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

Managed Futures: still the Better Diversifier?

October 7th, 2012 · Equities, Futures, Trend Following

StdDev vs MF+HF  Rollinger

A decade ago, Cass Business School Professor Harry M. Kat wrote a paper entitled Managed Futures and Hedge Funds: A Match Made in Heaven. In the paper Kat studied the impact of adding managed futures to traditional bond/stock portfolio allocations.
In comparison to hedge funds, Kat found that:

Apart from their lower expected returns, managed futures appear to be more effective diversifiers than hedge funds.

This is obviously an interesting paper but it starts to date; and blog reader Tom Rollinger from Sunrise Capital had the good idea to update the numbers in his paper entitled Revisiting Kat’s Managed Futures and Hedge Funds: A Match Made in Heaven.

Quite a lot has happened since 2002. In the markets in general and the alternative investment space in particular. So checking how Kat’s findings have held up was an obviously interesting follow-up. A sort of “out-of-sample” testing. [Read more →]

→ 4 CommentsTags: ·

State of Trend Following in September

October 2nd, 2012 · the State of Trend Following, Trend Following

State of TF
 
The more extreme and diverging readings from the middle of last month (from the different strategies/timeframes tracked) have “reverted to the mean” and converged to close September more uniformly and went on to post small losses for the month, while still keeping the YTD performance of this State of trend following report positive.

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

→ 8 CommentsTags:

Trend Following Wizards – August

September 17th, 2012 · Trend Following, Trend Following Wizards

Please find below the full details for the trend following wizards performance in August. Overall, a negative month with most in the red and an average return of -1.68%.

[Read more →]

→ 2 CommentsTags: ·

State of Trend Following in August: Summer lull

September 3rd, 2012 · the State of Trend Following, Trend Following

State of TF
 

Not too much to report this month.

It seems that the Trend Following strategies used in this report have taken a “bit of a breather” in August. The composite index stayed mostly flat during the whole month with all strategies showing less volatility than in the last few months

At least, the YTD performance still stands in positive territory so far.

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

→ No CommentsTags:

Trend Following Wizards – July 2012

August 16th, 2012 · Trend Following, Trend Following Wizards

Nice start to the second half of the year…
A left column full of black: a strong July for Trend Following Wizards who post a collective performance over 5% last month to get back in positive territory year-to-date.

See full results below:
[Read more →]

→ No CommentsTags: ·

State of Trend Following: July rebound

August 3rd, 2012 · the State of Trend Following, Trend Following

State of TF
 

The yo-yo is definitely back! May, June, July have started a new “trend” of a seesawing equity curve for the index – with relatively strong moves. This July rebound means that the index is now back in the “fairly comfortable” positive territory, although it will be interesting to see what August has got in store – especially since the equity curve seems to show signs of turning back down at the end of last month.

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

→ No CommentsTags:

Trend Following Wizards – June ’12

July 18th, 2012 · Trend Following, Trend Following Wizards

As expected (from the June state of trend following report), June proved to be a bad month for Trend Following Wizards. Check the left column of the table below: all red except for Saxon Investment who posted a 0% monthly performance as they seem to have triggered another high volatility “trading pause” (as they did last year when they side-stepped the markets for a few months).

This strong down month also leaves the Wizards in the red at the half-way point in 2012 with YTP performance slightly under -2%.
Please check full results below:
[Read more →]

→ 2 CommentsTags: ·

State of Trend Following: June smack-down

July 2nd, 2012 · the State of Trend Following, Trend Following

State of TF
 

May produced some very good results, even if a bit volatile, but strongly on the up side. It seems that the “volatility yoyo”, magnified by the inter-market correlation, is back, but with a “vengeance”: all or most gains from last month were erased by a sharp move down in June, for both ends of the “timeframe spectrum”: long-term and short-term systems pointed down equally last month.

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

→ No CommentsTags:

Trend Following Wizards – May (CORRECTED)

June 19th, 2012 · Trend Following, Trend Following Wizards

—– UPDATE: The post initially came out with the wrong results/table. Here is the correct/updated version (thanks to readers Martin and Grotaiche, who quickly alerted me of this error) —-

As could have been expected from the last state of Trend Following report, this month is globally very positive for the Trend Following Wizards. The collective performance is over 6% for the month, which brings 2012 into positive territory. There also has been some outsized returns: 46% for Clarke Capital, 20% for EMC…

Another interesting observation is the variation between the fund monthly returns (ranging from -4% to 46%). Recall how the state of Trend Following report seemed to derive most of its positive performance from shorter-term systems last month. I would posit that May’s return is most likely correlated to the main trading horizon/timeframe for each fund to some degree.

Check the full results further below:
[Read more →]

→ 5 CommentsTags: ·

State of Trend Following in May

June 4th, 2012 · the State of Trend Following, Trend Following

State of TF
 
May has seen strong moves in several markets and this has been reflected in the performance of the State of Trend Following index, which is up by over 10%.

Detailed Results

[Read more →]

→ 5 CommentsTags:

Trend Following Wizards – April 2012

May 18th, 2012 · Trend Following, Trend Following Wizards

A small overall bounce with some mixed results for this month’s edition of the Trend Following Wizards report. Overall, the composite performance is still in the red with over two third of the list posting negative YTD figures.
Results below:

Organisation / Fund Return YTD * AUM **
Abraham Trading1
1.69%
-5.16%
$484M
Altis Partners2
0.59%
-1.21%
$1,307M
Aspect Capital3
0.88%
1.63%
$6,827M
Beach Horizon4
-0.22%
-7.96%
$890M
BlueTrend5
3.71%
0.67%
$14,021M
Campbell & Company6
0.80%
3.63%
$400M
Chesapeake Capital7
2.17%
-2.03%
$794M
Clarke Capital8
0.89%
3.16%
$34M
Drury Capital9
-0.25%
8.00%
$407M
Dunn Capital10
2.77%
-8.15%
$309M
Eckhardt Trading11
1.71%
2.23%
$490M
EMC Capital12
0.63%
4.27%
$101M
Graham Capital13
0.61%
2.06%
$3,498M
Hawksbill Capital14
-0.15%
-2.23%
$97M
Hyman Beck & Co.15
-1.85%
-8.07%
$427M
JWH & Co.16
-1.23%
-18.26%
$109M
Man AHL Diversified17
-0.25%
-3.66%
$15,000M
Mark J. Walsh & Co.18
0.44%
-5.66%
$114M
Millburn Ridgefield19
1.42%
-5.12%
$889M
Rabar Market Research20
-0.32%
-1.76%
$258M
Saxon Investment21
-0.38%
-0.40%
$191M
Sunrise Capital22
-1.09%
-2.64%
$635M
Tactical Investment Mgt23
0.99%
-6.24%
$102M
Transtrend24
0.55%
3.07%
$7,534M
Winton Capital25
0.12%
-0.74%
$28,840M
Summary Figures***
0.57%
-2.02%
$83,758M

 

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.

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 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 – Drury Capital, Inc., was founded in Illinois in 1992 by 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 – Graham Capital was founded in 1994 by Ken Tropin, previously a Director of JWH.
Program tracked: K4-D10.

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

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

16 – JWH & Co. was founded by John W. Henry, now also owner of the Boston Red Sox.
Program tracked: Global Analytics.

17 – 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 acquirs AHL (1989-1994) to form Man AHL: the systematic trading division of the Man group.
Program tracked: Man AHL (USA) Diversified Managed Account Program.

18 – 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.

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

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

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

22 – 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: Expanded Diversified Program.

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 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, John W Henry, 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.

→ 4 CommentsTags: ·

State of Trend Following in April

May 3rd, 2012 · the State of Trend Following, Trend Following

State of TF
Not a very eventful report for this month and due to a fairly busy schedule this week, I will keep this short. Please find the report just below.

Detailed Results

The figures for the month are: [Read more →]

→ No CommentsTags:

Trend Following Wizards: New Top 25 – March’12

April 18th, 2012 · Trend Following, Trend Following Wizards

I have been hinting at a review of the list of Trend Following Wizards for a few months. Well it’s here! [Read more →]

→ 8 CommentsTags: ·

State of Trend Following in March

April 3rd, 2012 · the State of Trend Following, Trend Following

State of TF
 
As you can see more in details below, March was relatively flat for the State of Trend Following index, never going over +/- 2%, to finish the month slightly in the red and contribute some more to the current YTD loss.

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

→ 6 CommentsTags:

Trend Following Wizards – February 2012

March 19th, 2012 · Trend Following, Trend Following Wizards

Similarly to the State of Trend Following (yet again), the “Wizards index” has bounced back from the “January low”, but not enough to get out of the “red zone”, with the YTD performance still being negative.

Please find below the full table: [Read more →]

→ No CommentsTags: ·

Monthly vs. Daily Trading – updated

March 13th, 2012 · Backtest, Equities, Futures, Strategies

EndofMonth CraftyGoat

2011 offered challenging market conditions for trend followers (as illustrated by both the State of Trend Following and the Trend Following Wizards reports). The second half of the year in particular threw a few “curve balls”, in the form of wild volatile moves with inter-market correlations spiking up.

With this backdrop, I wanted to revisit the daily vs. monthly trading comparison run a bit over a year ago, to check the impact of these volatile moves against a system trading on a monthly basis (2008 had proven “costly” to the monthly trader; would 2011 be similar?).

DAILY V. MONTHLY GOLDEN CROSS

As a reminder, in that post, I compared two versions of a moving average cross-over system (Golden Cross) tested on daily data. Both versions generated the same trading signals, but the first instance executed signals on a daily basis (as new signals were generated) while the second instance executed them at the end of the month.

The results did show that there was little difference in the monthly version versus the daily one, with alternating periods of under-performance and over-performance; the daily version ultimately coming out on top.

Re-running the test with updated data (until the end of last month) still gives similar results: [Read more →]

→ 5 CommentsTags:

State of Trend Following in February

March 5th, 2012 · the State of Trend Following, Trend Following

State of TF
 
A moderate February bounce reduces the YTD losses on the index. Not enough to bring the index back in the black.

The results also show a fairly clear divide in the results per system timeframe.

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

→ 6 CommentsTags:

Trend Following Wizards – January 2012

February 20th, 2012 · Trend Following, Trend Following Wizards

It took a bit longer than expected to retrieve the performance updates for the Trend Following Wizards (all bar one) for this first report of 2012; but here it is.

I am also reviewing its contents and will likely make adjustments to the list in 2012, so that it resembles more a “legendary traders’ league” than it does now (which was the initial goal of the report) – and also to remove some “late reporters” so that the report can be published earlier in the month.

Back to January 2012: the results are mixed but negative on average. These go in the same direction as the results of the State of Trend Following report for last month, which had surprised quite a few readers, commenting back on that post. Seems like these two reports are well correlated to each other. Something that would be interesting to check in a further post.

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

→ 6 CommentsTags: ·

State of Trend Following in January

February 7th, 2012 · the State of Trend Following, Trend Following

State of TF
 

Red and a bit late.

This is how this State of Trend Following report is served this month, for the first edition of 2012. The negative momentum from 2011 seems to have carried over in the new year.

One small modification to note regarding the report and its index: I have cut down on the leverage of the underlying systems to reduce the overall volatility (see appendix note for more details).

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

→ 5 CommentsTags:

Trend Following Wizards – December 2011

January 18th, 2012 · Trend Following, Trend Following Wizards

This report closes the year 2011 for the Trend Following Wizards, which ended up – not so surprisingly – on the negative side.

The performance for December was virtually nil, leaving the composite index at -7.5% for the year. Apart from a handful of managers, most funds were in the red for 2011.

Interestingly, the funds “jockeying” for top position have quite different profiles, between “old-school” Dunn Capital, “new generation, sophisticated” Winton Capital and former Turtle Saxon Investment, who stopped trading in the last few months.

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

→ 1 CommentTags: ·