Real HF Manager

Trend Following CTAs: No Panacea

JWH has no alpha. That is what the sharpe ratio essentially tells you. It's almost impossible to calculate his alpha because these guys have no real benchmark, but it's clear from his STD Deviation and alpha that he is adding little to no value.

Besides, this is his newest high water mark fund. See, what Henry does is practically fraudulent. He had a multi billion dollar fund at Merrill Lynch called the Strategic Allocation Fund. It had a few good years in 2001-2002 and then imploded. The thing dropped enormously during the bull market and JWH's high water mark became unattainable so he scrapped the fund and Merill redeemed their assets.

The CTA's are a joke. They're just high vol no talent a$$ clowns. I'm sure a few of them do alright, but that's nothing more than survivorship bias. None of these actually manage risk. Check any of these CTA funds. Their vol is always off the charts. Always. They're just super high beta funds. Don't be fooled.