Trend Following with Managed Futures

PREFACE

I was born in the former Soviet Union and came to the United States when I was 12 years old. After studying math, statistics, and engineering, I reached a fork in the road 25 years ago. Having worked at a slow-paced engineering job for a year, I remembered taking an elective course in graduate school at Columbia called “Operations Research in Finance” and wondered what the world of finance was all about. In 1989, I went on an interview with Larry Hite in Millburn, New Jersey. Larry was one of the early pioneers of trend following systems. At that time Larry was running the largest CTA in the world, called Mint, with nearly $1 billion under management. The job description was entry level programming and data analysis. During the interview, when I asked Larry what he does, Larry told me that he wins because he “knows what he doesn’t know.” He also told me that he thinks “not being hindered by higher education” gives him an edge. Having just come from said “higher education” I had no idea what he was talking about. But I knew one fact … Larry offered me a salary several thousand dollars a year higher than I was earning in engineering, and on that basis, I decided to take the plunge. Larry Hite has been my mentor since my entry into the finance world. His lack of formal quantitative education is his main asset … he asks questions and pushes the envelope from an outside-the-box mind-set better than most quants.

Over the past 25 years I’ve experienced lots of ups and downs ...