And here we were just talking about trend-following strategies.*
From farm boy to Liverpool FC and Boston Red Sox owner.
(having the other side of Nick Leeson's Barings trades helped)
End of an era
John W. Henry, one of the founding fathers of managed futures and the systematic trend following approach to trading futures, will stop managing customer funds at the end of this year according to a message sent from his firm's, John W. Henry & Company Inc., Boca Raton office.
The brief message stated: "This is to notify you that JWH has determined to cease managing client assets effective December 31, 2012. Trading in the normal course of business will continue until then. JWH will continue to engage in proprietary trading and research. We will not be providing performance information going forward. You can remove our programs/Funds from your database. Please let me know if you have any questions."
Bucky Isaacson, co-founder of CTA Expo and one of the founders of the predecessor to the Managed Funds Association (MFA) says, “It is the end of an era. He was one of the original guys that were there.”
Isaacson says the response he is getting from people is surprise. “What do you say, it is like a funeral. He was one of the pioneers and he was one of the innovators, he helped make MFA a vibrant organization and helped a lot of guys get started in the business.”...MOREHere's the JWH homepage and an old quote:
..."I don’t believe that I am the only person who cannot predict future prices. No one consistently can predict anything, especially investors. Prices, not investors, predict the future. Despite this, investors hope or believe that they can predict the future, or someone else can. A lot of them look to you to predict what the next macroeconomic cycle will be. We rely on the fact that other investors are convinced that they can predict the future, and I believe that’s where our profits come from. I believe it’s that simple."...*Oct. 23
UPDATED--Cliff Asness' AQR Capital: A Century of Evidence on Trend-Following Investing; Since 1903
In commodities trend-following is a survival strategy, most CTA's use it so they can survive to collect their fees.Oct. 23
Too harsh? I'll try again:
Commodity Trading Advisors tend to use trend-following approaches because the moves in commods can be so dramatic and reversals so frequent and sudden that trying to anticipate rather than follow can wipe out the 'other people's money' portfolio.
The math for equities is quite different. If manager eschews margin there is no chance that a reversal could put the entire portfolio at risk so there is more leeway for a "catch the turns, breakouts etc. ...) should one want to risk it.
One of the least noisy trend following techniques is to buy new all-time highs. It either is or isn't setting new highs, there is no interpretation required....
UPDATE--More on "A Century of Evidence on Trend-Following Investing"