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Trend Following Wizards in August ’11

September 19th, 2011 · 12 Comments · Trend Following Wizards

This month’s report comes a bit later and less complete than usual. Some of the websites used to retrieve the performance figures seemed to have had some delays or technical problems, and as a result three of the usually tracked Wizards have missing performance results.

The rest of the pack shows varying levels of performance in what was a volatile month.

Please find below the individual results for August 2011, showing a slight negative trend collectively, both for the year and the month:

Organisation / Fund Return YTD * AUM **
Abraham Trading1
Altis Partners2
Aspect Capital3
Beach Horizon4
Campbell & Company6
Chesapeake Capital7
Clarke Capital8
Drury Capital9
Dunn Capital10
Eckhardt Trading11
EMC Capital12
Hawksbill Capital13
Hyman Beck & Co.14
JWH & Co.15
Man AHL Diversified16
Mark J. Walsh & Co.17
Millburn Ridgefield18
Rabar Market Research19
Saxon Investment20
Sunrise Capital21
Tactical Investment Mgt23
Winton Capital25


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* YTD: Year-To-Date performance.
** AUM: Assets Under Management for the program reported here (not total firm AUM)
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 – Composite
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 USD
4. 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.
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: Trend Following Portfolio
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
9. Drury Capital, Inc., was founded in Illinois in 1992 by Mr. 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. Hawksbill Capital was founded by Tom Shanks, a former Turtle. Program tracked: Global Diversified Program
14. Hyman Beck & Co. main principals are Alexander Hyman and Carl Beck. Program tracked: Global Portfolio
15. JWH & Co. was founded by John W. Henry, now also owner of the Boston Red Sox. program tracked: Financial & Metals Portfolio
16. 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
17. 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
18. Millburn Ridgefield have been trading Trend Following models since the early 1970’s. Program tracked: Diversified Program
19. Rabar Market Research is the company of Paul Rabar, a former Turtle. Program tracked: Diversified Program
20. Saxon Investment was founded by Howard Seidler, a former Turtle. Program tracked: Diversified Program
21. Sunrise Capital is a CTA based in San Diego, with Martin Ehrlich as Principal. Program tracked: Expanded Diversified Program
21. Superfund founder and CEO: Christian Baha. Program tracked: Superfund Q-AG
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 Programme
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.

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.

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12 Comments so far ↓

  • tron

    Aspect Diversified Fund +1.78% (est), YtD 5.14%

    Winton +1.43%, YtD: 6.15%

  • Jez Liberty

    Thanks for this tron – I do use AutumnGold for a good part of these funds but they seem to have had a technical issue at the weekend.
    Do you have a source for Aspect Capital as well? I usually used the online FT Funds section for them but Aspect’s record seems to have disappeared and I cannot find an alternative to get their performance.

  • tron

    Yes, it seems that AG ran into some troubles last weekend. Unfortunately I am using a private login to access Aspect’s returns and I do not have any other sources.

  • Wm.A

    Here are some YTD stats on a little trend following system I use.

  • Wm.A

    Oh the market traded in the previous YTD ststa post is the FX EUR/USD only.

  • Investment Warrior

    Any validity to the idea that one can “Trend Follow” trend following as a strategy?

    IE, that trend following and its optimal time to be using it, also follows trends?

  • Jez Liberty

    @Wm.A – looks like your system is doing okay there.. Well done.

    @Investment Warrior: I have often heard the idea of investing in trend followers at times of (relative) large drawdowns. I actually have a post idea on my list covering this (something a bit tongue-in-cheek, along the lines of “Trend Following is a mean-reverting strategy” – as Hoffman is suggesting in the video in there: – penultimate video).

    Another post and research idea is to test the concept of “trading” the equity curve of the system. Maybe not by applying a clear stop/start of trading the system, but rather gradually under/over-weighting the leverage of the system based on where the equity curve is compared to an indicator like its Moving Average or absolute high (ie increase leverage for each x% of drawdown – depending on expected drawdown). A potential problem with this approach is that it resembles a martingale approach (which can be “dangerous”, let’s say if the system is “broken” and never recovers from drawdowns).

  • Praetorian

    I don’t think that you can “Trend follow” a Trend Following system since that would make you to be in the biggest drawdowns and avoid a very good part of the recoveries. I think that a better approach is to have an allocation to different managers based on volatility/dd expectations and then to have a “stop loss” at certain DD to avoid broken systems, then do rebalancing every year or 6 months.

    Every broker tells me to wait to a DD to get in, but doing that you might miss potentially huge gains like 2008 since most Trend followers started that near equity highs after a very good 2007.

  • Andrew

    I’ve tested this idea of trading the equity curve (200 day vs 50 day MA crossovers) on a set of standard trend following systems. Unimpressive so far re: results.

  • Wm.A

    Jez…… here is the quote I so terribly paraphrased the other day……..

    “If you buy new highs and sell new lows, you will collect ALL of the winners and miss some of the losers. This simple rule swings the probabilities into your favor and helps to limit the big negative outliers.

    If you place an order under the current market to buy on a retracement (or a sell order above the market to sell on a rally), you will own ALL of the losers and mis some of the winners (usually the largest ones). This swings the overall probabilities against you and makes your job harder.”

    This is from a friend of mine who is a professional trader.

  • Jez Liberty

    Thanks for the quote Wm.A
    Very simple but very true!

  • Minion

    Bill Dunn strikes again!

    There was a report today on TraderMark’s blog showing the YTD results of some non-automated hedge funds, and most were in the red with the exception of Tudor Jones, which is up 5% for the year.

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