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

September 19th, 2013 · 14 Comments · Trend Following, Trend Following Wizards

+0.66% is the only positive return for this month’s report. The rest of the Wizards are down, as illustrated by the near-uniform shade of red in the August return column in the table below (the YTD column is not that much better).

The composite return of the index is -2.13% for the month and -3.17% YTD, with full results further below.

A Note on Sunrise

The reporting on this blog is only as good as the sources that I check for performance updates. In the case of Sunrise, the info reported has not been consistent and I’ve had a few readers enquire about Sunrise in the last few months. I hope this clarifies things:

I got confirmation and clarification of the situation directly from Sunrise. They are basically closing their original Flagship “Expanded Diversified” Program (which I have been reporting here, up to a few months ago) and replacing it with their new program “Sunrise Evolution”, which started trading at the beginning of this year.

Both programs are now being traded, as assets are moved across from one program to the next (probably the reason for the confusion in the reporting of AUM, which program, etc.), but Sunrise’s plan is to have all assets trading the “Sunrise Evolution” program in the future.

For the sake of precision, I should add that the performance returns are derived from an internal Sunrise account trading the strategy since January 2013 (fees taken into account), which will be switched to the composite of the program itself starting in 2014.
Also, a clarification about a comment made by a reader on Sunrise having to close their fund under a Californian LP law. This concerns their “Davco Fund LP” (which now trades the Evolution program), which can not be extended and will be replaced by “Sunrise Evolution (US) LP” (rolling over all investors at the end of the year).

Going forward I will report the Sunrise Evolution program in the Trend Following Wizards report excluding the Expanded Diversified program’s AUM. Like all other entries in the list, I only report the AUM of the main program (which I realise is not ideal as some CTAs have many programs and some have one AUM figure… but practically speaking that’s the best option). For the record, the current AUM split is $140M for Sunrise Evolution and $55M for Expanded Diversified.

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
Graham Capital13
Hawksbill Capital14
Hyman Beck & Co.15
Man AHL Diversified17
Mark J. Walsh & Co.18
Millburn Ridgefield19
Rabar Market Research20
Saxon Investment21
Sunrise Capital22
Tactical Investment Mgt23
Winton Capital25
Summary Figures***


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* 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 – 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: Global Diversified Large.

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

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

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

16 – 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

17 – 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 Futures Ltd.

18 – 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.

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

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

21 – Saxon Investment was founded by Howard Seidler, a former Turtle.
Program tracked: Aggressive Diversified Program.

22 – 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

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 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 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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14 Comments so far ↓


    No surprise.

    Is it possible to have a breakdown of the strategies that each of the Wizards is using? e.g. allocation of the method of strategies?

    Something like
    for company A: the allocation of Long term trend following is 50%, 30% short term momentum, 10% fundamental, 10% Spreading…

    Not all disclose their strategy allocation, but I am just curious.

  • qusma

    Another bad year, many funds shutting down…what’s your view on the future of trend following? Could it be over for good?

  • Jez Liberty

    @stevo: this would be hard to obtain for all Wizards I believe…
    @qusma: that’s the the $64,000 question… ;-) Surely one of the tougher times for trend following but I believe that the underlying behavioral biases that “explain” trend following are deeply ingrained in human nature. I think there is an oscillation in profitability of trading strategies (a concept discussed in an interesting way in Lo’s Adaptive Market hypothesis (AMH)) and trend following would come back once the “market ecology” (less funds in trend following, less Fed/central bank interventions, whatever) changes
    A contrarian would probably think it’s a good time to invest in trend following… But it’s a courageous move! (and the same contrarian reasoning would have probably held true a year or two ago for not such a good result!)
    One thing’s sure: it will be interesting to watch.

  • Plodder

    I would agree with qusama…. the wheels are definitely coming off. About time too….most of the managers in this space have been too arrogant for far too long….hubris. The shame of it is innocent people through pension funds now have money invested in this crap….

  • Trader Jim

    Just a note to SteveO and especially Plodder… first, not all trend following funds are down. Second, there are ALWAYS times of drawdown in trend following. The whole concept of markets is based on trend following no matter which methodology you use. If prices don’t trend, there are NO profits for anyone.

    BTW… I manage two small funds and currently am up 26% in one and 12% in another YTD. Trend following is not dead LOL.

  • Stevo

    @Trader Jim:
    I did not say every trend follower is down. Of course there are winners and losers, ups and downs. But given the fund size of the wizards and their listed performances, it seems the big guys who represent a big portion of the money are struggling.

    How long have you been running your funds?

  • Plodder

    @ Trader Jim.
    Based on a sample of…erm 2 your argument is really compelling. I merely meant to mention that most professional funds are now way under water, see link
    Cantab for example down 28% at end of august.
    However, based on your own efforts Bob I can see that I was wrong to raise my earlier point. I stand corrected.

  • Trader Jim

    @Plodder… Yes, you’re “sample size” is much better… agreeing with someone else (1 person) that trend following is over and then writing this:

    “the wheels are definitely coming off. About time too….most of the managers in this space have been too arrogant for far too long….hubris. The shame of it is innocent people through pension funds now have money invested in this crap….”

    Your argument is definitely solid… doesn’t hold up against my personal experience of more than a decade at all.

    @Steveo- I understand your “no surprise” comment, but seriously… your other questions show you have very little understanding of how this business actually works.

    Here’s my advice to both… stop rooting for (in the case of Plodder) trend following to fail… and stop trying to figure out if it is going to fail (in the case of SteveO)… and just decide if it’s a strategy that’s right for you. If not move on. If it is best of luck to you once you have your “a-ha” moment.

  • Plodder

    @ Trader Jim
    Whatever you say Jim.

  • Joe Moeller

    It would be interesting to know what the equivalent results for “buy and hold” of the instruments used to trade the mechanical systems posted each month.

    We then could compare trend following to “buy and hold”.

    Having examined trend following methodology going back to 1900 using US Equities, in a thorough fashion, I believe it is safe to say that it takes at least 10 years and about two up and down markets to show the validity of trend following.

    In my 113 year study, I found one period of 8 years where trend following was beat by naive buying and holding each year. Yet over the entire study period, risk was reduced by about a third, the ulcer index was dramatically reduced as was standard deviation.

    If theoretical leverage was applied, at say 2x, returns were improved by about 6 percent per year over buy and hold, with equivalent drawdown risk about the same as buy and hold as well.

    Lussenheide Capital Management shows an interesting chart with similar results at:

  • Trader Jim

    @ Plodder

    “Whatever you say Jim.”

    Ah, another refreshing, compelling addition to the discussion. Oh wait, I guess it’s just getting the last word in.

    How about this… you come up with a strategy that comes close to my 10+ years of trend following results (averaging +32% CAGR) and I’ll be happy to adopt it. Oh yeah, btw… make sure your strategy doesn’t have a greater than 16% drawdown to keep my 2-1 RR on growth in tact.

    Working on that will probably be a more constructive use of your time than rooting for the rest of us to fail. Let me know when you’re done. Other than that I (and I’m sure most other trend followers) have no interest in hearing any more of your detracting.

  • Plodder

    @ Trader Jim.

    Hey Jim.

    Sorry you are getting so hot under the collar.

    All I merely wanted to point out was that most of the professional managers in the trend following space have failed to deliver over a number of years now….that was all.

    If you can’t see that there is a problem there with ordinary people being drawn into this strategy then I’m sorry. Ask someone who invested with cantab, ahl, bluetrend etc how they feel about performance this year or over the last few years. If only they had the benefit of your expertise.

    Anyway thats all from me. I feel I have been civil and courteous, you however Jim have been anything but.

  • Trader Jim

    @ Plodder

    Yes, as I re-read your posts… they are very civil and courteous… not. It’s kind of hard to change the facts about your disenchantment with trend following and the bitterness you exude, it’s right up above for everyone to read.

    As far as your, “If you can’t see that there is a problem there with ordinary people being drawn into this strategy then I’m sorry.”

    That’s your opinion. Your opinion is not fact. Trend following firms (btw, again… not all CTA’s are trend followers) not only offer high returns when “normal” equity funds suffer severe drawdowns like in 2008, 2003, 2000 (and I can go farther back through the beginning of U.S. markets if you’d like) but they can offer small returns that supplement equity based funds as well.

    But here’s the real advantage of having your money in trend following funds… DIVERSIFICATION THROUGH ZERO OR NEGATIVE CORRELATION. You can smooth your returns by investing some of your money in equity funds and some in trend following funds.

    It’s funny… I bet in 2008 you were saying the same thing about equity funds. 40-50% drawdowns, people having to put off their retirements… that ring a bell? Where are equity funds today? Mostly recovered, some even showing 20% positive growth for those who had the guts to stay in.

    Again… take your negativity elsewhere about trend following. It serves a purpose in the financial world IF YOU KNOW WHAT YOU’RE DOING. If you care to disagree that’s fine… you don’t have to put your money there. But don’t cry when the next big equity crash comes and guys like me are collecting 100% returns.

    Oh yeah, still waiting for your strategy… got anything to send me to replace trend following with yet?

  • peter

    another 10 years of this and trendfollowing will be as respectable as the art of witchcraft.
    E.M.H guys will have the last laugh as William Eckhardt said.

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