This post on John W. Henry brought in this feedback:
“Correct me if I am wrong, but I don’t recall any intra-month updates from you in 05, 06, and 07 when the fund consistently lost money.”
My “intra-month” update was not simply about John W. Henry, it was about ALL trend followers. O5, 06, 07 were part of the credit bubble I was alluding to, a bubble that affected trend following returns. The folks that did great during those periods due to the credit bubble all blew out in October 08. Trend traders survived. The feedback continues:
“On a similar subject I dont believe you mention much about survivorship period. What happened to the supposed up and coming superstars like […] and […] whose horn you were blowing while their performance was up (hint to your followers they blew up in spectacular style).”
There is no evidence that one of the traders you mention “blew up” as a trend follower. In fact, I have evidence that one of the traders you mention was trading day trading methods as he went under. If that is the case, your point is pointless. In The feedback continues:
“Back to the Henry numbers The fact the Financials and Metals fund is a fraction of the size it used to be also influences their returns. In the illiquid markets of Oct. there is no way they can trade the former [money] under management.
Fraction of the size? Yes, I mention that many pools of hot money left Henry to most likely invest in 30:1 long only hedge funds and other Wall Street delights. No need to talk about what happened to those investment opportunities. In terms of your asset size argument, that trend traders could not trade large size in October, that is baloney. Clearly many billion plus dollar funds thrive and did thrive in October 2008. The feedback continues:
I like most of your stuff and believe in trendfollowing. I just think you have to be honest with your readers and highlight the good as well as the bad results.
In case you did not notice both of my books list month by month perfomance of trend followers going back decades. Did you miss that “honesty”?