Systematic Trading research and development, with a flavour of Trend Following
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Trend Following Wizards – August 2014

September 17th, 2014 · Trend Following, Trend Following Wizards

Strong results for the Trend Following Wizards in August with 100% of positive returns. The index consolidates its positive performance for the year with the YTD result now at +5.36%.
August average return: +4.30%

Full results below: [Read more →]

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State of Trend Following in August

September 3rd, 2014 · the State of Trend Following, Trend Following

State of TF
 
Another good month takes the index further up for the year, firmly in positive territory.
Please check below for more details. [Read more →]

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Trend Following Wizards in July

August 22nd, 2014 · Trend Following, Trend Following Wizards

Summer Holiday season means the report is here a bit later than usual. I hope you all had a nice Summer (for those in the Northern hemisphere anyway). Autumn is quickly gaining the (early) fight over Summer here in London.

The report for the Trend Following Wizards is mixed this month. July is overall positive at +0.47%, partly thanks to the large return posted by one “outlier” small fund. The index is not AUM-weighted so smaller funds have as much impact on performance than very large ones. The YTD performance is also positive at +1.07%.

Full results below. [Read more →]

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State of Trend Following in July

August 6th, 2014 · the State of Trend Following, Trend Following

State of TF
 
The index is showing positive performance for the third month in a row, taking it to new highs for the year. This is confirmed by the other State of Trend Following report I write, over at the Wisdom Trading blog, so it seems that trend following has “turned a corner”. Is it going to last?

Please check below for more details. [Read more →]

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Trend Following Wizards – June 2014

July 21st, 2014 · Trend Following, Trend Following Wizards

The Wizards index moves back into positive territory for the year, with a month of June that was positive overall – showing an average gain of +1.46% and only a handful of funds in the red. YTD performance just breaking above water at +0.41%.

Please see full results below: [Read more →]

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State of Trend Following in June

July 2nd, 2014 · the State of Trend Following, Trend Following

State of TF
 

A good month of June takes the State of Trend Following index to new highs for the year so far. With the trending activity picking up in the markets, this “breakout” could be a turning point for trend following. To be followed…

Please check below for more details. [Read more →]

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Trend Following Wizards – May 2014

June 20th, 2014 · Trend Following, Trend Following Wizards

A mixed bag for the Wizards last month. The index was positive overall last month but still slightly in the red for the year. Full results below:

Organisation / Fund Return YTD * AUM **
Abraham Trading1
-0.34%
2.46%
$160M
Altis Partners2
-1.78%
-10.40%
$350M
Aspect Capital3
2.39%
-1.83%
$4,824M
Beach Horizon4
2.78%
5.35%
$43M
BlueTrend5
6.25%
3.45%
N/A
Campbell & Company6
2.35%
-8.81%
$2,977M
Chesapeake Capital7
0.89%
-1.45%
$170M
Clarke Capital8
-7.36%
-2.32%
$22M
Covenant Cap. Mgt.9
-0.20%
-5.61%
$65M
Drury Capital10
5.71%
-5.95%
$201M
Dunn Capital11
-2.33%
-7.97%
$296M
Eckhardt Trading12
1.77%
1.79%
$332M
EMC Capital13
0.60%
-7.28%
$86M
Estlander & Partners14
2.43%
-2.49%
$289M
Graham Capital15
2.62%
-2.98%
$2,249M
Hawksbill Capital16
-0.32%
-2.56%
$44M
Hyman Beck & Co.17
-2.55%
-11.67%
$183M
ISAM18
3.86%
3.25%
$535M
Lynx Asset Mgt19
3.09%
-0.58%
$4,903M
Man AHL Diversified20
6.60%
4.40%
$888M
Mark J. Walsh & Co.21
-0.53%
-7.13%
$75M
Millburn Ridgefield22
3.21%
8.56%
$733M
Mulvaney Capital23
-4.47%
2.52%
$148M
Quantica Capital24
1.30%
2.25%
$531M
Rabar Market Research25
0.52%
5.40%
$113M
Saxon Investment26
-0.04%
-0.97%
$67M
Sunrise Capital27
1.02%
-1.14%
$150M
Tactical Investment Mgt28
-3.16%
3.53%
$51M
Transtrend29
3.33%
3.16%
$5,327M
Winton Capital30
1.90%
3.25%
$24,500M
Summary Figures***
0.98%
-1.06%
$50,312M

 

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Notes

* YTD: Year-To-Date performance.
** AUM: Assets Under Management for the program reported here (not total firm AUM)
*** The summary numbers are the mean of the monthly return and the mean of the YTD, with the total sum of AUM, across all managers
 
Note that the figures referenced in the performance table are not provided directly by any of the funds/CTAs featured in this report, but are sourced from other publications such as hedge fund/CTA websites and databases.
  [Read more →]

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State of Trend Following in May 2014

June 3rd, 2014 · the State of Trend Following, Trend Following

State of TF
 
A positive month for the State of Trend Following Index. The two-and-a-held percent gain in May pushes the index to +6% year-to-date.

Please check below for more details. [Read more →]

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Trend Following Wizards – April 2014

May 21st, 2014 · Trend Following, Trend Following Wizards

Positive month but negative year to date. In a few words, this is the status for the Trend Following Wizards four month into 2014.
Please see full results below: [Read more →]

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State of Trend Following in April 2014

May 6th, 2014 · the State of Trend Following, Trend Following

State of TF
 

A fairly flat month overall for the State of Trend Following index, with a slight positive return, both for the month and the year to date.
Please check below for more details. [Read more →]

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Trend Following Wizards – March 2014

April 24th, 2014 · Trend Following, Trend Following Wizards

A late report of the Trend Following Wizards performance for March shows a lot of red, both for the month and the year-to-date. Not a first good quarter for trend followers. The monthly aggregate return is -1.51% and less than a third of the Wizards are in the black for 2014, with an aggregate YTD return of -3.10%.

See the full results below.

[Read more →]

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State of Trend Following in March

April 3rd, 2014 · the State of Trend Following, Trend Following

State of TF
 
Negative result for the month of March. The index stays positive over the first three months of the year.
Please check below for more details. [Read more →]

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Trend Following Wizards – February 2014

March 18th, 2014 · Trend Following, Trend Following Wizards

A globally positive month of February for the Wizards. Not enough to make up for the bad start in January: the YTD performance stays in the red.

February average return: +1.76%
YTD return: -1.61%

Full results below: [Read more →]

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State of Trend Following in February

March 3rd, 2014 · the State of Trend Following, Trend Following

State of TF
 
The month of February was a tale of two halves: a fairly clear leg down, followed by an even stronger leg back up. This closed the month in positive territory – the second time in as many months this year. Additionally, some markets have been showing some strong moves (coffee being the one that naturally comes to mind). Is it a real lasting bounce or just another “zag”? That is the $64,000 question.

Please check below for more details. [Read more →]

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Trend Following Wizards: Difficult start of the year

February 21st, 2014 · Trend Following, Trend Following Wizards

Tough start of the year for the trend following Wizards, with just two of them posting positive results.. As a result, lots of red in the table.

Additions: New Wizards

Thanks to all the readers who submitted suggestions for additions into the list. I added four new managers, taking the list to 30 constituents:

  • Covenant Capital Management
  • Estlander & Partners
  • Lynx Asset Management
  • Quantica Asset Management

For each of these, I picked the most “trend-following” oriented program. I received several more suggestions that I checked; some were too “emerging” to be on the list but a good part of the established managers showed too little an allocation to trend following strategies. Some of the big ones having less than 50% allocated to trend following (it could be argued that this is the case for Lynx above, with an advertised allocation to trend following at 50% only, but I still decided to include them because of their very large size, and for a bit of “geographical diversification”).

Checking back the managers already on the list, I could see that this “trend” of adding extra strategies to a core trend following one has been growing and not all of the Wizards have a “good old” traditional 100% allocation to trend following like the Dunn, Chesapeake, Campbell, Mulvaney, etc. (for example, Abraham only lists trend following as 45% of their program – coincidentally they are one of the managers being up last month). As a reader was pointing out, this is probably a reason for the increased divergence in the Wizards performance. Something worth investigating when going over past performance of the Wizards.

Please find the full results for January 2014 below:
[Read more →]

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State of Trend Following in January

February 4th, 2014 · the State of Trend Following, Trend Following

State of TF
 
The slow bounce from October last year seems to continue with the index registering a small gain in January (+1.17%). Interesting to note that there was a bit less uniformity in the results of different systems/timeframes combinations, with notably the short Donchian showing strong performance.

Please check below for more details. [Read more →]

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AuTraSy vs Wisdom States of Trend Following

January 30th, 2014 · the State of Trend Following, Trend Following

2013′s over… Time for some reflection.

Last year, I started producing the Wisdom State of Trend Following report. The concept is very similar to the State of Trend Following report, which I’ve been running on this blog for a few years: take a diversified portfolio of futures markets, and run it through a mix of classic trend following systems over different timeframes to obtain a trend following composite index.

I worked with Shane at Wisdom Trading to make sure that the new index was closer to “real trading” than the index on this blog. In effect, we added trade friction parameters (slippage and commissions) and made sure that all products could be traded by US citizens/entities (Wisdom cover a very good range of markets but CFTC regulations prevent trading of markets such as Turkish Lira or OMX Helsinki 25).

In terms of sector balancing, my initial pick for the State of TF report was more “random”, so I made sure to have a more even split in the list of around 40 markets selected (details of individual markets and sectors can be found on Wisdom State of TF report posts, like the latest one from December and on the State of TF reports like this one for the AuTraSy version).

The end result was an index that reflected historical trend following performance fairly well in comparison to well-known benchmark indexes, but also to the actual real-life trading performance of trend following systems traded/executed by Wisdom Trading for their clients over the last one or two decades.

The Wisdom report was launched in August, but one thing puzzled me (along with some readers): despite applying very similar concepts, the YTD performance for both “State of TF” indexes showed a substantial difference. That difference lasted until the end of the year, as shown by these two charts:

StateTF YTD [Read more →]

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Trend Following Wizards – December 2013

January 20th, 2014 · Trend Following, Trend Following Wizards

We can say that 2013 was flat for our Trend Following Wizards: they closed the year by posting a minuscule collective yearly gain of +0.04% (with a December return of 0.64%). However, a closer inspection reveals a greater disparity than usual in the results. The standard deviation in the 2013 yearly performance is over 15%, with 4 double-digit gains and 6 double-digit losses. A good illustration that trend following is not just “one big trade” as some people are sometimes led to believe.

I’m looking at updating the list of Wizards for 2014, so please forward any suggestions you have. I do not have set criteria for CTA inclusion, just well-established trend following CTAs (and for which I can access performance information). I need to go back to a few reader emails to review their suggestions over the last year and I might borrow some ideas from this list from Andreas Clenow, author of Following the Trend (good book I still have to review on the blog).

So please send your ideas to improve the list for 2014. I already added Mulvaney Capital to the list this month. I believe they were on my initial list but I just could not find a reliable performance update for them at the time. Note that they were one of the most successful Trend Following Wizards in 2013, posting 43% for the year. The collective results above did not include Mulvaney’s results in order not to skew the results for 2013 (you can see the difference it makes on the summary in the table below). [Read more →]

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Trend Following Wizards

January 20th, 2014 · Fund Review, Trend Following, Trend Following Wizards

—- Latest Results further below —-

On this page I track the monthly results of the top CTAs/Managed Futures funds in the Trend Following space:

  • Decades of successful track records (some managers approaching half a century such as Millburn or Campbell, founded in 1971 and 1972 respectively, with other pioneers following suit a few years later: Sunrise, Dunn, etc.)
  • Legendary stories and experience: the most famous of them being the Turtle Traders experiment led by Richard Dennis in the eighties. Nearly a third of the list originate from or were associated with the Turtles (Liz Cheval, Jerry Parker, Bill Eckhardt and more – check the foot notes for details). Also in the list is David Druz, an early “disciple” of computerized trend following pioneer Ed Seykota.
  • Billions of Assets under management: the list captures most if not all of the top Trend Following managers in terms of AUM, including the “super-large” that are Winton, Man AHL, BlueTrend or Transtrend. Collectively, the Trend Following Wizards manage close to $100 Billion.

Keeping updated

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Latest Results (August ’14)

Strong results for the Trend Following Wizards in August with 100% of positive returns. The index consolidates its positive performance for the year with the YTD result now at +5.36%. August average return: +4.30%

Full results below:

Organisation / Fund Return YTD * AUM **
Abraham Trading1
2.17%
11.44%
$184M
Altis Partners2
0.85%
-7.22%
$288M
Aspect Capital3
5.20%
4.99%
$4,856M
Beach Horizon4
4.22%
12.67%
$45M
BlueTrend5
0.50%
12.30%
N/A
Campbell & Company6
6.69%
1.00%
$3,198M
Chesapeake Capital7
3.24%
3.01%
$201M
Clarke Capital8
2.35%
-2.61%
$16M
Covenant Cap. Mgt.9
3.45%
-2.20%
$67M
Drury Capital10
7.37%
-0.20%
$178M
Dunn Capital11
9.83%
3.98%
$345M
Eckhardt Trading12
5.37%
3.24%
$316M
EMC Capital13
5.00%
6.33%
$86M
Estlander & Partners14
3.20%
0.81%
$271M
Graham Capital15
2.95%
-1.28%
$2,090M
Hawksbill Capital16
5.68%
-0.92%
$45M
Hyman Beck & Co.17
1.30%
-7.24%
$182M
ISAM18
9.07%
21.34%
$570M
Lynx Asset Mgt19
9.14%
9.42%
$5,194M
Man AHL Diversified20
6.00%
16.40%
$861M
Mark J. Walsh & Co.21
4.48%
-5.75%
$68M
Millburn Ridgefield22
3.07%
13.24%
$739M
Mulvaney Capital23
9.33%
17.32%
$158M
Quantica Capital24
1.90%
5.85%
$549M
Rabar Market Research25
2.81%
9.74%
$137M
Saxon Investment26
0.91%
-2.29%
$64M
Sunrise Capital27
2.56%
0.85%
$150M
Tactical Investment Mgt28
2.34%
24.62%
$56M
Transtrend29
4.08%
6.87%
$5,193M
Winton Capital30
3.96%
5.21%
$24,500M
Summary Figures***
4.30%
5.36%
$50,607M

 

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Notes

* YTD: Year-To-Date performance.
** AUM: Assets Under Management for the program reported here (not total firm AUM)
*** The summary numbers are the mean of the monthly return and the mean of the YTD, with the total sum of AUM, across all managers
 
Note that the figures referenced in the performance table are not provided directly by any of the funds/CTAs featured in this report, but are sourced from other publications such as hedge fund/CTA websites and databases.
 
1 – Abraham Trading was founded by Salem Abraham, after he was introduced to Managed Futures and Trend Following by Jerry Parker. He is considered as a “”second-generation”” Turtle.
Program tracked: Diversified Program.

2 – Altis Partners started trading in 2001 and now manage over a $1B with their Altis Global Futures Portfolio. The figures referenced in the performance table are not provided by Altis Partners and no reliance should be taken as to their accuracy, and as a consequence the figures may not be in accordance with any CFTC / NFA performance reporting requirements.
Program tracked: Global Futures Portfolio.

3 – The four founders of Aspect (Eugene Lambert, Anthony Todd, Michael Adam and Martin Lueck) were significant members of one of the most successful funds in managed futures – AHL (Adam, Harding and Lueck).
Program tracked: Aspect Capital Diversified Program.

4 – Beach Horizon was created as a fully automated trend following subsidiary of Beach Capital Mgt, founded by David Beach. Two of the founders of Beach Horizon had early involvement in AHL.
Program Tracked: Managed Account.

5 – BlueTrend, from BlueCrest Capital, is one of the largest Trend Following funds – headed by Ms. Leda Braga.
Program tracked: BlueTrend Fund Limited.

6 – Campbell & Company is one of the oldest Trend Following firms, operating for around 4 decades.
Program tracked: Global Diversified Large.

7 – Chesapeake Capital was founded by Jerry Parker, a former Turtle.
Program tracked: Diversified Program.

8 – Clarke Capital was founded by Michael Clarke in 1993.
Program tracked: Millenium Program.

9 – Covenant Capital is a CTA from Nashville. Program tracked: Aggressive Program

10 – Drury Capital, Inc., was founded in Illinois in 1992 by Bernard Drury.
Program tracked: Diversified Trend-Following.

11 – Dunn Capital was founded by Bill Dunn.
Program tracked: World Monetary and Agriculture (WMA).

12 – Eckhardt Trading is the firm managed by William Eckhardt, who co-led the Turtle experiment with Richard Dennis.
Program tracked: Standard Program.

13 – EMC Capital was founded by Liz Cheval, a former Turtle.
Program tracked: EMC Classic Program.

14 – Estlander is a Finnish CTA, founded by Martin Estlander. Program tracked: Alpha Trend.

15 – Graham Capital was founded in 1994 by Ken Tropin, previously a Director of JWH.
Program tracked: K4-D10.

16 – Hawksbill Capital was founded by Tom Shanks, a former Turtle.
Program tracked: Global Diversified Program.

17 – Hyman Beck & Co. main principals are Alexander Hyman and Carl Beck.
Program tracked: Global Portfolio.

18 – ISAM’s main individuals are Larry Hite and Stanley Fink, both instrumental in the success of MAN AHL. Program tracked: ISAM Systematic Fund Class A

19 – Lynx Asset Management is a multi-billion CTA out of Sweden. Program tracked: Lynx Program

20 – Originally ED & F Man, a commodities broker business founded in 1783. Man became a succesful CTA starting in 1983, when partnering with Larry Hite’s Mint Investments. Subsequently Man gradually acquires AHL (1989-1994) to form Man AHL: the systematic trading division of the Man group.
Program tracked: Man AHL Diversified Plc

21 – Mark J. Walsh was not an official Turtle but trained and worked closely with Richard Dennis before starting his own fund management business.
Program tracked: Standard Program.

22 – Millburn Ridgefield have been trading Trend Following models since the early 1970′s.
Program tracked: Diversified Program.

23 – Mulvaney Capital Management was founded in 1999 by Paul Mulvaney and focuses on long-term trend following.
Program tracked: Mulvaney Global Markets

24 – Program tracked: Managed Futures Program

25 – Rabar Market Research is the company of Paul Rabar, a former Turtle.
Program tracked: Diversified Program.

26 – Saxon Investment was founded by Howard Seidler, a former Turtle.
Program tracked: Aggressive Diversified Program.

27 – Sunrise Capital is a CTA based in San Diego. Founded in 1980 by Gary Davis, it merged in 1995 with Commodity Commodity Monitors, Inc., founded by Rick Slaughter in 1977.
Program tracked: Sunrise Evolution

28 – Tactical Investment Management was founded by David Druz, student of Ed Seykota.
Program tracked: Institutional Commodity Program.

29 – Transtrend is a Trend follower CTA based in Netherlands.
Program tracked: DTP – Enhanced Risk (USD).

30 – Winton Capital is a London-based CTA founded by Dave Harding (also co-founder of AHL).
Program tracked: Diversified Program.

 
 
These are the top CTAs/Managed Futures funds in the Trend Following space with:

  • Decades of successful track records (some managers approaching half a century such as Millburn or Campbell, founded in 1971 and 1972 respectively, with other pioneers following suit a few years later: Sunrise, Dunn, etc.)
  • Legendary stories and experience: the most famous of them being the Turtle Traders experiment led by Richard Dennis in the eighties. Nearly a third of the list originate from or were associated with the Turtles (Liz Cheval, Jerry Parker, Bill Eckhardt and more – check the foot notes for details). Also in the list is David Druz, an early “disciple” of computerized trend following pioneer Ed Seykota.
  • Billions of Assets under management: the list captures some top Trend Following managers in terms of AUM, including the “super-large” that are Winton, Man AHL, BlueTrend or Transtrend. Collectively, the Trend Following Wizards manage close to $100 Billion.

 
Several of the traders behind these funds have been involved in the Turtle Trading experiment (2 excellent books on this topic: Complete Turtle Trader – featuring the actual turtle rules and The Way of the Turtle), featured in the legendary books by Jack Schwager: Market Wizards and New Market Wizards, or in Michael Covel’s dedicated Trend Following book.

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State of Trend Following in 2013

January 2nd, 2014 · the State of Trend Following, Trend Following

State of TF
 

The year came to a close to see the State of TF index register a last “mini-rally” and finish 2013 by posting a small gain, after a roller-coaster up-and-down through the last 12 months.

Interestingly, the new index I created for Wisdom Trading finished the year fairly substantially down, despite having very similar principles (diversified portfolio traded using public domain trend following systems over different timeframes). I’ll look into the reasons why in a next post.

Please check below for more details… And Happy New Year to all readers! [Read more →]

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