By: angelo on Mercoledì 16 Marzo 2005 12:48
a proposito di trend following..... la parola alla difesa (James Altucher), il quale dice che - at the end of the day - ci sono solo due modi di fare trading: trend following e counter-trend:
Perhaps the most famous trend follower right now is John Henry, owner of the Boston Red Sox. Just as his team demonstrated a dramatic comeback and success this year, so did Henry's main fund, his Global Diversified Fund.
Starting in March 2004, things went from bad to worse for Henry. In March he was down 2 per cent, April 12 per cent, May down 5 per cent, June down 13 per cent, and July down 2 per cent. Personally, I can't handle volatility like that. If I were managing a fund with those numbers I'd probably have a stroke. Managing money is never easy, even if you are disciplined and systematic. To have to report to your investors that you are down 12 per cent, 5 per cent, 12 per cent, each month is not pleasant. But Henry stuck to his guns and closed out the year with some strong months: September up 12 per cent, October 16 per cent, November 12 per cent, and December 3 per cent, closing out the year at positive 27.66 per cent, significantly better than all the market indices. Henry's worst drawdown in all of the funds he manages is over 50 per cent. Again, that's volatility I can't handle, but Henry has been a great success and his investors trust him.
On the counter-trend side, perhaps the most well-known is Toby Crabel. He manages more than $1.6bn and has written the book Day Trading with Short-term Price Patterns, which can be found on eBay for upwards of $1,000 a copy. Despite the volatility in the markets, Crabel only had two down months in 2004: March was down 0.79 per cent and June was down 0.39 per cent. Such volatility lets one sleep at night. He finished the year with a 3.36 per cent return, less than the yield on a 10-year treasury. His average return per year has been 9.48 per cent and his worst drawdown is only 4.23 per cent. While some don't mind the roller-coaster ride of John Henry, other institutional investors are willing to pay a 3 per cent management fee and 20 per cent incentive fee to have the sleepy volatility of a Crabel.
Adesso, se riesco, metto il link all'intero scritto:
Certo, il trend following è esattamente quanto derscritto qui: è la promessa di drawdown insostenibili dalle persone normali, che pagano John Henry non tanto per qualche metodo segreto, ma proprio perchè non lascia che le emozioni prendano il sopravvento (è più facile quando guadagni da 20 anni e se perdi perdi soldi di altri....).
Qualcuno ha delle alternative migliori???
Pensateci bene prima di risposndere: ricordo - per esempio - che nel 1997, prima di saltare, il fondo di Niederhoffer era in testa a tutte le classifiche rendimento/rischio.
Insomma era un 5 stelle plus.... dopo pochi mesi i suoi clienti hanno ricevuto questa lettera:
October 29, 1997
Limited Partners of Niederhoffer Intermarket Fund, L.P.
Limited Partners of Niederhoffer Friends Partnership, L.P.
Shareholders of Niederhoffer Global Systems, S.A.
As you no doubt are aware, the New York stock market dropped precipitously on Monday, October 27, 1997. That drop followed large declines on two previous days. This precipitous decline caused substantial losses in the fund's positions, particularly their positions in puts on the Standard & Poor's 500 Index. As you also know from my previous correspondence with you, the funds suffered substantial losses earlier in the year as a result of the collapse in the East Asian markets, especially in Thailand.
The cumulation [sic] of these adverse developments led to the situation where, at the close of business on Monday, the funds were unable to meet minimum capital requirements for the maintenance of their margin accounts. It is not yet clear what is the precise extent (if any) to which the funds' equity balances are negative. We have been working with our broker-dealers since Monday evening to try to meet the funds' obligations in an orderly fashion. However, right now the indications are that the entire equity positions in the funds has been wiped out.
Sadly, it would appear that if it had been possible to delay liquidated most of the funds' accounts for one more day, a liquidation could have been avoided. Nevertheless, we cannot deal with "would have been." We took risks. We were successful for a long time. This time we did not succeed, and I regret to say that all of us have suffered some very large losses.