This is a big problem throughout the whole Investment industry. It is a human nature problem in that everyone wants to pick a winner. It has been reported that in two of the most successful funds in history, George Soros’ Quantum Fund and Fidelity’s Magellan Fund, many of their Investors lost money. In the 1980-2000 time period, the average stock portfolio is said to have only gained an average of 3%, while the overall market itself went up over 17%. Investors have a very bad habit of chasing yesterday’s returns. Many investors would buy after seeing a big run up and sell on the subsequent pullback. What investors need to do is look around the curve and is gain a better understanding of their investments. I believe the best time to enter a trend-following CTA is during a drawdown. The drawdown suggests that commodity prices have been fairly stable and the CTA recently has not had many opportunities to make a profit. However, that will inevitably change as we live on an unstable planet filled with unstable people. Supply and demand will not stay in balance forever and as that slips, prices will shift creating a more profitable environment for the CTA. What I like to do is look at the CTA and try to determine if this manager has a profitable strategy. If I believe the answer to be a yes, then I will look at the investment environment and enter when I believe good periods of returns are coming. Once invested, I usually like to stay with them knowing overtime their edge will pay out.