Systematic Trading research and development, with a flavour of Trend Following
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State of Trend Following in January

February 3rd, 2016 · the State of Trend Following, Trend Following

State of TF
 

Strong start of the year for the State of Trend Following index, nearly closing the month with double-digit gains.

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

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Trend Following Wizards – December

January 29th, 2016 · Trend Following, Trend Following Wizards

Negative 2015 year for our Trend Following Wizards collective. The month of December tipped the index in the red, as well as 5 wizards being in double-digit losses for the year.

Full results below:

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State of Trend Following in December

January 4th, 2016 · the State of Trend Following, Trend Following

State of TF
 

Happy New Year 2016! We start with this first State of Trend Following report to see that December closed down, with the index slightly positive for the year. 2015 was up-and-down. What will 2016 bring?

Please check below for full results. [Read more →]

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Trend Following Wizards in November 2015

December 17th, 2015 · Trend Following, Trend Following Wizards

The Trend Following Wizards had a good month of November. Just short of lifting the index in the black for the Year-To-Date performance though. The few funds in negative double-digit territory (two around -20%) are surely weighing down on the overall result.

Please see the full results below:

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State of Trend Following in November

December 3rd, 2015 · the State of Trend Following, Trend Following

State of TF
 

Last month’s results for trend following were positive, with a strong performance that took the index back into positive territory for the year. The strategy goes into the last month of the year holding modest gains but 2015 will obviously not be a repeat of the runaway performance from last year.

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

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Trend Following Wizards – October 2015

November 16th, 2015 · Trend Following, Trend Following Wizards

Red October again this year for the Wizards and their trend following strategy. All but one of the funds/CTAs tracked here posted negative returns for last month, with a few YTD numbers well in double-digit negative territory. Both the collective monthly and YTD performance are around the -3% mark.

Below are the full results as of end October 2015:

[Read more →]

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State of Trend Following in October

November 2nd, 2015 · the State of Trend Following, Trend Following

State of TF
 
The State of Trend Following index posted a strong negative return in October. Enough to take the YTD performance in the red, with another volatile oscillation around the neutral line for 2015.

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

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Trend Following Wizards – September

October 22nd, 2015 · Trend Following, Trend Following Wizards

A near-perfect month for the Wizards. Only one fund is down in September and the collective average performance is +2.52%, taking the index close to break-even for 2015 with the YTD number at -0.55%.

See detailed results below

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State of Trend Following in September: it was a Good Summer

October 6th, 2015 · the State of Trend Following, Trend Following

State of TF
 

The index had a strong September, continuing the “Summer uptrend” started in mid-July. This has now resulted in the YTD performance returning to positive territory, after the “Spring slump” took the index from the “Winter highs” to negative performance. Let’s see what Autumn (or Fall depending on where you live) has in store…

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

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Trend Following Wizards – August

September 30th, 2015 · Trend Following, Trend Following Wizards

The August numbers for the Wizards are negative and late for August. I was waiting for one of my source websites to update a couple of funds, but the data is still not out. This would most likely not have changed the overall trend, which was quite clearly negative in August. A few funds managed to post a positive return but most were in the red, with a collective performance averaging -2.63% (and a YTD standing at -3.26%).

Full numbers below:

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State of Trend Following in August

September 8th, 2015 · the State of Trend Following, Trend Following

State of TF
 

A positive return for the State of Trend Following index, bringing the YTD performance nearly exactly on neutral level. The big spike up seen in the last part of the month, which brought the index close to +10%, was short-lived. The index quickly reverted it with a quick spike down.

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

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Trend Following Wizards – July 2015

August 25th, 2015 · Trend Following, Trend Following Wizards

A strong up month for the Trend Following Wizards, which would take the aggregate performance just above break-even for the year if it was not for a strong down performer. Check the detailed results below. [Read more →]

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State of Trend Following in July: UP

August 18th, 2015 · the State of Trend Following, Trend Following

State of TF
 

July saw a bounce back up in the index after several months of downwards action. The YTD performance is still negative though.

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

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Trend Following Wizards – June ’15

July 20th, 2015 · Trend Following, Trend Following Wizards

Big negative month for the Trend Following Wizards who posted a collective performance of -4.7%. The performance is now negative for 2015, at -3.85%.
Please see full results below:

[Read more →]

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State of Trend Following in June

July 3rd, 2015 · the State of Trend Following, Trend Following

State of TF
 

Another down month for the State of Trend Following index. After a fairly good start to the year – until mid-March where the index registered its high for the year – the trend has been fairly clearly down. Possibly a drawdown phase following the very strong performance from 2014 and beginning 2015.

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

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Trend Following Wizards – May

June 16th, 2015 · Trend Following, Trend Following Wizards

Mixed results, slightly negative for the month but slightly positive for the year. This is, in a nutshell, the summary for the Wizards as of end of May.

Detailed results below:

[Read more →]

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State of Trend Following in May

June 2nd, 2015 · the State of Trend Following, Trend Following

State of TF
 
Another successive down month for the index. Enough to take it into negative territory for the year.

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

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Trend Following Wizards – April

May 18th, 2015 · Trend Following, Trend Following Wizards

Negative April across the board for all the Wizards but one. A fairly strong down month too at -4.23%, taking the YTD performance closer to neutral, but still positive at +1.33%

Organisation / Fund Return YTD * AUM **
Abraham Trading1
-5.19%
-0.50%
$278M
Altis Partners2
-3.87%
6.18%
$306M
Aspect Capital3
-9.69%
-2.48%
$4,800M
Beach Horizon4
-5.48%
0.68%
$101M
BlueTrend5
-3.32%
6.94%
N/A
Campbell & Company6
-3.85%
3.69%
$4,646M
Chesapeake Capital7
-3.81%
0.73%
$282M
Clarke Capital8
-3.44%
-0.97%
$15M
Covenant Cap. Mgt.9
-2.82%
-6.21%
$71M
Drury Capital10
-4.50%
-4.20%
$218M
Dunn Capital11
-10.78%
1.73%
$500M
Eckhardt Trading12
-1.49%
2.00%
$332M
EMC Capital13
-0.20%
2.10%
$104M
Estlander & Partners14
-2.35%
3.59%
$322M
Graham Capital15
-1.07%
4.59%
$2,931M
Hawksbill Capital16
-3.34%
4.73%
$62M
Hyman Beck & Co.17
-6.72%
4.97%
$182M
ISAM18
-7.47%
6.53%
$350M
Lynx Asset Mgt19
-6.30%
2.89%
$5,710M
Man AHL Diversified20
-4.17%
3.80%
$983M
Mark J. Walsh & Co.21
-4.94%
-3.59%
$94M
Millburn Ridgefield22
-3.01%
2.60%
$821M
Mulvaney Capital23
-7.98%
1.66%
$207M
Quantica Capital24
-2.90%
0.50%
$685M
Rabar Market Research25
-3.24%
-2.09%
$137M
Saxon Investment26
1.05%
-3.50%
$49M
Sunrise Capital27
-2.57%
2.18%
$200M
Tactical Investment Mgt28
-3.84%
1.50%
$66M
Transtrend29
-3.53%
1.43%
$5,195M
Winton Capital30
-3.29%
1.33%
$29,173M
Summary Figures***
-4.23%
1.33%
$59,170M

 

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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.

– 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 (GBP).

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 April

May 6th, 2015 · the State of Trend Following, Trend Following

State of TF
 
A negative month in April for the State of Trend Following report, taking the performance below the break-even line for 2015.

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

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Trend Following Wizards in March: UP

April 22nd, 2015 · Trend Following, Trend Following Wizards

A couple of late reporting funds this month, but here is the update for March’s Wizards performance. A fairly positive month to increase the yearly gains.

[Read more →]

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