Systematic Trading research and development, with a flavour of Trend Following
Au.Tra.Sy blog – Automated trading System header image 2

Trend Following Wizards – August 2010

September 13th, 2010 · 3 Comments · Trend Following, Trend Following Wizards

Except for a “tiny speck of red” (BlueTrend with -0.01%!), August was unambiguously in the black for all Trend Following Wizards. This is in line with the State of Trend Following report from earlier this month, which showed a monthly performance of just over 8%. This month’s average performance for the wizards is 5.71% (after fees) with a couple of strong performances, like Bill Dunn at +16.96%.

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:

Organisation / Fund Return YTD * AUM **
Abraham Trading1
3.72%
-6.22%
$434M
Altis Partners2
6.66%
2.15%
$1,395M
Aspect Capital3
5.14%
5.65%
N/A
BlueTrend4
-0.01%
2.28%
$6,900M
Campbell & Company5
5.30%
-1.11%
$331M
Chesapeake Capital6
3.51%
-14.10%
$640M
Clarke Capital7
24.46%
7.87%
$14M
Drury Capital8
2.63%
-11.25%
$225M
Dunn Capital9
16.96%
21.05%
$254M
Eckhardt Trading10
3.83%
4.28%
$312M
EMC Capital11
0.80%
-10.97%
$163M
Hawksbill Capital12
6.69%
32.07%
$71M
Hyman Beck & Co.13
3.61%
-11.62%
$413M
JWH & Co.14
7.62%
14.65%
$29M
Man AHL Diversified15
6.20%
6.40%
$1,297M
Millburn Ridgefield16
-1.32%
N/A
Rabar Market Research17
4.86%
0.44%
$180M
Saxon Investment18
0.50%
0.56%
$15M
Superfund19
4.10%
-4.37%
N/A
Transtrend20
2.75%
3.87%
$4,922M
Winton Capital21
4.78%
8.80%
$5,025M

 

Get posts by RSS

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. 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.

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.
 
 
 
 

Related Posts with Thumbnails

Tags: ·························

3 Comments so far ↓

  • Roy

    Hi. love your post.

    Quick question:

    You compared the MA 20/50 vs Dunne capital – but I looked at the trend following status, and I think you meant 50/200 MA crossover…. this is 20% vs the 5% of 20/50?

    Thank you

  • Jez Liberty

    oops…
    Good catch Roy – exactly that: 50/200 MA crossover! Thanks for letting me know, just corrected the post…
    Welcome to the blog by the way – hope you keep enjoying it.

  • Independent Investment Adviser

    “I am wondering how much of forensic back-testing goes on to try and reverse-engineer CTA’s performance results and their strategies…”

    No one will ever know, but I suspect a lot!

Leave a Comment