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Part IV > Chapter 3

Chapter 3

1.Sir Arthur Conan Doyle, “A Scandal in Bohemia” in The Adventures of Sherlock Holmes. New York: A. L. Burt, 1892.
2.Alexander M. Ineichen, Absolute Returns. New York, John Wiley and Sons, 2003, 19.
3.Disclosure Document. John W. Henry & Company, Inc., August 22, 2003.
4.BMFR. Barclay Trading Group (First Quarter 2003).
5.International Traders Research Star Ranking System Explanation. See http://managedfutures.com.
6.Ludwig von Mises, Human Action: A Treatise on Economics. 4th revised ed. Irvington-on-Hudson, NY: The Foundation for Economic Education, Inc., 1996, printed 1998. First published 1949.
7.Larry Harris, Trading and Exchanges: Market Microstructure for Practioners. New York: Oxford University Press, 2003.
8.David Greising, How Managed Funds Managed to Do So Poorly. Business Week, No. 3294 (Nov. 23, 1992), 112.
9.Daniel P. Collins, The Return of Long-term Trend Following. Futures, Vol. 32, No. 4 (March 2003), 68–73.
10.Desmond McRae, Top Traders. Managed Derivatives (May 1996).
11.Trend Following: Performance, Risk and Correlation Characteristics. White Paper, Graham Capital Management.
12.Larry Harris, Trading and Exchanges: Market Microstructure for Practioners. New York: Oxford University Press, 2003.
13.Ben Warwick, The Holy Grail of Managed Futures (cover story). Managed Account Reports (MAR), No. 267 (May, 2001), 1.
14.The Trading Tribe at Seykota.com. See www.seyokota.com/tribe/.
15.Definition from the Institutional Advisory Services Group (IASG). See www.iasg.com.
16.Laurie Kaplan, Turning Turtles into Traders. Managed Derivatives (May 1996).
17.Marketing Materials. Dunn Capital Management, Inc.
18.Carla Cavaletti, Comeback Kids; Managing Drawdowns According to Commodity Trading Advisors, Futures, Vol. 27, No. 1 (January 1998), 68.
19.Michael Peltz, John W. Henry’s Bid to Manage the Future. Institutional Investor (August 1996).
20.D. Harding, G. Nakou and A. Nejjar, “The Pros and Cons of Drawdown as a Statistical Measure of Risk for Investments.” AIMA Journal, April 2003, 16-17.
21.Carla Cavaletti, Comeback Kids: Managing Drawdowns According to Commodity Trading Advisors Futures, Vol. 27, No. 1 (January 1998), 68.
22.The Value of a Long-Term Perspective. Marketing Document. John W. Henry and Company, Inc. October 1999.
23.Carla Cavaletti, Comeback Kids: Managing Drawdowns According to Commodity Trading Advisors. Futures, Vol. 27, No. 1 (January 1998), 68.
24.Thomas F. Basso, When to Allocate to a CTA?—Buy Them on Sale.
25.New Fans for Managed Futures. Euromoney Institutional Investor PLC (February 1, 2003), 45.
26.InvestorWords.com. See http://investorwords.com.
27.Julius A. Staniewicz, Learning to Love Non-Correlation. Investor Support. John W. Henry and Company, Inc.
28.Ginger Szala, Tom Shanks: Former “Turtle” Winning Race the Hard Way. Futures, Vol. 20, No. 2 (Jan. 15, 1991), 78.
29.Carla Cavaletti, Turtles on the Move. Futures Magazine, Vol. 27 (June 1998), 79.
30.Laurie Kaplan, Turning Turtles into Traders. Managed Derivatives (May 1996).
31.Larry Harris, Trading and Exchanges: Market Microstructure for Practioners. New York: Oxford University Press, 2003.
32.Larry Harris, The Winners and Losers of the Zero-Sum Game: The Origins of Trading Profits, Price Efficiency and Market Liquidity. Draft 0.911, May 7, 1993.
33.Larry Harris, The Winners and Losers of the Zero-Sum Game: The Origins of Trading Profits, Price Efficiency and Market Liquidity. Draft 0.911, May 7, 1993.
34.Larry Harris, The Winners and Losers of the Zero-Sum Game: The Origins of Trading Profits, Price Efficiency and Market Liquidity. Draft 0.911, May 7, 1993.
35.Danny Hakim, Huge Losses Move Soros to Revamp Empire. The New York Times. May 1, 2000.
36.Enoch Cheng. “Of Markets and Morality . . .” Café Bagola weblog, August 27, 2002. See http://bagola.blogspot.com/2002_08_25_bagola_archive.html.
37.Ayn Rand, “Philosophical Detection,” Philosophy: Who Needs It? Edited by Leonard Peiikoff. Indianapolis: Bobbs-Merrill, 1998.
38.Written Testimony Submitted for the Record of Lawrence Parks, Executive Director, The Foundation for the Advancement of Monetary Education. Before the Subcommittee on Capital Markets, Securities, and GSE’s; House Committee on Banking and Financial Services, United States House of Representatives. Hearing on Hedge Funds, March 3, 1999.
39.Danny Hakim, Huge Losses Move Soros to Revamp Empire. The New York Times. May 1, 2000.
40.Danny Hakim, Huge Losses Move Soros to Revamp Empire. The New York Times. May 1, 2000.
41.In re Merrill Lynch & Co. Inc. Research Reports Securities Litigation, 02 MDL 1484. Ruling by Federal Judge Milton Pollack dismissing class-action claims brought against Merrill Lynch & Co. and its former analyst Henry Blodgett.
42.Gregory J. Millman, The Chief Executive (Jan.–Feb. 2003).
43.Bill Dries, Futures (August, 1995), 78.



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