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Trend Following Wizards: negative month (May), 2010 now in the red…

June 16th, 2010 · 5 Comments · Trend Following, Trend Following Wizards

Not as volatile as some might have expected, the performances of the Trend Following Wizards are fairly heterogenous but mostly on the negative side with an average return of -3.99% and a couple of double-digit losses. This brings the average Year-To-Date to -0.66%.

This contrasts with the +35% result found in some of the strategies in the State of Trend Following Report. If the assumption that CTA performances and simple Trend Following strategies (which compose the State of TF report) holds true, one might want to extrapolate and speculate on what type of strategies/timeframe CTAs run.

As a side note, if you have any suggestions of large recognized Trend Following CTAs/Funds to be included in this report, please let me know in the comments. Funds currently on my list of possible additions (provided they publish the information easily accessible): BlueTrend, Graham, Campbell.

Here are the detailed results for May 2010:

Organisation / Fund Return YTD * AUM **
Abraham Trading1
-3.83%
-6.10%
$474M
Aspect Capital2
-2.35%
1.51%
N/A
Chesapeake Capital3
-18.28%
-13.05%
$632M
Clarke Capital4
0.41%
11.37%
$12M
Drury Capital5
-7.61%
-8.99%
$218M
Dunn Capital6
-7.26%
2.99%
$227M
Eckhardt Trading7
2.76%
-2.50%
$295M
EMC Capital8
-3.60%
-9.61%
$175M
Hawksbill Capital9
0.85%
12.20%
$58M
Hyman Beck & Co.10
0.01%
-7.94%
$427M
JWH & Co.11
6.73%
5.46%
$27M
Man AHL Diversified12
-1.30%
2.40%
$1,311M
Millburn Ridgefield13
9.50%
$1,144M
Rabar Market Research14
-8.67%
-8.41%
$178M
Saxon Investment15
-3.52%
-1.26%
$12M
Superfund16
-16.62%
-6.97%
N/A
Transtrend17
-4.58%
2.19%
$4,820M
Winton Capital18
-1.01%
5.27%
$4,500M

 

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Notes
* YTD: Year-To-Date performance.
** AUM: Assets Under Management.
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.
2. 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)
3. Chesapeake Capital was founded by Jerry Parker, a former Turtle.
4. Clarke Capital was founded by Michael Clarke in 1993.
5. Drury Capital, Inc., was founded in Illinois in 1992 by Mr. Bernard Drury.
6. Dunn Capital was founded by Bill Dunn.
7. Eckhardt Trading is the firm managed by William Eckhardt, who co-led the Turtle experiment with Richard Dennis
8. EMC Capital was founded by Liz Cheval, a former Turtle.
9. Hawksbill Capital was founded by Tom Shanks, a former Turtle.
10. Hyman Beck & Co. main principals are Alexander Hyman and Carl Beck.
11. JWH & Co. was founded by John W. Henry, Owner of the Boston Red Sox.
12. 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.
13. Millburn Ridgefield have been trading Trend Following models since the early 1970′s. As they report performance figures one month later, last month performance is not reported in this report and their YTD, AUM stats are from the month before.
14. Rabar Market Research is the company of Paul Rabar, a former Turtle.
15. Saxon Investment was founded by Howard Seidler, a former Turtle.
16. Superfund founder and CEO: Christian Baha.
17. Transtrend is a Trend follower CTA based in Netherlands
18. Winton Capital is a London-based CTA founded by Dave Harding (also co-founder of AHL).

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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5 Comments so far ↓

  • red

    Can I ask where are you getting the data from?
    Also, I think it would definitely be worthwhile to add Graham capital.

  • Jez

    red – The data is obtained mostly from going to each fund’s website and collating it in this report. Not all funds make it easy to access it though (ie registrations required, etc.)
    I’ll definitely add Graham next month.

  • Eventhorizon

    Consider Altis (AUM: $1bn+), Campbell & Co, maybe Drury Capital (AUM: $600m).

    Definitely should have BlueCrest Capital’s BlueTrend program (AUM: $9bn). Nice picture of Nhuptse on their website background!

    With Graham, it’s only their DK4 (?) program that is trend-following, I think.

    Drury requires a password, but they give them out promptly.

  • Jez

    Thanks Eventhorizon -
    I already got Drury but their website is a “pain” (for me anyway). If I create an account, I can login fine first time through their email confirmation but next month it will not accept my password or a new registration with the same email address so I have to keep registering with different email addresses every month.. Will be running out of them soon..

    BlueTrend should make it from next month as well as Campbell – got it mistaken in my previous comment. For Graham Cap, I have requested account to their website but no reply yet…

    Thanks for the other suggestions

  • Oliver Ward

    hi Jez,

    also have a look at http://shell-capital.com/ this guy as some fantastic returns over the last 5 years, over 60% return with less than 15% DD in is managed stock portfolios.

    best regards

    Oliver

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