Systematic Trading research and development, with a flavour of Trend Following
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Trend Following Wizards – Fund performance

—- Latest Results further below —-

On this page I track the monthly results of the top CTAs/Managed Futures funds in the Trend Following space:

  • 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.

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Latest Results (July 2017)

A mixed month of returns for our Trend Following Wizards, averaging on the positive side.

Below are the full results as of end July 2017:

Organisation / Fund Return YTD * AUM **
Abraham Trading1
+1.86%
-5.87%
$164M
Altis Partners2
-2.36%
+3.61%
$184M
Aspect Capital3
+0.59%
-3.39%
N/A
Beach Horizon4
+2.93%
-9.50%
N/A
Campbell & Company5
+2.60%
-1.57%
N/A
Chesapeake Capital6
-0.56%
-1.96%
$133M
Clarke Capital7
+2.16%
-23.25%
$6M
Covenant Cap. Mgt.8
-0.35%
-1.39%
N/A
Drury Capital9
+1.42%
-5.43%
$194M
Dunn Capital10
-2.54%
-2.52%
$559M
Eckhardt Trading11
-0.56%
-2.78%
N/A
EMC Capital12
+0.76%
-4.32%
$53M
Estlander & Partners13
+2.28%
-8.86%
$125M
Graham Capital14
+0.82%
-3.03%
N/A
Hawksbill Capital15
N/A
N/A
N/A
Hyman Beck & Co.16
N/A
N/A
N/A
ISAM17
+0.00%
-7.63%
$2,830M
Lynx Asset Mgt18
+2.37%
-11.20%
N/A
Man AHL Diversified19
+3.52%
+0.70%
N/A
Mark J. Walsh & Co.20
+4.00%
-7.75%
N/A
Millburn Ridgefield21
+0.61%
+0.26%
N/A
Mulvaney Capital22
-5.42%
-7.53%
$149M
Quantica Capital23
+0.60%
+3.74%
$441M
Rabar Market Research24
-0.18%
-1.78%
N/A
Sunrise Capital25
-0.02%
-1.07%
N/A
Tactical Investment Mgt26
+2.69%
+2.60%
N/A
Transtrend27
+0.94%
-7.03%
$3,754M
Winton Capital28
-0.10%
-1.36%
N/A
Summary Figures***
+0.69%
-4.17%
$8,592M

 

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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.

3 – 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 – Campbell & Company is one of the oldest Trend Following firms, operating for around 4 decades.
Program tracked: Global Diversified Large.

6 – Chesapeake Capital was founded by Jerry Parker, a former Turtle.
Program tracked: Diversified Program.

7 – Clarke Capital was founded by Michael Clarke in 1993.
Program tracked: Millenium Program.

8 – Covenant Capital is a CTA from Nashville. Program tracked: Aggressive 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 – Estlander is a Finnish CTA, founded by Martin Estlander. Program tracked: Alpha Trend.

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

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

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

17 – 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

18 – Lynx Asset Management is a multi-billion CTA out of Sweden. Program tracked: Lynx Program

19 – 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

20 – 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.

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

22 – Mulvaney Capital Management was founded in 1999 by Paul Mulvaney and focuses on long-term trend following.
Program tracked: Mulvaney Global Markets

23 – Program tracked: Managed Futures Program

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

25 – 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

26 – Tactical Investment Management was founded by David Druz, student of Ed Seykota.
Program tracked: Institutional Commodity Program.

27 – Transtrend is a Trend follower CTA based in Netherlands.
Program tracked: DTP – Enhanced Risk (USD).

28 – 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.

10 Comments

10 Comments so far ↓

  • Nizar Mahri

    Hi Jez,

    Are you sure JWH only manages $29m?
    I’m pretty sure it would be considerably more than that.

    This article, though its 4 years old, has the company’s assets at $3.1billion.
    http://www.bostonmagazine.com/articles/the_50_wealthiest_bostonians/page6

    Cheers.
    Nizar.

  • Jez Liberty

    Hi Nizar,
    This article is a bit dated and since then Henry’s AUMs have decreased substantially, I seem to remember one of their largest clients pulling out because of the high drawdowns and flat period at the time.
    Anyway, the $29M figure is for the Financial and Metal program, which I picked out of his 7 programs, as it is the oldest running one.
    I believe JWH manages a few hundred millions through the seven programs (each program’s AUM) is detailed on his website (linked to above).

  • Nizar Mahri

    Hi Jez,

    Good call. Seems like he’s come down a long way.
    http://www.finalternatives.com/node/9611

    Nizar.

  • marc

    It would be great to have a historical comparison between the wizards and the “state of trend following” benchmark on monthly data… It seems the SOTF is about 3 times more leveraged than the average of the wizards though, maybe it would need a re-sizing for comparison purposes.
    Great blog!

  • Jez Liberty

    Hi Marc – as per the latest blog post, this is something on the “to-do” list

  • Chon

    In reference to JWH… he has a few different funds/strategies.

    The numbers shown are for the “Global Analytics” fund/strategy. This is a relatively new product, so the much smaller AUM… although performance for most of the funds are roughly in line with each other.

  • Larry

    Are the funds listed here for institutional clients only, or are they available for individual investors (probably accredited)?

  • Johnny

    I just want a reliable system (even if it just invests in indexes) that will avoid huge drawdowns. Where do I even start?

  • Jez Liberty

    Johnny,
    For something fairly simple, I would look into Mebane Faber’s Tactical Asset Allocation.
    Reading the paper is a great starter.
    Cheers,
    Jez

  • Mark Varney

    Hi Jez,
    Great website.Keep up the good work!I think that Blue Trend is now known as Systematica, and run out of London by Leda Braga.

    Mark

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