Systematic Trading research and development, with a flavour of Trend Following
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Trend Following Wizards – January 2010

February 10th, 2010 · 3 Comments · Fund Review, Trend Following Wizards

- - -  Note: Starting this month, I have created a dedicated feed solely for the Trend Following Wizards monthly updates. You can either access it via RSS or by subscribing by email. - - - 

Not a good start of the year for Trend Followers – starting 2010 in the same way as 2009 closed: by very negative performances.

Well, Trend Following is not about winning every month. I guess if we experience some “shaky” markets in a remake of 2008 (which seem to start materialising – think about Greece, the Equities markets crumpling again), we might see most of these funds rise and shine. Time to get working on this Trend Following strategy!

Organisation / Fund Return YTD * AUM **
Abraham Trading1
-0.87%
-0.87%
$518M
Aspect Capital2
-2.10%
-2.10%
N/A
Chesapeake Capital3
-5.89%
-5.89%
$678M
Clarke Capital4
0.92%
0.92%
$23M
Drury Capital5
-6.27%
-6.27%
$157M
Dunn Capital6
-6.61%
-6.61%
$164M
Eckhardt Trading7
-6.98%
-6.98%
$395M
EMC Capital8
-11.00%
-11.00%
$182M
Hawksbill Capital9
1.19%
1.19%
$52M
Hyman Beck & Co.10
-2.69%
-2.69%
$449M
JWH & Co.11
-2.13%
-2.13%
$26M
Man AHL Diversified12
-2.10%
-2.10%
$1,366M
Millburn Ridgefield13
-1.19%
-2.04%
$643M
Rabar Market Research14
-7.93%
-7.93%
$200M
Saxon Investment15
-0.96%
-0.96%
$13M
Superfund16
-9.79%
-9.79%
N/A
Transtrend17
-3.90%
-3.90%
$4,493M
Winton Capital18
-2.60%
-2.60%
$4,010M

 

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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. 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)
3. Chesapeake Capital was founded by Jerry Parker, a former Turtle.
4. Clarke Capital was founded by Michael Clarke in 1993.
5. Drury Capital, Inc., was founded in Illinois in 1992 by Mr. Bernard Drury.
6. Dunn Capital was founded by Bill Dunn.
7. Eckhardt Trading is the firm managed by William Eckhardt, who co-led the Turtle experiment with Richard Dennis
8. EMC Capital was founded by Liz Cheval, a former Turtle.
9. Hawksbill Capital was founded by Tom Shanks, a former Turtle.
10. Hyman Beck & Co. main principals are Alexander Hyman and Carl Beck.
11. JWH & Co. was founded by John W. Henry, Owner of the Boston Red Sox.
12. 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.
13. 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.
14. Rabar Market Research is the company of Paul Rabar, a former Turtle.
15. Saxon Investment was founded by Howard Seidler, a former Turtle.
16. Superfund founder and CEO: Christian Baha.
17. Transtrend is a Trend follower CTA based in Netherlands
18. Winton Capital is a London-based CTA founded by Dave Harding (also co-founder of AHL).

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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3 Comments so far ↓

  • Rajiv

    Thanks again. Just curious, how do you get this information. Also, surprised that most had negative performance.

  • Jez

    Hi Rajiv – no worries.
    I spent a fair bit of time trying to locate where all these funds publish their monthly performance. AutumnGold and IASG are a good place to start with but they do not publish all the funds! So I thought it would be useful to publish the results I compile every month to save time for my readers.
    Cheers, Jez

  • Rajiv

    Thanks for putting this together.

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