In a short period of time, Manhattan fingerprint experts and police photographers were enlisted in the case as well as some 250 plainclothesman. The huge manhunt yielded several promising suspects, except that none of them looked like the grey-haired, moustached old tramp. His face was burned forever in the memory of Anna McDonnell: "He came shuffling down the street, mumbling to himself, making queer motions with his hands. I'll never forget those hands. I shuddered when I looked at them... how they opened and shut, opened and shut, opened and shut. I saw him look toward Francis and the others. I saw his thick grey hair, his drooping gray moustache. Everything about him seemed faded and gray."
Despite the massive efforts of the police and the community, the "Grey Man" had vanished into thin air.
In November of 1934, the Budd case was officially still open although nobody ever expected it to be solved. Only one man, William F. King, continued to pursue the case. Every once in awhile, King would plant a phony item about a break in the case with Walter Winchell. On November 2, 1934, Winchell took the bait once again:
"I checked on the Grace Budd mystery," Winchell wrote in his column. "She was eight when she was kidnapped about six years ago. And it is safe to tell you that the Dept. of Missing Persons will break the case, or they expect to, in four weeks."
Ten days later, Delia Budd received a letter that her lack of education fortunately prevented her from reading. Her son Edward read it instead and ran out the door to get Det. King. The letter was singularly barbarous: