yeah....we will see....i see your point. I just think for JH this isn't unusual and for him, he has been here before.
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
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
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%)
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)
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.