The Performance

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Table 7.1: Annual Turtle Performance.

Jim Melnick Howard Seidler

Mike Cavallo Jerry Parker Liz Cheval

Stig Ostgaard Jeff Gordon Mike Carr




1987 111%

Tom Shanks Jim DiMaria Brian Proctor Paul Rabar

Phil Lui

Mark Walsh and Mike O'Brien




Source: Barclays Performance Reporting (

Nothing illustrates the life of a Turtle while working for Richard Dennis better than the monthly ups and downs of the raw performance numbers. Consider the performance of three Turtles, Mike Cavallo, Jerry Parker, and Liz Cheval, during 1985 (more Turtle performance numbers are in the appendix.):

Table 7.2: 1985 Month-by-Month Performance for Mike Cavallo, Jerry Parker, and Liz Cheval.


Mike Cavallo ROR

Jerry Parker ROR

Liz Cheval ROR

















































VAMI (Value Added Monthly Index): An index that tracks the monthly performance of a hypothetical $1,000 investment as it grows over time. ROR: Rate of return.

Source: Barclays Performance Reporting (

VAMI (Value Added Monthly Index): An index that tracks the monthly performance of a hypothetical $1,000 investment as it grows over time. ROR: Rate of return.

Source: Barclays Performance Reporting (

I found the omission odd that Sol Waksman did not have Curtis Faith's numbers from inside the Turtle program. Faith said that his performance numbers were not available because he never constructed an approved track record for his years trading Dennis's money, preventing him from giving his exact Turtle performance numbers.6

However, how was it even possible that Faith could be trading so much more money than other Turtles? Dennis had a lot of money, but not an infinite amount. Other Turtles said money was being taken from their accounts and given to Faith's account.

Interestingly, once Faith's account got really big, things apparently went south. One Turtle saw Faith losing much of his gains in a 1987 silver trade; it was his contention that all of the money Faith had ever made for Dennis may have been lost on that one trade.

Other Turtles talked about this silver trade, too. One said that Faith didn't exactly follow the system because he had "gotten a feel for it." When silver finally spiked down from a big run-up, he saw Faith as the last trader actually trying to exit.

Faith admitted that he was in error. In the chat forum, he said it was his single worst mistake trading: "I was holding 1,200 contracts of Comex Silver, yep the 5,000 ouncers for 6,000,000 ounces for Richard Dennis's account. This along with 500 contracts of Comex Gold. Rode it all the way up and almost all the way down accounting for a whopping -65 percent drawdown in the account. The equity swing on the high-move day for the account from the high to the low was something ridiculous, like $14 million."

At the end of the day there was no way to verify the exact amount Faith lost on that silver trade, and there was no way to verify Faith's exact $31.5 million profit figure while working for Dennis either. In trying to do so, I talked with reporter Stanley Angrist who wrote that 1989 Wall Street Journal article nearly twenty years ago. He told me that he had no way to verify Faith's earnings. He received that $31.5 million number from Faith himself.

While this silver trade may have been one of the final behind-the-scenes sagas within the Turtle experiment, it certainly wasn't the last one. Once the idea of taking too much risk and not following rules was on the table, it was as though a dam broke. David Cheval, Liz Cheval's former husband, saw more than one Turtle in the first year ignore the rules and take excessive risk. He said, "I also believe that Rich increased the stake of several traders because they blew out the initial stake — not necessarily because they were the top traders."7

Curtis Faith disagreed saying that it wasn't really possible to blow out the initial stake. He said that if the Turtles lost 50 percent on a closed trade basis they would not have money to trade."8 Fifty percent was not a cutoff point. Turtles clearly breached that, and the data proves it. However, when it comes to allocations there will always be a mystery, with assorted inconsistencies as everyone protects their real or perceived reputations twenty years later.

That said, the allocation story had an ending. Sam DeNardo zeroed back in on allocations as he saw the second-year group of Turtles becoming destabilized. They were concentrating a lot on "How come you got $50,000 where I got $200,000?" or "Why did you get $600,000?" He saw them worried that they had done something wrong in Dennis's eyes. DeNardo even tried to ease tensions by writing Dennis a letter to warn him that there was destabilization in the Turtle ranks. "They were fighting amongst each other," he said.

Keefer also sent a brief letter to Dennis questioning his allocation formula. He believed that if Dennis had done nothing more than give an equal allocation to all Turtles, for example $5 million, he would have made much more money. He said, "I'm quite certain that it didn't endear me to Rich a whole lot when I wrote the paper saying, 'Here's how the logic of asset allocation should be in this kind of a game.' "

Keefer, who thought Dennis deserved a Nobel prize for his real-world work in harnessing volatility in his trading models, lamented the allocations aspect of the program: "You've got somebody that's got an awesome trading system and he's following really rigidly good protocols about trend trading and then he just literally blows it up on asset allocation."

It was DeNardo, however, who got punished for questioning allocations—he got cut from the program. Dennis interpreted his letter as trying to make excuses for his losses. DeNardo said he followed the rules, but not always: "I remembered buying sugar when I should have been selling it. I just said, heck, 'I'll buy some.' Well, I get called in for that. 'You s houldn't do that. It's counter trend.' Well, I never did it again. Let me tell you, they knew what you were doing."

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