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Trend Following Wizards: Closing 2010 on a High

January 17th, 2011 · 9 Comments · Trend Following, Trend Following Wizards

December saw another positive month for the Trend Following Wizards, helping a few of them recover from negative to positive numbers, and produce a 100% positive track record for the year. All Wizards ended 2010 in the black, with performance numbers ranging from less than 1% to just under 70% (results are not volatility-adjusted though, so this is not a strict apples-to-apples comparison).

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:

Organisation / Fund Return YTD * AUM **
Abraham Trading1
8.28%
8.30%
$456M
Altis Partners2
5.66%
11.52%
$1,609M
Aspect Capital3
6.16%
15.35%
N/A
BlueTrend4
6.71%
15.98%
$8,000M
Campbell & Company5
4.99%
11.52%
$1,500M
Chesapeake Capital6
13.90%
10.86%
$835M
Clarke Capital7
9.08%
42.62%
$38M
Drury Capital8
9.05%
0.63%
$305M
Dunn Capital9
10.95%
30.75%
$275M
Eckhardt Trading10
8.87%
21.08%
$418M
EMC Capital11
5.90%
6.72%
$180M
Hawksbill Capital12
11.79%
57.58%
$83M
Hyman Beck & Co.13
12.82%
8.49%
$512M
JWH & Co.14
-5.18%
5.20%
$25M
Man AHL Diversified15
4.80%
11.60%
$1,223M
Millburn Ridgefield16
5.58%
12.65%
$1,090M
Rabar Market Research17
10.51%
24.59%
$179M
Saxon Investment18
1.18%
6.10%
$89M
Superfund19
10.93%
12.93%
N/A
Tactical Investment Mgt20
10.60%
68.99%
$66M
Transtrend21
3.60%
14.88%
$5,826M
Winton Capital22
3.73%
14.43%
$17,010M

 

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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. 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.

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.
 
 
 
 

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9 Comments so far ↓

  • Jens

    Hi Jez,

    Interesting blog! Another CTA you should consider adding to your universe of top CTA’s is LynxHedge – part of the Brummer & Partners swedish hedge fund group. Average performance in 2010 of around 18.54%

    http://www.lynxhedge.se

    Jens

  • Jez Liberty

    Thanks Jens – I am planning on including a few more CTAs for 2011 and I’ll check then out as well.
    Jez

  • Pretorian

    Hi Jez,
    In my opinion Abraham Trading can no longer be classified as a Trend Follower, since it is really a multistrategy fund. I have been following them for a year and I have studied its performance since I wanted to invest with them, since they switched their focus to different strategies performances has suffer dramatically.
    It would be interesting to find the optimum size for a fund, it seems there is a sweet spot for performance between 20-400 million AUM or so. Although I haven’t look at the data rigorously I am planning to invest in funds within this range, excepting some incredible cases like Winton.

    Thanks

  • Jez Liberty

    I’m planning on running some correlation calcs on the Wizards returns so it will be interesting to see how Abraham correlates to other Trend Followers.
    Granted they might have some mean reversion strategies in their program but I bet they still have a fairly large portion of their systems in Trend Following.

    Actually if you look at their performance, you can see that they have fairly low volatility (which might explain why they dont reach the +50% of other Wizards on this report or the 100%+ of their track record beginnings, but I would not say that their performance has suffered dramatically)

    Not sure about a sweet spot AUM-wise. Winton is not the only counter-example to this. Look at Transtrend, BlueTrend, etc.

  • Pretorian

    I think that speaking about AUM, there are two factors at work:
    1. It is really more difficult to maintain performance with really big AUM. The investment universe is reduced.
    2. In order to get to this kind of AUM, the manager has to lean towards institutional investors, who demand less volatility.

  • Aaron

    Abraham is still a trend follower at the core but I believe they have geared back position size to accommodate large investors who are volatility averse to the average TF fund.

  • Jez Liberty

    This is a “problem” with CTAs with more than one program and the way I report them.
    I decided, for practicality reasons, to include one program per CTA in the report. The AUM refers to the program reported, not total AUM for the CTA – which explains the difference between the overall figure reported in the article you linked to and the one reported here.

    You are not the first one to point this out, so I’ll improve the reporting, by at least making it clearer that the AUM refer to the specific program tracked.

    ps: for reference, the program tracked for MAN AHL is the MAN AHL Diversified Futures Ltd (BBG ticker: EDFDFLI):
    https://www.maninvestments.com/products/funds/hdf1fund/performance/performance.jhtml

  • R

    Thanks for your clarification

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