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April: Trend Following Wizards Bounced Up Too…

May 16th, 2011 · 3 Comments · Trend Following, Trend Following Wizards

Following the trend (no pun intended) of strong up-and-down months exhibited by the State of Trend Following, the Wizards also had a strong bounce back up in April.

100% of monthly returns were positive in April, showing an average over 6%, with only a few red marks in the YTD column, with an average over 5%.

Below are the individual results for the Wizards for April 11:

Organisation / Fund Return YTD * AUM **
Abraham Trading1
5.91%
3.64%
$591M
Altis Partners2
2.60%
-12.14%
$1,591M
Aspect Capital3
4.34%
4.14%
N/A
Beach Horizon4
4.20%
6.29%
$667M
BlueTrend5
5.97%
9.42%
$12,800M
Campbell & Company6
N/A
N/A
N/A
Chesapeake Capital7
5.55%
14.64%
$985M
Clarke Capital8
10.64%
14.26%
$41M
Drury Capital9
3.73%
5.98%
$380M
Dunn Capital10
11.78%
8.21%
$280M
Eckhardt Trading11
9.38%
7.48%
$517M
EMC Capital12
6.20%
5.58%
$184M
Hawksbill Capital13
12.10%
7.24%
$84M
Hyman Beck & Co.14
2.04%
1.45%
$520M
JWH & Co.15
2.20%
-7.95%
$23M
Man AHL Diversified16
4.00%
-2.50%
$1,144M
Mark J. Walsh & Co.17
6.22%
4.62%
$122M
Millburn Ridgefield18
6.07%
4.78%
$1,139M
Rabar Market Research19
8.63%
12.29%
$243M
Saxon Investment20
2.29%
5.58%
$32M
Sunrise Capital21
4.40%
7.30%
$593M
Superfund22
8.99%
9.40%
N/A
Tactical Investment Mgt23
13.52%
5.05%
$102M
Transtrend24
2.85%
1.64%
$6,511M
Winton Capital25
3.00%
4.90%
$2,850M
Averages
6.11%
5.05%

 

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Notes

* YTD: Year-To-Date performance.
** AUM: Assets Under Management for the program reported here (not total firm AUM)
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 – Composite
3. The four founders of Aspect (Eugene Lambert, Anthony Todd, Michael Adam and Martin Lueck) were significant members of one of the most succesful funds in managed futures – AHL (Adam, Harding and Lueck). Program tracked: Aspect Capital Diversified USD
4. Beach Horizon was created as a fully automated trend following subsidiary of Beach Capital Management, 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: Trend Following Portfolio
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
9. Drury Capital, Inc., was founded in Illinois in 1992 by Mr. Bernard Drury. program tracked: Diversified Trend-Following
10. Dunn Capital was founded by Bill Dunn. Program tracked: World Monetary and Agriculture (WMA)
11. Eckhardt Trading is the firm managed by William Eckhardt, who co-led the Turtle experiment with Richard Dennis. Program tracked: Standard Program
12. EMC Capital was founded by Liz Cheval, a former Turtle. Program tracked: EMC Classic Program
13. Hawksbill Capital was founded by Tom Shanks, a former Turtle. Program tracked: Global Diversified Program
14. Hyman Beck & Co. main principals are Alexander Hyman and Carl Beck. Program tracked: Global Portfolio
15. JWH & Co. was founded by John W. Henry, now also owner of the Boston Red Sox. program tracked: Financial & Metals Portfolio
16. Originally ED & F Man. Became a succesful CTA under Larry Hite and went on to form part of The Man Group plc, which subsequently bought AHL to form the Man AHL: the systematic trading division of the Man group. Program tracked: Man AHL Diversified Futures Ltd
17. 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
18. Millburn Ridgefield have been trading Trend Following models since the early 1970’s. Program tracked: Diversified Program
19. Rabar Market Research is the company of Paul Rabar, a former Turtle. Program tracked: Diversified Program
20. Saxon Investment was founded by Howard Seidler, a former Turtle. Program tracked: Diversified Program
21. Sunrise Capital is a CTA based in San Diego, with Martin Ehrlich as Principal. Program tracked: Expanded Diversified Program
21. Superfund founder and CEO: Christian Baha. Program tracked: Superfund Q-AG
23. Tactical Investment Management was founded by David Druz, student of Ed Seykota. Program tracked: Institutional Commodity Program
24. Transtrend is a Trend follower CTA based in Netherlands. Program tracked: DTP – Enhanced Risk (USD)
25. Winton Capital is a London-based CTA founded by Dave Harding (also co-founder of AHL). Program tracked: Diversified Programme
 
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.

 
 
These are top of the range CTAs/Managed Futures funds in the Trend Following space.
Most 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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3 Comments so far ↓

  • Jens

    Interesting! The Swedish CTA/Trend follower I follow LynxHedge was up around 6.56% in April, but dreadful May so far, -7.86% so far, ugh.

  • Roy

    Hi – great info – always looking to see this eveymonth – fantastic job. Thank you so much

    Quick question for you
    I wonder how YTD returns are calculated by the CTA. I was looking at Abraham results for this year:

    Jan : -1.45%
    Feb: 3.30%
    Mar: -6.80%
    Apr: 5.91%

    If I start Jan with $1,000 and then I calculate the returns as follows:

    Jan : 1000 -14.5
    Feb: 985.5 32.5
    Mar: 1,018 -69.2
    Apr: 949 56.1
    End Of April : 1,005

    Basically Abraham is flat for the year – but he is reporting 3.64%

    How would be the correct way to calculate returns YTD?

    Thanks

  • Jez Liberty

    Hi Roy,
    Thanks!
    I think your calculations are correct, but not the underlying data. January was positive for Abraham: +1.45%
    This might actually be down to my mistake: I had made a typo in the first edition of the January report, publishing the performance as -1.45% but later corrected it to the correct +1.45%.
    Note that the YTD figure reported in the report might be slightly different from the one you would calculate from the monthly reports on the blog as performance numbers sometimes get slightly adjusted a few months later when accounting has finalised the actual figure. I have never seen the adjustment be very large (I checked for Abraham January and it now says +1.57% for example).
    Cheers,
    Jez

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