Systematic Trading research and development, with a flavour of Trend Following
Au.Tra.Sy blog – Automated trading System header image 2

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

 

Get posts by RSS

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.”

→ No CommentsTags: ·

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 →]

→ No CommentsTags:

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 →]

→ No CommentsTags: ·

State of Trend Following in March

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

State of TF
 

The index registered a new yearly high last month, with a nice uptrend until mid-month (nearing +10% YTD), before settling back to a lower level. The year-to-date performance is still well in the black.

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

→ No CommentsTags:

Trend Following Wizards – February

March 27th, 2015 · Trend Following, Trend Following Wizards

Not a great month. Neither for the Wizards or for this blog, with such a long delay publishing this month’s report. Apologies for reporting the February figures so close to… April. For various reasons I was unable to get to this earlier than now. Here it is finally.

A negative return, but only slightly. This allowed for the composite figure to stay well in the black for the year. A negative month, but still positive overall…

February: -1.21%
YTD: +4.29%

Enjoy the individual figures further below: [Read more →]

→ No CommentsTags: ·

State of Trend Following in February

March 5th, 2015 · the State of Trend Following, Trend Following

State of TF
 
After a strong string of positive performances, the State of TF index pulled back last month to post a negative return, still leaving 2015 in positive territory.

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

→ No CommentsTags:

Trend Following Wizards: Good January Start

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

Good start of the year for the Wizards, who started the year with a collective +5.63% in January.

Please see below for full individual results. [Read more →]

→ 1 CommentTags: ·

State of Trend Following in January

February 4th, 2015 · the State of Trend Following, Trend Following

State of TF
 

The year is starting as it ended for trend following: Very strong. The index posted a first good month (over +6%). Trend Following keeps on trending up!

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

→ 2 CommentsTags:

Trend Following Wizards close 2014 on a High

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

Collectively, the Wizards added another good month to an already very good 2014 (the come-back year for trend following). A near-100% of positive results for the year, with an average just shy of +25% and a handful of strong performers.
Average return for December: +3.56%
Full results below:

[Read more →]

→ No CommentsTags: ·

State of Trend Following in December 2014

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

State of TF
 

Happy New Year to all readers!

The first post of the year looks back at the performance of the State of Trend Following index in 2014… And it’s been a great year! Trend Following really started to shine in the second half of the year and closed the year with a gain over 50%. Clearly the best performance since the great 2008 results – and there was no big crash (yet?) to trigger it. Conditions might well be turning for trend following.

December was no exception, with the index posting another very strong month.

Wishing all of you continued or new success in 2015, in your trading and other endeavours.

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

→ 2 CommentsTags:

Trend Following Wizards – Strong November, Strong 2014

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

One of the best months of the year for our Trend Following Wizards. Not so surprisingly after the strong performance of the State of Trend Following Index (nearing +10% return for November).

The overall return for the Wizards was +6.80% for the month with the YTD performance just a fraction off the typical 20% threshold for “bull market” definition. With some big moves in commodities, the weighing of these markets in the CTAs’ portfolios might be the main source of difference between “good” and “very good” performances.

Full table further below, with an overwhelming number of black numbers — only one spot of red preventing a perfect 100%. [Read more →]

→ No CommentsTags: ·

State of Trend Following in November 2014

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

State of TF
 

The State of TF index closed the month with a big spike up, courtesy of large crude oil/energy moves to the downside. Most of the systems in the index had been short for a few months and benefited from this large move in the direction of the main trend.

Unsurprisingly, the index registered a new high and now stands close to +50% for the year, narrowly missing a double-digit return in November.

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

→ 1 CommentTags:

Trend Following Wizards – October 14

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

A mixed set of results for the Wizards in October. Slightly positive overall, the performance for the year is still quite strong.

[Read more →]

→ 1 CommentTags: ·

State of Trend Following – October 2014

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

State of TF
 

The good streak shown by trend following and this index over the last few months did not persist in October. It actually started the month very well, registering over +5% by the 15th, but then quickly turned back down to reverse all of its gains and finish slightly negative for the month. The “trend” still looks healthy and up.

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

→ 2 CommentsTags:

Trend Following Wizards – September 2014

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

We suspected that the Trend Following Wizards would have a good month of September after seeing the State of Trend Following reports post their best performance of the year.

The Wizards did not disappoint with an average return of 6.07% for the month and 11.64% YTD.

Some of the more aggressive managers are now showing juicy YTD performance (38% or 45% for Paul Mulvaney or David Druz — with half the list being in double-digit territory).

Also of interest is that only a couple of managers are in the red for the month. This includes Winton, often considered as the “darling” of the CTAs/Managed Futures funds. Many people have wondered how much of a trend following strategy Winton actually employ… A negative return in a bad month for stocks and great one for trend following might bring part of the answer.

Please see below for the full results: [Read more →]

→ 2 CommentsTags: ·

State of Trend Following in September

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

State of TF
 
September is the strongest month of the year so far with the first double-digit return and a very healthy YTD performance over 30%. After a slow start, it seems that 2014 is the year of Trend Following return (from the grave? as we remember some people were bringing up the old “Trend Following is dead” theme a few months back).

It will be interesting to check the Wizards performance later on during the month. Early indications seem to point to a good month too.

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

→ No CommentsTags:

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 →]

→ No CommentsTags: ·

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 →]

→ 3 CommentsTags:

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 →]

→ No CommentsTags: ·

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 →]

→ No CommentsTags: