Systematic Trading research and development, with a flavour of Trend Following
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Trend Following Wizards – December 2013

January 20th, 2014 · 2 Comments · Trend Following, Trend Following Wizards

We can say that 2013 was flat for our Trend Following Wizards: they closed the year by posting a minuscule collective yearly gain of +0.04% (with a December return of 0.64%). However, a closer inspection reveals a greater disparity than usual in the results. The standard deviation in the 2013 yearly performance is over 15%, with 4 double-digit gains and 6 double-digit losses. A good illustration that trend following is not just “one big trade” as some people are sometimes led to believe.

I’m looking at updating the list of Wizards for 2014, so please forward any suggestions you have. I do not have set criteria for CTA inclusion, just well-established trend following CTAs (and for which I can access performance information). I need to go back to a few reader emails to review their suggestions over the last year and I might borrow some ideas from this list from Andreas Clenow, author of Following the Trend (good book I still have to review on the blog).

So please send your ideas to improve the list for 2014. I already added Mulvaney Capital to the list this month. I believe they were on my initial list but I just could not find a reliable performance update for them at the time. Note that they were one of the most successful Trend Following Wizards in 2013, posting 43% for the year. The collective results above did not include Mulvaney’s results in order not to skew the results for 2013 (you can see the difference it makes on the summary in the table below).

Organisation / Fund Return YTD * AUM **
Abraham Trading1
1.59%
0.38%
$183M
Altis Partners2
0.91%
-3.78%
$597M
Aspect Capital3
-0.02%
-4.47%
$5,588M
Beach Horizon4
-1.47%
-8.38%
$63M
BlueTrend5
-3.06%
-12.09%
N/A
Campbell & Company6
-0.85%
9.63%
$712M
Chesapeake Capital7
5.24%
25.39%
$63M
Clarke Capital8
1.75%
-22.93%
$22M
Drury Capital9
-2.40%
9.60%
$249M
Dunn Capital10
4.40%
34.16%
$335M
Eckhardt Trading11
2.44%
0.85%
$304M
EMC Capital12
-3.00%
-7.31%
$79M
Graham Capital13
-0.24%
10.61%
$2,721M
Hawksbill Capital14
2.29%
-19.68%
$48M
Hyman Beck & Co.15
2.16%
7.54%
$188M
ISAM16
-0.04%
-10.75%
$575M
Man AHL Diversified17
-0.50%
-2.60%
$989M
Mark J. Walsh & Co.18
-0.43%
-10.68%
$76M
Millburn Ridgefield19
-1.48%
-6.09%
$732M
Mulvaney Capital20
-1.24%
43.11%
$150M
Rabar Market Research21
0.84%
-0.79%
$140M
Saxon Investment22
1.54%
-2.19%
$87M
Sunrise Capital23
2.61%
21.92%
$150M
Tactical Investment Mgt24
1.29%
-14.56%
$38M
Transtrend25
1.92%
-0.61%
$5,691M
Winton Capital26
0.52%
7.79%
$24,600M
Summary Figures***
0.57%
1.70%
$44,380M

 

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Notes

* 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 Plc

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 – Mulvaney Capital Management was founded in 1999 by Paul Mulvaney and focuses on long-term trend following.
Program tracked: Mulvaney Global Markets

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

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

23 – 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

24 – Tactical Investment Management was founded by David Druz, student of Ed Seykota.
Program tracked: Institutional Commodity Program.

25 – Transtrend is a Trend follower CTA based in Netherlands.
Program tracked: DTP – Enhanced Risk (USD).

26 – 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 some 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.

 
Several 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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2 Comments so far ↓

  • Rob sorrentino

    You need to add FORT LP to your list.

  • Jez Liberty

    Rob, thanks for the hint. Fort was actually one of those I mentioned in the post, which has less than 50% allocated to trend following (according to info I could find online), hence my hesitation and ultimately non-inclusion in the list..

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