Welcome to my online repository of research and insights on automated trading system development
Follow the Trend Following Wizards updates with the dedicated monthly feed. You can either access it via RSS or by subscribing by email
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:
| Organisation / Fund | Return | YTD * | AUM ** |
|---|---|---|---|
| Abraham Trading1 |
-2.45%
|
-2.27%
|
$510M |
| Aspect Capital2 |
1.58%
|
3.95%
|
N/A |
| Chesapeake Capital3 |
3.69%
|
6.38%
|
$765M |
| Clarke Capital4 |
-5.40%
|
-11.72%
|
$19M |
| Drury Capital5 |
0.35%
|
-1.52%
|
$204M |
| Dunn Capital6 |
4.22%
|
11.06%
|
$229M |
| Eckhardt Trading7 |
2.56%
|
-5.11%
|
$316M |
| EMC Capital8 |
0.50%
|
-6.24%
|
$184M |
| Hawksbill Capital9 |
6.99%
|
11.38%
|
$57M |
| Hyman Beck & Co.10 |
-1.58%
|
-7.81%
|
$427M |
| JWH & Co.11 |
1.16%
|
-1.35%
|
$26M |
| Man AHL Diversified12 |
1.80%
|
3.70%
|
$1,353M |
| Millburn Ridgefield13 |
6.53%
|
5.84%
|
$1,113M |
| Rabar Market Research14 |
1.99%
|
0.32%
|
$194M |
| Saxon Investment15 |
1.60%
|
2.35%
|
$13M |
| Superfund16 |
5.58%
|
11.61%
|
N/A |
| Transtrend17 |
1.82%
|
7.10%
|
$5,095M |
| Winton Capital18 |
1.74%
|
6.34%
|
$4,420M |
 |
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.
Enjoy your site/updates. I drop by regularly to see how the trend followers are doing.
Do you have any insight, based on your experience, how “quickly” the trend followers tend to flip their bets? Ie, after the reversal in early May… would you expect them to flip short within a week? Two weeks? Or are they likely to stay flat until a clear trend materializes?
I’m assuming you can look at 2008 performance numbers to get a good idea…
Thanks for your comments cc,
It’s hard to tell as all CTAs are slightly different and most trade in different timeframes.
But 1-2 weeks is rather on the short end of the spectrum.
May will surely be an interesting month to watch though…