Photographs by Julie Bidwell
Mark Rosenberg is one of a handful of commodity trading advisors (CTAs) who has been around and successful since wider availability of computers made diversified systematic trend-following possible. But he is more than that. From the start he looked at diversification in a different way and sought to combine divergent strategies that took advantage of irrational markets with convergent strategies that performed well in more rational periods.
He launched his CTA in 1983 and added convergent hedge fund strategies in 1986. That combination has produced consistent returns over 25 years, with only two losing years. In 2001 Rosenberg sold a majority stake in his firm, RXR, to State Street Global Advisors and formed SSARIS Advisors. The move allowed Rosenberg to offer additional fund of fund products and focus on improving his strategies while creating a larger money management firm with the resources of a global bank.
Futures Magazine: Mark, tell us how you first got interested in trading.
Mark Rosenberg: My Dad introduced me to markets when I was 11 years old, and at 12 years old I announced to the family that I was going to trade until I am 95, and I am well on my way. I was a runner on the floor of the New York Mercantile Exchange (NYMEX) and New York Stock Exchange (NYSE). I came to Wall Street in 1968 and even though I had a deep desire to develop this type of divergent program I was unable due to the lack of computers. It was only by 1972 that I had access to what was a Univac computer, and from that I was able to do the computing that was necessary. Then I went to work for a boutique firm and traded proprietary trading capital for the firm based on these programs in the early 1970s, and went to Merrill Lynch in 1974 and traded client money and proprietary money there until I started my own firm in 1983.
FM: Did you take a standard approach to trend-following or was there something unique about your system from the others of that day?
MR: When I wrote my first algorithms in the early ’70s there was no standard approach. There were other [trend followers] but I didn’t know who they were. We all had access to the first computers, which gave us the ability to do these things. I had some unique elements to [my system], the only reason I can say that is because these algorithms are still in use today. They are approaching 40 years old and they have proven themselves in every different economic environment so I believe we must have some unique elements to our programs. We have, of course, had some evolutionary changes but we have not beaten the original algorithms. We have improved in market selection and other [areas] but the original algorithms are still operating.