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Trend Following Wizards – February 2011

March 16th, 2011 · 1 Comment · Trend Following Wizards

A fairly strong month of February for our Wizards, with most managers more than erasing their small losses from the beginning of the year. The YTD average performance is now +2.80%, thanks to an average return of +3.64% for the month of February.

This month sees the addition of another Wizard: London-based CTA Beach Horizon. You can find more info on Beach Horizon on their website. This podcast interview with Dr. Paul Netherwood, Head of Research and one of Beach Horizon partners, is also very interesting.

Below are the individual results as of end February 2011:

Organisation / Fund Return YTD * AUM **
Abraham Trading1
3.30%
4.92%
$563M
Altis Partners2
-0.60%
-7.06%
$1,651M
Aspect Capital3
2.49%
1.17%
N/A
Beach Horizon4
3.76%
4.74%
$578M
BlueTrend5
3.44%
4.03%
$12,280M
Campbell & Company6
3.00%
2.68%
N/A
Chesapeake Capital7
6.06%
7.79%
$916M
Clarke Capital8
8.12%
8.84%
$40M
Drury Capital9
6.18%
9.88%
$367M
Dunn Capital10
6.17%
10.09%
$294M
Eckhardt Trading11
3.12%
-0.22%
$480M
EMC Capital12
3.20%
3.92%
$182M
Hawksbill Capital13
5.15%
0.34%
$77M
Hyman Beck & Co.14
2.67%
2.57%
$525M
JWH & Co.15
-0.01%
-3.11%
$25M
Man AHL Diversified16
1.10%
-1.70%
$1,166M
Mark J. Walsh & Co.17
3.41%
2.81%
N/A
Millburn Ridgefield18
2.54%
1.29%
$1,100M
Rabar Market Research19
5.29%
6.06%
$212M
Saxon Investment20
1.83%
3.24%
$26M
Sunrise Capital21
3.30%
3.92%
$586M
Superfund22
4.90%
0.94%
N/A
Tactical Investment Mgt23
9.36%
0.18%
$82M
Transtrend24
1.77%
0.99%
$6,112M
Winton Capital25
1.51%
1.59%
$19,000M
Averages
3.64%
2.80%

 

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Notes

* 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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