Reality check please...JWH, hedge funds and mutual funds

It wasn't bad. :) Seriously, it was unprecedented for equities (especially Nasdaq) but very little spillover into the other markets which are of utmost importance for major trendfollowers like Henry (ie. currencies, fixed income, etc.). I'm sure he made some money on Nasdaq trends but lost elsewhere. His returns during those periods where not that bad I think although I don't have the data.

Quote from m4a1:

how does the trendiness of the equity indices (e.g., nasdaq) from 1996-2000 and then from 2000-2003 compare to historical periods?
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I understand your point, however, I would make the case that many of the smaller trend-following funds while struggling, are not fairing as poorly as their larger breathern. For all of us, both large and small, we need time and breadth to recognize the existence of a trend. Smaller choppy trends and constant reversals make it a difficult environment for trend-following strategies of all sizes to profit. It should be noted that smaller CTAs such as our own Schindler (although I do not know if he is a trend-follower), has faired well and in most cases significantly better than the larger more liquidity and product constrained beomoths.


Quote from Thunderdog:

You point is well taken. However, I don't think that "trends" are absolute. As I think you may have you implied (or at least that is what I inferred), trends are a matter of scale. Indeed, large boats are not able to maneuver as nimbly as smaller boats in tight areas. But how many of us here are at the helm of billion-dollar boats?

I realize that my post probably does not belong in this thread. I just raise the point because certain members (marketsurfer et al) point to the recent performance of large trend following funds and confidently conclude that trend-following is "dead." The giants may be sleeping for the time being, but there is still a fair amount of lilliputian trend-following activity going on among the more modest mortals.
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Quote from NTB:

I understand your point, however, I would make the case that many of the smaller trend-following funds while struggling, are not fairing as poorly as their larger breathern. For all of us, both large and small, we need time and breadth to recognize the existence of a trend. Smaller choppy trends and constant reversals make it a difficult environment for trend-following strategies of all sizes to profit. It should be noted that smaller CTAs such as our own Schindler (although I do not know if he is a trend-follower), has faired well and in most cases significantly better than the larger more liquidity and product constrained beomoths.
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OK, just keep in mind that by "scale," I also meant time frame. What may look like a smaller, choppy trend in one time frame may be more impressive in another, shorter time frame. The really big funds probably cannot maneuver very well in the very short time frames. You response resonates, however, I just wanted to ensure that you understood my context.
 
Quote from lars22:

Here are the result for the LAST year!

Strategic Allocation Program -16.26
Currency Strategic Allocation Program -22.20
Financial and Metals Portfolio -10.30
Worldwide Bond Program * -15.87
International Foreign Exchange Program -26.96
G-7 Currency Portfolio ** -26.47
Dollar Program * -34.31
Global Diversified Portfolio -14.48
JWH GlobalAnalytics® -10.10

This is really rediculous!
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These are just way too horrible. Do you think he's gonna go bankrupt?? I mean, another year or 2 like these, and he's out. How do investors who put millions with him react? Does he like receive thousands of phone calls everyday asking him what's going on?
 
Quote from lars22:

Here are the result for the LAST year!

Strategic Allocation Program -16.26
Currency Strategic Allocation Program -22.20
Financial and Metals Portfolio -10.30
Worldwide Bond Program * -15.87
International Foreign Exchange Program -26.96
G-7 Currency Portfolio ** -26.47
Dollar Program * -34.31
Global Diversified Portfolio -14.48
JWH GlobalAnalytics® -10.10

This is really rediculous!
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I love these figures very much. That make me feel comfortable. :D
 
Q

http://www.cass.city.ac.uk/airc/pdf/WP0019.pdf

THE DANGERS OF MECHANICAL INVESTMENT
DECISION-MAKING: THE CASE OF HEDGE FUNDS

Harry M. Kat

It has also become clear that hedge funds are not the miracle cure that many investors
think or have been told they are. Again, this boils down to a matter of common sense.
Anyone who is well calibrated to the world we live in will have extreme difficulty
believing that there is a significant (and growing) number of people that are able to
systematically beat the market to such an extent that even after deducting “2 plus 20”
or even more the investor is left with a superior return.

UQ
 
Quote from OddTrader:

Q

http://www.cass.city.ac.uk/airc/pdf/WP0019.pdf

THE DANGERS OF MECHANICAL INVESTMENT
DECISION-MAKING: THE CASE OF HEDGE FUNDS

Harry M. Kat

It has also become clear that hedge funds are not the miracle cure that many investors
think or have been told they are. Again, this boils down to a matter of common sense.
Anyone who is well calibrated to the world we live in will have extreme difficulty
believing that there is a significant (and growing) number of people that are able to
systematically beat the market to such an extent that even after deducting “2 plus 20”
or even more the investor is left with a superior return.

UQ
More...


there is 14 trillion dollars sloshing about in hedge funds. most of this money is pursuing the same tired, worn out strategies.

what's needed is something new,unique and niche oriented. it's out there, just need to locate it!

surf

:D :D
 
Quote from marketsurfer:

there is 14 trillion dollars sloshing about in hedge funds. most of this money is pursuing the same tired, worn out strategies.

what's needed is something new,unique and niche oriented. it's out there, just need to locate it!

surf

:D :D
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Certainly Not "that there is a significant (and growing) number of people that are able to
systematically beat the market to such an extent that even after deducting “2 plus 20”
or even more the investor is left with a superior return." :D
 
Quote from OddTrader:

Certainly Not "that there is a significant (and growing) number of people that are able to
systematically beat the market to such an extent that even after deducting “2 plus 20”
or even more the investor is left with a superior return." :D
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no argument there.

however, edges and niche funds with superior returns DO exist.


surf:)
 
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