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Trend Following Wizards in September ’11

October 18th, 2011 · 6 Comments · Trend Following, Trend Following Wizards

Here is another Trend Following Wizard report, which comes with some volatility again – mostly on the down side.
The average return for September is -1.31%, with the YTD reading about equal at -1.54%.

Unlike in 2008, Trend Following Wizards did not seem to be able to capitalize on the “crisis mode” seen in the markets in the last quarter, which was quite reminiscent of the worst periods of the credit crunch or GFC (Global Financial Crisis). Indeed, hedge funds reportedly just had one of their worst quarters on record and the Wizards did not seem to buck the trend as much as they did three years ago.

I have also changed a few minor things in the report this month.
Mainly, the Trend Following Wizards welcome two new additions – from Canada – this month: Auspice Capital and Acorn Global Investments.
I have also updated a couple of Wizards with the actual program being tracked, mostly to reflect program termination (JWH’s historical Financials and Metals portfolio does not seem to get updated any more for instance), or for re-aligning to the “main” program for the CTA (as per AUM). Details of all programs tracked can be found in the (updated) footnotes.

Finally, I realise that this blog has been on the “quiet side” lately, staying updated mostly with these monthly reports (TF Wizards and State of TF). This is mostly due to being busy on other projects and a general re-organisation on my side. I intend to get back to more regular posting at some point in the near-future.

In the mean time I leave you with this Managed Futures can save your tail article (rather topical), linked to from new Wizard Auspice’s September commentary letter.

Below are the full results for the Wizards as of September 2011:

Organisation / Fund Return YTD * AUM **
Abraham Trading1
Acorn Global Inv.2
Altis Partners3
Aspect Capital4
Auspice Capital5
Beach Horizon6
Campbell & Company8
Chesapeake Capital9
Clarke Capital10
Drury Capital11
Dunn Capital12
Eckhardt Trading13
EMC Capital14
Hawksbill Capital15
Hyman Beck & Co.16
JWH & Co.17
Man AHL Diversified18
Mark J. Walsh & Co.19
Millburn Ridgefield20
Rabar Market Research21
Saxon Investment22
Sunrise Capital23
Tactical Investment Mgt25
Winton Capital27


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* YTD: Year-To-Date performance.
** AUM: Assets Under Management for the program reported here (not total firm AUM)
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. Acorn are a Canadian-based CTA. Program tracked: Diversified Trust.
3. 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.
4. 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.
5. Auspice Capital are a Canada-based Trend Following CTA. Program tracked: Auspice Diversified Program.
6. 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.
7. BlueTrend, from BlueCrest Capital, is one of the largest Trend Following funds – headed by Ms. Leda Braga. Program tracked: BlueTrend Fund Limited.
8. Campbell & Company is one of the oldest Trend Following firms, operating for around 4 decades. Program tracked: Golbal Diversified Large.
9. Chesapeake Capital was founded by Jerry Parker, a former Turtle. Program tracked: Diversified Program.
10. Clarke Capital was founded by Michael Clarke in 1993. Program tracked: Millenium Program.
11. Drury Capital, Inc., was founded in Illinois in 1992 by Mr. Bernard Drury. program tracked: Diversified Trend-Following.
12. Dunn Capital was founded by Bill Dunn. Program tracked: World Monetary and Agriculture (WMA).
13. Eckhardt Trading is the firm managed by William Eckhardt, who co-led the Turtle experiment with Richard Dennis. Program tracked: Standard Program.
14. EMC Capital was founded by Liz Cheval, a former Turtle. Program tracked: EMC Classic Program.
15. Hawksbill Capital was founded by Tom Shanks, a former Turtle. Program tracked: Global Diversified Program.
16. Hyman Beck & Co. main principals are Alexander Hyman and Carl Beck. Program tracked: Global Portfolio.
17. JWH & Co. was founded by John W. Henry, now also owner of the Boston Red Sox. program tracked: Global Analytics.
18. 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.
19. 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.
20. Millburn Ridgefield have been trading Trend Following models since the early 1970’s. Program tracked: Diversified Program.
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, with Martin Ehrlich as Principal. Program tracked: Expanded Diversified Program
24. Superfund founder and CEO: Christian Baha. Program tracked: Superfund Q-AG.
25. Tactical Investment Management was founded by David Druz, student of Ed Seykota. Program tracked: Institutional Commodity Program.
26. Transtrend is a Trend follower CTA based in Netherlands. Program tracked: DTP – Enhanced Risk (USD).
27. Winton Capital is a London-based CTA founded by Dave Harding (also co-founder of AHL). Program tracked: Diversified Programme.

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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6 Comments so far ↓

  • Kim

    Hi Jez,
    out of curiosity, what are your criteria for including new managers into your list?

    Keep up the good work


  • tron

    Hi Jez,
    Aspect Diversified Fund (USD)
    2011/09: +0.25%
    YtD: +5.42%
    AuM: 1,121M USD


  • Jez Liberty

    Thanks tron!- jut added the new figures and adjusted the table.

    I do not have a strong set of criteria to include funds in the list – although you are not the first to ask after I added these two smaller, newer TF CTAs. I’ll have a think about it and try to formalise some criteria.

  • Gerald

    Hi Jez,

    I am slightly surprised at these results. Broad long term trends were mostly bearish across the major futures market asset classes and simple systems that I trade were quite profitable. Did you see anything in the manager commentaries to explain what happened? My guess is high volatility kept managers small and nimble in the most bearish markets (e.g. Copper and silver) or they had whipsaws.

    Also, thanks for pulling this together every month

  • Wide Tailz

    This blog has some of the most informative commentary on system development I’ve ever seen. Bill Dunn’s tactics work great on 9 bar breakouts on the hourly chart, by the way. :)

  • Jez Liberty

    Thanks Wide Tailz!

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