Perfect storm hits


The sudden reversals of many core trends created a "perfect storm" for managed futures strategies, which delivered worse losses than any other strategy in a difficult April. The $240 million SMN Diversified Futures Fund, with only one down year since inception in 1996, lost 15.18%, its largest monthly drawdown to date. John W. Henry's flagship Strategic Allocation Program was down 10.39% on the month, and 3.72% year-to-date. Mark Rzepczynski, the president and chief investment officer of JWH, attributed this to the fact that markets are relatively more unsettled by unexpected macro announcements, illustrated by better-than-expected payroll data issued