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Here 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.
Also check Trend Following Wizards historical performance over the last 20 years.
Please find below the results as of end December 2011:
| Organisation / Fund | Return | YTD * | AUM ** |
|---|---|---|---|
| Abraham Trading1 |
0.52%
|
-4.94%
|
$545M |
| Acorn Global Inv.2 |
-1.52%
|
-5.92%
|
$26M |
| Altis Partners3 |
1.86%
|
-27.73%
|
$1,408M |
| Aspect Capital4 |
N/A
|
N/A
|
N/A |
| Auspice Capital5 |
-3.29%
|
-3.51%
|
$29M |
| Beach Horizon6 |
-0.10%
|
-1.14%
|
$852M |
| BlueTrend7 |
2.22%
|
0.32%
|
$8,900M |
| Campbell & Company8 |
2.75%
|
-5.45%
|
$379M |
| Chesapeake Capital9 |
1.04%
|
-11.76%
|
$799M |
| Clarke Capital10 |
-2.25%
|
4.61%
|
$31M |
| Drury Capital11 |
2.29%
|
-16.17%
|
$389M |
| Dunn Capital12 |
1.25%
|
6.36%
|
$324M |
| Eckhardt Trading13 |
0.10%
|
-15.57%
|
$499M |
| EMC Capital14 |
-1.40%
|
-11.96%
|
$142M |
| Hawksbill Capital15 |
-3.44%
|
-9.62%
|
$74M |
| Hyman Beck & Co.16 |
1.38%
|
-10.29%
|
$461M |
| JWH & Co.17 |
1.16%
|
-12.28%
|
$128M |
| Man AHL Diversified18 |
-2.10%
|
-9.20%
|
$935M |
| Mark J. Walsh & Co.19 |
0.00%
|
-4.68%
|
$112M |
| Millburn Ridgefield20 |
0.65%
|
-6.31%
|
$1,010M |
| Rabar Market Research21 |
0.39%
|
-9.09%
|
$263M |
| Saxon Investment22 |
0.00%
|
6.30%
|
$176M |
| Sunrise Capital23 |
0.40%
|
1.91%
|
$700M |
| Superfund24 |
-5.13%
|
-18.38%
|
$133M |
| Tactical Investment Mgt25 |
-0.44%
|
-27.91%
|
$95M |
| Transtrend26 |
1.58%
|
-8.64%
|
$7,230M |
| Winton Capital27 |
1.65%
|
6.29%
|
$26,740M |
| Averages |
-0.02%
|
-7.49%
|
 |
Notes
* YTD: Year-To-Date performance.
** AUM: Assets Under Management for the program reported here (not total firm AUM)
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. Acorn are a Canadian-based CTA. Program tracked: Diversified Trust.
3. 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.
4. 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.
5. Auspice Capital are a Canada-based Trend Following CTA. Program tracked: Auspice Diversified Program.
6. 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.
7. BlueTrend, from BlueCrest Capital, is one of the largest Trend Following funds – headed by Ms. Leda Braga. Program tracked: BlueTrend Fund Limited.
8. Campbell & Company is one of the oldest Trend Following firms, operating for around 4 decades. Program tracked: Golbal Diversified Large.
9. Chesapeake Capital was founded by Jerry Parker, a former Turtle. Program tracked: Diversified Program.
10. Clarke Capital was founded by Michael Clarke in 1993. Program tracked: Millenium Program.
11. Drury Capital, Inc., was founded in Illinois in 1992 by Mr. Bernard Drury. program tracked: Diversified Trend-Following.
12. Dunn Capital was founded by Bill Dunn. Program tracked: World Monetary and Agriculture (WMA).
13. Eckhardt Trading is the firm managed by William Eckhardt, who co-led the Turtle experiment with Richard Dennis. Program tracked: Standard Program.
14. EMC Capital was founded by Liz Cheval, a former Turtle. Program tracked: EMC Classic Program.
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. JWH & Co. was founded by John W. Henry, now also owner of the Boston Red Sox. program tracked: Global Analytics.
18. 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.
19. 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.
20. Millburn Ridgefield have been trading Trend Following models since the early 1970′s. Program tracked: Diversified Program.
21. Rabar Market Research is the company of Paul Rabar, a former Turtle. Program tracked: Diversified Program.
22. Saxon Investment was founded by Howard Seidler, a former Turtle. Program tracked: Aggressive Diversified Program.
23. Sunrise Capital is a CTA based in San Diego, with Martin Ehrlich as Principal. Program tracked: Expanded Diversified Program
24. Superfund founder and CEO: Christian Baha. Program tracked: Superfund Q-AG.
25. Tactical Investment Management was founded by David Druz, student of Ed Seykota. Program tracked: Institutional Commodity Program.
26. Transtrend is a Trend follower CTA based in Netherlands. Program tracked: DTP – Enhanced Risk (USD).
27. Winton Capital is a London-based CTA founded by Dave Harding (also co-founder of AHL). Program tracked: Diversified Programme.
** AUM: Assets Under Management for the program reported here (not total firm AUM)
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. Acorn are a Canadian-based CTA. Program tracked: Diversified Trust.
3. 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.
4. 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.
5. Auspice Capital are a Canada-based Trend Following CTA. Program tracked: Auspice Diversified Program.
6. 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.
7. BlueTrend, from BlueCrest Capital, is one of the largest Trend Following funds – headed by Ms. Leda Braga. Program tracked: BlueTrend Fund Limited.
8. Campbell & Company is one of the oldest Trend Following firms, operating for around 4 decades. Program tracked: Golbal Diversified Large.
9. Chesapeake Capital was founded by Jerry Parker, a former Turtle. Program tracked: Diversified Program.
10. Clarke Capital was founded by Michael Clarke in 1993. Program tracked: Millenium Program.
11. Drury Capital, Inc., was founded in Illinois in 1992 by Mr. Bernard Drury. program tracked: Diversified Trend-Following.
12. Dunn Capital was founded by Bill Dunn. Program tracked: World Monetary and Agriculture (WMA).
13. Eckhardt Trading is the firm managed by William Eckhardt, who co-led the Turtle experiment with Richard Dennis. Program tracked: Standard Program.
14. EMC Capital was founded by Liz Cheval, a former Turtle. Program tracked: EMC Classic Program.
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. JWH & Co. was founded by John W. Henry, now also owner of the Boston Red Sox. program tracked: Global Analytics.
18. 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.
19. 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.
20. Millburn Ridgefield have been trading Trend Following models since the early 1970′s. Program tracked: Diversified Program.
21. Rabar Market Research is the company of Paul Rabar, a former Turtle. Program tracked: Diversified Program.
22. Saxon Investment was founded by Howard Seidler, a former Turtle. Program tracked: Aggressive Diversified Program.
23. Sunrise Capital is a CTA based in San Diego, with Martin Ehrlich as Principal. Program tracked: Expanded Diversified Program
24. Superfund founder and CEO: Christian Baha. Program tracked: Superfund Q-AG.
25. Tactical Investment Management was founded by David Druz, student of Ed Seykota. Program tracked: Institutional Commodity Program.
26. Transtrend is a Trend follower CTA based in Netherlands. Program tracked: DTP – Enhanced Risk (USD).
27. Winton Capital is a London-based CTA founded by Dave Harding (also co-founder of AHL). Program tracked: Diversified Programme.
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.
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.
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).
Hi Jez,
Good call. Seems like he’s come down a long way.
http://www.finalternatives.com/node/9611
Nizar.
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!
Hi Marc – as per the latest blog post, this is something on the “to-do” list
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.