Читать книгу Trend Following - Ritholtz Barry - Страница 21

David Harding has had rock and roll success as a trend following trader. Today, his trend following fund for clients exceeds $30 billion in assets, give or take a billion or two to the upside. He had a long stretch where his firm made 20 percent a year, but has dropped some with his explosion of assets under management.

Born in London and reared in Oxfordshire, Harding was always interested in investing – a result of his father’s influence, a horticulturalist who enjoyed betting on the markets. His mother by comparison was a French teacher. As a young man he had a natural inclination for science and quickly found a way to put the talent to use. Early in his career he took a job at Sabre Fund Management where he designed trading systems. Soon thereafter he met Michael Adam and Martin Lueck. The trio went on to launch Adam, Harding, and Lueck (AHL) a trend following firm managing money for clients. In a few years the Man Group bought AHL out and built its trend following firm and systems into a monster with billions under management.82 Harding, while wealthy from the sale, knew much of Man Group’s success was built around his trading systems. But he wanted more than to rest on his buyout winnings, and over time built his new firm Winton Capital into a juggernaut. All that success comes with a certain philosophical underpinning. But before jumping into his philosophy, consider his performance (see Table 2.1):

TABLE 2.1: Monthly Performance Data for Winton Futures Fund (%)

I have had the opportunity to talk with Harding on multiple occasions. He always comes across as down-to-earth, a hard worker, but also highly competitive. He wants to win. Harding did not start out with the silver spoon. He worked. To hear him describe it, he engaged in the sort of deliberate practice that Anders Ericsson researched:

I worked for a company [early on], and the people who ran that took a very old-fashioned approach to trading. About 10 people and I spent the first half of every day drawing about 400 charts by hand. It was very tedious. I did this for about two years. The act of laboriously updating these charts forces you to focus in much more minute detail on data than you normally would, and over a period of time, I became completely convinced the market was not efficient, contrary to the theory at the time.83 I became convinced that markets weren’t efficient and absolutely trended… We trade everything using trend following systems, and it works. By simulation, you come up with ideas and hypotheses, and you test those. Over the years, what we’ve done, essentially, is conduct experiments. But instead of using a microscope or a telescope, the computer is our laboratory instrument. And instead of looking at the stars, we’re looking at data and simulation languages.. it’s counterintuitive to think in terms of statistics and probability. It takes discipline and training; it tortures the machinery. People are much better, for instance, at judging whether another person is cheating in a human relationship. We’re hugely social creatures. We’re keen on our intuition. But when our intuition is wrong, we’ll still be very resistant to being corrected. What are traders’ biggest failures about understanding risk? There’s a human desire to seek spurious certainty. We try to come to a yes-no answer, one that’s absolute, when the right answer might be neither yes nor no. People see things in black and white when often they need to be comfortable with shades of gray.84

Shades of gray are tough medicine to swallow, a tough philosophy to believe down in your core. No one wants to think that hardcore when it comes to money. You might want to imagine uniform precision as possible, but if the guys who make the most money think like Harding, it’s smart to try and think that way, too. At the end of the day, perhaps the best lessons I took from Harding came from his original internally published book, The Winton Papers. His decision-making philosophy should be absorbed before anyone ever puts a dollar to work in the markets:

The aggregate effect of shared mental biases and imitation results in patterns of behavior, which while they are nonconsistent with Mr. Spock-like, rational decision-making or with informational efficiency, are demonstrably systematic. The market equivalent of these behavioral patterns is trending, whereby prices tend to move persistently in one direction or another in response to information. The widespread adoption of investing fashions, like indexation, introduces market mechanisms, which magnify herding behavior on a large scale.85

Although Harding’s words were written before the events of 2008, his insights explain the crash that followed. To those who want to learn how to trade, to those who don’t want to affix blame for down performance, Harding offers a way out. But he knows his agnostic approach has critics: “Most people believe it doesn’t work or if it did it soon won’t work. We almost never do anything based on our opinions. If we do it’s based on opinions about mathematical phenomenon and statistical distribution, not opinions about Fed policy.”