In a previous post, I mentioned and linked to a presentation by Transtrend: “Potential Profitability by Trend Following Systems”, where the Trendpot Indicator is introduced.

Trendpot is a backward looking measure that indicates for an individual market whether a medium to long-term trend following system could potentially have been profitable when applied on that particular market during the preceding month.

Trendpot is a number between 0 and 1:

• 0 indicates a very low chance for a trend following system to have been profitable.
• 1 indicates a very high chance for a trend following system to have been profitable.

The concept is an interesting way of identifying how much a market/portfolio has been in trending vs. non-trending mode and I decided to implement the indicator in Trading Blox – with a twist:

The original Trendpot calculation uses a fixed one-month lookback period, to evaluate the trend potential for that month (and therefore only considers potential performance for a “medium to long-term trend following system”). I parameterized the formula to look at different periods and be able to evaluate the trend potential on different timeframes on a daily basis.

For those interested in the code only, please see the end of this post for details. The formula code is Trading Blox specific, but simple enough to be derived easily for any back-testing language.

Trendpot Usage

Transtrend describes the indicator’s goal as a help to explain the performance of a trend following system. In effect, Trend Followers performance is subject to the behaviour of the market: ranging markets are not nearly as conducive to good Trend Following performance as trending ones.

Being able to back this argument with a quantitative measure of the trendiness of markets is probably a good way to reassure investors during expected periods of system under-performance. In 2009 for example, markets might have seemed to offer trends (with “headlines” markets such as Gold or S&P 500 “trending” up by more than 50% after their respective lows at beginning of the year), yet Trend Following Wizards performance was mostly negative in 2009.

In the presentation, Transtrend provides some explanation in the form of the Trendpot calculation for a diversified portfolio: 2009 displayed the lowest Trendpot value (i.e. lowest trend potential) of the last 20 years.

I used the indicator to perform a near-identical study on the portfolio used in the State of Trend Following report and measured the Trendpot values for years 2008, 2009 and 2010 (which were respectively, very good, negative and rather positive for the Trend Following Wizards – or to avoid subjective adjectives: +29.9%, -7.3% and +19.1% respectively).

The average values for the 30-day Trendpot were:

• 2008: 0.331
• 2009: 0.203
• 2010: 0.245

Note: to put these numbers in perspective, the average monthly Trendpot values per year calculated by Transtrend for the last 20 years varies between 0.24 (obtained in 2009) and 0.39 (obtained in 2008).
It seems that the value calculated by their version generates slightly higher numbers, which could be for a number of reasons such as:

• Different portfolio (Transtrend portfolio contains more markets, including spreads)
• Different price representation (Transtrend use one price series for every market representing a liquidity-weighted combination of tradable active months, whereas I used a simple back-adjusted contract)
• Type of price used (I considered High, Low and Close whereas Transtrend only considers daily closing prices).

Nevertheless, the pattern in calculated indicator values is identical: 2008 displays a much higher value than 2009.
Graphically, this is also illustrated by the frequency histogram of the Trendpot values for the whole portfolio for these three different years:

2008 shows a larger tendency of markets to be in trending mode, with the frequency of the Trendpot value maxing out at 1 being nearly three times as large as that of 2009, and the histogram being generally “heavier” on the right-hand side (which is expected, as the overall average value is higher).

Trendiness of Different Timeframes

By updating the value of the period used in the indicator calculation, we can look at different timeframes, going from shorter-term trend following (i.e. 5 to 10 days) to much longer periods.

Below are two histograms, for 2008 and 2009, showing the distribution of Trendpot values for 4 period values, ranging from 5 days to 50 days:

And the average values:

• 5-day Trendpot Average Value: 2008= 0.247, 2009= 0.2226
• 10-day Trendpot Average Value: 2008= 0.266, 2009= 0.203
• 30-day Trendpot Average Value: 2008= 0.331, 2009= 0.203
• 50-day Trendpot Average Value: 2008= 0.352, 2009= 0.242

It might be interesting to look at a longer set of historical values and compare the standard deviation of Trendpot values. A lower standard deviation number might indicate a better robustness for a specific timeframe (robust meaning here that the potential – good or bad – of a specific timeframe is less affected by market conditions).

Trendiness of Different Instruments

Another potential use for the indicator is to look at isolated markets and their average Trendpot values to derive their trending potential.

I have run such a calculation for the instruments in the State of Trend Following portfolio over the period 2008-2010. The average value for an instrument is 0.267, with a standard deviation of 0.083.

Here are the top and bottom values:

Top Trendpot values:

 
Bottom Trendpot values:

 
An interesting next step – possibly in a follow-up post – would be to calculate the correlation between the Trendpot value for an instrument and its contribution to the system performance.

Postdictive or Predictive Indicator?

Transtrend specify that “Trendpot is a measure, not an indicator: No predictive value!“.

As a monitoring tool, Trendpot looks like a useful addition to the box. However I wonder whether it could not be used as an input to over/under-weigh timeframes or instruments based on their past Trendpot values.
This would rely on the assumption that futures values are somehow function of past values.
We know that some market characteristics are not independent of past values (serial correlation for example), perhaps the trendiness of markets is one such characteristic…

Code

Trading Blox owners should be able to download the blox code, which I uploaded on the Blox Marketplace section of the Trading Blox formula. This is a simple implementation, which simply plots on the chart and outputs in a file the value of the Trendpot indicator for each instrument in the portfolio.

For those readers not having access to this section of the Trading Blox forum, I include below the main part of the code, which merely implements Transtrend formula, with an additional period parameter:

Ht = Highest(instrument.High, Period)
Ht_1 = Highest(instrument.High, Period, Period)
Ht_2 = Highest(instrument.High, Period, 2*Period)
Lt = Lowest(instrument.Low, Period)
Lt_1 = Lowest(instrument.Low, Period, Period)
Lt_2 = Lowest(instrument.Low, Period, 2*Period)
Ct = instrument.Close
Ct_1 = instrument.Close[Period]
Ct_2 = instrument.Close[2*Period]
 
NewHigh = Ht - max(Ht_1,Ht_2)
HighEnd = Ct - Ht_1
Upmove = min(Newhigh, HighEnd)
SmoothUp = min(Ht - Ht_1, Lt - Lt_1, Ct - Ct_1)
TrendUp = max(0, (Upmove+Smoothup)/2)
Decline = max(Ht_2 - Lt, Ht_2 - Lt_1, Ht_1 - Lt, Ht - Ct)
ScaleUp = max(Decline, trendUp)
TrendpotUp = TrendUp / ScaleUp
 
NewLow = min(Lt_1, Lt_2) - Lt
LowEnd = Lt_1 - Ct
Downmove = min(NewLow, LowEnd)
SmoothDown = min(Ht_1 - Ht, Lt_1 - Lt, Ct_1 - Ct)
TrendDown = max(0, (Downmove+SmoothDown)/2)
Rise = max(Ht - Lt_2, Ht_1 - Lt_2, Ht - Lt_1, Ct - Lt)
ScaleDown = max(Rise, trendDown)
TrendpotDown = TrendDown / ScaleDown
 
Trendpot = IfThenElse(Ct - Ct_1 > 0, TrendpotUp, IfThenElse(Ct - Ct_1 < 0, TrendpotDown, 0))

Note/Update: The functions Highest/Lowest use a Trading Blox-specific notation. The second argument is the number of bars over which to find the value while third argument is the “offset” (ie number of recent bars to skip).

Syntax:
Highest( series, bars, [offset] )

Parameters:
series: the name of the series
bars: the number of bars over which to find the value
offset: the number of bars to offset before finding the value

returns:
the highest value

For example:
Ht = Highest(instrument.High, Period) is the highest High over the last 30 bars (if Period = 30), i.e. roughly last month’s high
Ht_1 = Highest(instrument.High, Period, Period) is the highest High over the 30 bars, starting 30 bars ago (if Period = 30), basically between bar 31 and 60 in the past, i.e. roughly the previous month’s high.
 
 

Note that I have added two Wizards to the list for this new year: Mark J. Walsh and Sunrise Capital – thanks for the suggestion fom a reader of the blog.

Mark J. Walsh started as a runner/floor broker for Richard Dennis, and as such was allowed to attend the Turtle training. He worked closely with Richard Dennis and ultimately started his own firm in 1985 returning over 20% compounded annual return since.

Sunrise Capital Partners are a failry large Trend Follower, based in San Diego. They have been trading for over 30 years.

Note that I have also added (in the Notes section) the program tracked for each of the Wizards.

Please find below the detailed results for January 2011:

Notes

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.
 

The average monthly return for December 2010 was 7.38%, with an average yearly performance of 19.11%.

I’ll try to run some further analysis on the results for the year in a next post, as well as a comparison with the State of TF report.

Here are the results as of end-December 2010:

Notes
<sup>* 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. 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.
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).
4. BlueTrend, from BlueCrest Capital, is one of the largest Trend Following funds – headed by Ms. Leda Braga
5. Campbell & Company is one of the oldest Trend Following firms, operating for around 4 decades.
6. Chesapeake Capital was founded by Jerry Parker, a former Turtle.
7. Clarke Capital was founded by Michael Clarke in 1993. The programme tracked here is Millenium.
8. Drury Capital, Inc., was founded in Illinois in 1992 by Mr. Bernard Drury.
9. Dunn Capital was founded by Bill Dunn.
10. Eckhardt Trading is the firm managed by William Eckhardt, who co-led the Turtle experiment with Richard Dennis
11. EMC Capital was founded by Liz Cheval, a former Turtle.
12. Hawksbill Capital was founded by Tom Shanks, a former Turtle.
13. Hyman Beck & Co. main principals are Alexander Hyman and Carl Beck.
14. JWH & Co. was founded by John W. Henry, Owner of the Boston Red Sox.
15. 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.
16. Millburn Ridgefield have been trading Trend Following models since the early 1970′s.
17. Rabar Market Research is the company of Paul Rabar, a former Turtle.
18. Saxon Investment was founded by Howard Seidler, a former Turtle.
19. Superfund founder and CEO: Christian Baha.
20. Tactical Investment Management was founded by David Druz, a student of Ed Seykota.
21. Transtrend is a Trend follower CTA based in Netherlands
22. Winton Capital is a London-based CTA founded by Dave Harding (also co-founder of AHL).
 
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.</sup>

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 good 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.
 
 
 
 

The average monthly return is +4.81%, and the YTD figure now stands at +12.04%.

Please find below all individual results for October 2010:

Notes
<sup>* 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. 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.
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).
4. BlueTrend, from BlueCrest Capital, is one of the largest Trend Following funds – headed by Ms. Leda Braga
5. Campbell & Company is one of the oldest Trend Following firms, operating for around 4 decades.
6. Chesapeake Capital was founded by Jerry Parker, a former Turtle.
7. Clarke Capital was founded by Michael Clarke in 1993.
8. Drury Capital, Inc., was founded in Illinois in 1992 by Mr. Bernard Drury.
9. Dunn Capital was founded by Bill Dunn.
10. Eckhardt Trading is the firm managed by William Eckhardt, who co-led the Turtle experiment with Richard Dennis
11. EMC Capital was founded by Liz Cheval, a former Turtle.
12. Hawksbill Capital was founded by Tom Shanks, a former Turtle.
13. Hyman Beck & Co. main principals are Alexander Hyman and Carl Beck.
14. JWH & Co. was founded by John W. Henry, Owner of the Boston Red Sox.
15. 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.
16. Millburn Ridgefield have been trading Trend Following models since the early 1970′s.
17. Rabar Market Research is the company of Paul Rabar, a former Turtle.
18. Saxon Investment was founded by Howard Seidler, a former Turtle.
19. Superfund founder and CEO: Christian Baha.
20. Tactical Investment Management was founded by David Druz, a student of Ed Seykota.
21. Transtrend is a Trend follower CTA based in Netherlands
22. Winton Capital is a London-based CTA founded by Dave Harding (also co-founder of AHL).
 
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.</sup>

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.
 
 
 
&nbsp

The average YTD gain is now 6.48%, and a wizard is standing out with +43.70% so far, at the back of a few strong months.

Note that I have added a new Wizard to this list: David Druz and his Tactical Investment Mgt CTA. Druz is a student of Ed Seykota; he is not a top CTA in terms of AUM (he is quite far off the likes of Winton or BlueTrend, managing billions), but the fact that he is running his operations out of Hawaii, where he devotes a large part of his time to the practice of windsurf and yoga makes it different and interesting to follow.

Please find below all individual results for September 2010:

Notes
<sup>* 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. 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.
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).
4. BlueTrend, from BlueCrest Capital, is one of the largest Trend Following funds – headed by Ms. Leda Braga
5. Campbell & Company is one of the oldest Trend Following firms, operating for around 4 decades.
6. Chesapeake Capital was founded by Jerry Parker, a former Turtle.
7. Clarke Capital was founded by Michael Clarke in 1993.
8. Drury Capital, Inc., was founded in Illinois in 1992 by Mr. Bernard Drury.
9. Dunn Capital was founded by Bill Dunn.
10. Eckhardt Trading is the firm managed by William Eckhardt, who co-led the Turtle experiment with Richard Dennis
11. EMC Capital was founded by Liz Cheval, a former Turtle.
12. Hawksbill Capital was founded by Tom Shanks, a former Turtle.
13. Hyman Beck & Co. main principals are Alexander Hyman and Carl Beck.
14. JWH & Co. was founded by John W. Henry, Owner of the Boston Red Sox.
15. 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.
16. 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.
17. Rabar Market Research is the company of Paul Rabar, a former Turtle.
18. Saxon Investment was founded by Howard Seidler, a former Turtle.
19. Superfund founder and CEO: Christian Baha.
20. Tactical Investment Management was founded by David Druz, a student of Ed Seykota.
21. Transtrend is a Trend follower CTA based in Netherlands
22. Winton Capital is a London-based CTA founded by Dave Harding (also co-founder of AHL).
 
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.</sup>

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.
 
 
 
 

Similarly, the MA 50-200 strategy did stand out (+20%) in the last state of TF report… It would be tempting but over-simplistic (and a bit foolish) to extrapolate, and suggest that Dunn uses a model close to a 20-50 day MA Crossover (although that might not be far from the truth). I am wondering how much of forensic back-testing goes on to try and reverse-engineer CTA’s performance results and their strategies…

Anyway, this month’s strong performance brought the YTD average figure back in positive territory, to 2.34%.

Please find below all individual results for August 2010:

Notes
<sup>* 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. 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.
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).
4. BlueTrend, from BlueCrest Capital, is one of the largest Trend Following funds – headed by Ms. Leda Braga
5. Campbell & Company is one of the oldest Trend Following firms, operating for around 4 decades.
6. Chesapeake Capital was founded by Jerry Parker, a former Turtle.
7. Clarke Capital was founded by Michael Clarke in 1993.
8. Drury Capital, Inc., was founded in Illinois in 1992 by Mr. Bernard Drury.
9. Dunn Capital was founded by Bill Dunn.
10. Eckhardt Trading is the firm managed by William Eckhardt, who co-led the Turtle experiment with Richard Dennis
11. EMC Capital was founded by Liz Cheval, a former Turtle.
12. Hawksbill Capital was founded by Tom Shanks, a former Turtle.
13. Hyman Beck & Co. main principals are Alexander Hyman and Carl Beck.
14. JWH & Co. was founded by John W. Henry, Owner of the Boston Red Sox.
15. 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.
16. 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.
17. Rabar Market Research is the company of Paul Rabar, a former Turtle.
18. Saxon Investment was founded by Howard Seidler, a former Turtle.
19. Superfund founder and CEO: Christian Baha.
20. Transtrend is a Trend follower CTA based in Netherlands
21. Winton Capital is a London-based CTA founded by Dave Harding (also co-founder of AHL).
 
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.</sup>

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.
 
 
 
 

Please find below all individual results for July 2010:

Notes
<sup>* 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. 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.
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).
4. BlueTrend, from BlueCrest Capital, is one of the largest Trend Following funds – headed by Ms. Leda Braga
5. Campbell & Company is one of the oldest Trend Following firms, operating for around 4 decades.
6. Chesapeake Capital was founded by Jerry Parker, a former Turtle.
7. Clarke Capital was founded by Michael Clarke in 1993.
8. Drury Capital, Inc., was founded in Illinois in 1992 by Mr. Bernard Drury.
9. Dunn Capital was founded by Bill Dunn.
10. Eckhardt Trading is the firm managed by William Eckhardt, who co-led the Turtle experiment with Richard Dennis
11. EMC Capital was founded by Liz Cheval, a former Turtle.
12. Hawksbill Capital was founded by Tom Shanks, a former Turtle.
13. Hyman Beck & Co. main principals are Alexander Hyman and Carl Beck.
14. JWH & Co. was founded by John W. Henry, Owner of the Boston Red Sox.
15. 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.
16. 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.
17. Rabar Market Research is the company of Paul Rabar, a former Turtle.
18. Saxon Investment was founded by Howard Seidler, a former Turtle.
19. Superfund founder and CEO: Christian Baha.
20. Transtrend is a Trend follower CTA based in Netherlands
21. Winton Capital is a London-based CTA founded by Dave Harding (also co-founder of AHL).
 
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.</sup>

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.
 
 
 
 

The average monthly return is 0.29%, taking the average YTD figure to -1.48%, with a few Wizards being in the double-digit figures on both ends of the scale.

Note that three major players were added to the report this month: Altis Partners, BlueTrend and Campbell & Company.

Please find below all individual results for June 2010:

Notes
<sup>* 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. 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
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).
4. BlueTrend, from BlueCrest Capital, is one of the largest Trend Following funds – headed by Ms. Leda Braga
5. Campbell & Company is one of the oldest Trend Following firms, operating for around 4 decades.
6. Chesapeake Capital was founded by Jerry Parker, a former Turtle.
7. Clarke Capital was founded by Michael Clarke in 1993.
8. Drury Capital, Inc., was founded in Illinois in 1992 by Mr. Bernard Drury.
9. Dunn Capital was founded by Bill Dunn.
10. Eckhardt Trading is the firm managed by William Eckhardt, who co-led the Turtle experiment with Richard Dennis
11. EMC Capital was founded by Liz Cheval, a former Turtle.
12. Hawksbill Capital was founded by Tom Shanks, a former Turtle.
13. Hyman Beck & Co. main principals are Alexander Hyman and Carl Beck.
14. JWH & Co. was founded by John W. Henry, Owner of the Boston Red Sox.
15. 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.
16. 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.
17. Rabar Market Research is the company of Paul Rabar, a former Turtle.
18. Saxon Investment was founded by Howard Seidler, a former Turtle.
19. Superfund founder and CEO: Christian Baha.
20. Transtrend is a Trend follower CTA based in Netherlands
21. Winton Capital is a London-based CTA founded by Dave Harding (also co-founder of AHL).
 
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.</sup>

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.
 
 
 
 

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:

Notes
<sup>* 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).</sup>

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.
 
 
 
 

The recent turmoils developing in the markets will give us interesting times to monitor how the Trend Following Wizard performances fare. If 2008 is any indication, and if we return to large moves to the downside, some good times might be coming (although some early May figures appeared to be quite strong on the negative side – mostly because of reversal of trends).

For now, the average Wizards return for April is +1.82%.

Full results for April 2010 below:

Notes
<sup>* 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).</sup>

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.