands....they are not bothered about drawdowns..they know markets are two sided so they re not bothered
also their entries are better than the inexperienced
not more than 10% peak to valley on a daily basis
Ill push back a little there. I dont want 50% drawdowns either and likely if you are running other peoples money and dont have a pretty legendary reputation you will lose all your assets.
Funny though some great high returns strategies such as pure CTA style trendfollowing at a certain vol level has 50% drawdowns but overall "good" performance for a long period of time. Certainly made people more real money than almost any other strategy.
Mentally sitting through it would be brutal though
Trick question. Function of what type of returns you are going for. ~10% per year return then maybe 15-20 percent drawdown but obviously higher returns strategies are going to have higher drawdowns.
According to AutumnGold, his compound annual return has been 13.66% since March 2014. I believe the S&P 500 has returned roughly 10.5% since that time.
http://autumngold.com/Advisor/cta_profile.php?id=114388
Kudos for surviving for 5 years and beating the market (most aggressive futures and options selling programs don't--he's in a small group). But on a risk-adjusted basis, he's losing. The S&P 500's biggest drawdown since then was around 22% (last December).
http://autumngold.com/Advisor/cta_profile.php?id=114388
Kudos for surviving for 5 years and beating the market (most aggressive futures and options selling programs don't--he's in a small group). But on a risk-adjusted basis, he's losing. The S&P 500's biggest drawdown since then was around 22% (last December).
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To be fair, the Turtles and other trend followers survived more than one 50-60% drawdown. But most people can't. And while it was worth (in hindsight) suffering such drawdowns in the 1980s (because they made really big returns), it hasn't been for the last 25 years...at least not for trend followers. I believe Williams uses a very different strategy, though.
There is no excuse for OPM losing 50% regardless of the duration of the DD. How does anyone make the case that it's acceptable to keep an investment on a 50% haircut unless it happened to somehow beat the benchmark (in question)?
It depends on your tolerance for risk. Some would be willing to sit through 50% drawdowns to achieve 25-50% annual returns during the Golden Age of trend following (late 70s through 80s). But that would have to be considered 100% risk capital, because 50% could turn to 60%, etc. until you hit a margin call.
Question for you sir:
I don't understand why 50% drawdown is so bad when I am chasing much higher returns than my benchmark? So, for retails who don't have OPM to worry about, if they can get the same Sharpe as SPY but higher draw down/absolute return, why not? Especially if they have a long time horizon.
If you own equities, 50% drawdowns are very common. Even BRK had at least a couple of episodes of ~50% drawdowns.