Welcome to my online repository of research and insights on automated trading system development
Slow start of the year for the Wizards for 2011, with an average performance of -0.94% and results ranging from -6.70% to 3.69%.
Note that I have added two Wizards to the list for this new year: Mark J. Walsh and Sunrise Capital – thanks for the suggestion fom a reader of the blog.
Mark J. Walsh started as a runner/floor broker for Richard Dennis, and as such was allowed to attend the Turtle training. He worked closely with Richard Dennis and ultimately started his own firm in 1985 returning over 20% compounded annual return since.
Sunrise Capital Partners are a failry large Trend Follower, based in San Diego. They have been trading for over 30 years.
Note that I have also added (in the Notes section) the program tracked for each of the Wizards.
Please find below the detailed results for January 2011:
| Organisation / Fund | Return | YTD * | AUM ** |
|---|---|---|---|
| Abraham Trading1 | 1.45% | 1.45% | $530M |
| Altis Partners2 |
-6.70%
|
-6.70%
|
$1,586M |
| Aspect Capital3 |
-1.30%
|
-1.30%
|
N/A |
| BlueTrend4 |
0.57%
|
0.57%
|
$12,280M |
| Campbell & Company5 |
-1.05%
|
-1.05%
|
$1,500M |
| Chesapeake Capital6 |
1.63%
|
1.63%
|
$850M |
| Clarke Capital7 |
0.66%
|
0.66%
|
$38M |
| Drury Capital8 |
3.47%
|
3.47%
|
$334M |
| Dunn Capital9 |
3.69%
|
3.69%
|
$291M |
| Eckhardt Trading10 |
-3.25%
|
-3.25%
|
$443M |
| EMC Capital11 |
0.70%
|
0.70%
|
$179M |
| Hawksbill Capital12 |
-4.57%
|
-4.57%
|
$73M |
| Hyman Beck & Co.13 |
0.15%
|
0.15%
|
$510M |
| JWH & Co.14 |
-3.27%
|
-3.27%
|
$26M |
| Man AHL Diversified15 |
-2.80%
|
-2.80%
|
$1,166M |
| Mark J. Walsh & Co.16 |
-0.56%
|
-0.56%
|
$96M |
| Millburn Ridgefield17 |
-1.22%
|
-1.22%
|
$1,074M |
| Rabar Market Research18 |
0.78%
|
0.78%
|
$191M |
| Saxon Investment19 |
1.38%
|
1.38%
|
$25M |
| Sunrise Capital20 |
0.60%
|
0.60%
|
$655M |
| Superfund21 |
-3.78%
|
-3.78%
|
N/A |
| Tactical Investment Mgt22 |
-8.47%
|
-8.47%
|
$67M |
| Transtrend23 |
-0.77%
|
-0.77%
|
$5,851M |
| Winton Capital24 |
0.06%
|
0.06%
|
$17,600M |
| Averages |
-0.94%
|
-0.94%
|
 |
Notes
** 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. BlueTrend, from BlueCrest Capital, is one of the largest Trend Following funds – headed by Ms. Leda Braga. Program tracked: BlueTrend Fund Limited
5. Campbell & Company is one of the oldest Trend Following firms, operating for around 4 decades. Program tracked: Global Diversified Large Portfolio
6. Chesapeake Capital was founded by Jerry Parker, a former Turtle. Program tracked: Diversified Program
7. Clarke Capital was founded by Michael Clarke in 1993. Program tracked: Millenium
8. Drury Capital, Inc., was founded in Illinois in 1992 by Mr. Bernard Drury. program tracked: Diversified Trend-Following
9. Dunn Capital was founded by Bill Dunn. Program tracked: World Monetary and Agriculture (WMA)
10. Eckhardt Trading is the firm managed by William Eckhardt, who co-led the Turtle experiment with Richard Dennis. Program tracked: Standard Program
11. EMC Capital was founded by Liz Cheval, a former Turtle. Program tracked: EMC Classic Program
12. Hawksbill Capital was founded by Tom Shanks, a former Turtle. Program tracked: Global Diversified Program
13. Hyman Beck & Co. main principals are Alexander Hyman and Carl Beck. Program tracked: Global Portfolio
14. JWH & Co. was founded by John W. Henry, now also owner of the Boston Red Sox. program tracked: Financial & Metals Portfolio
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. Program tracked: Man AHL Diversified Futures Ltd
16. 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
17. Millburn Ridgefield have been trading Trend Following models since the early 1970′s. Program tracked: Diversified Program
18. Rabar Market Research is the company of Paul Rabar, a former Turtle. Program tracked: Diversified Program
19. Saxon Investment was founded by Howard Seidler, a former Turtle. Program tracked: Diversified Program
20. 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
22. Tactical Investment Management was founded by David Druz, student of Ed Seykota. Program tracked: Institutional Commodity Program
23. Transtrend is a Trend follower CTA based in Netherlands. Program tracked: DTP – Enhanced Risk (USD)
24. 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.
And trading from Tom’s spare room + 4.45%
for January, though a lot of that is down to cotton.
Hi Jez,
I have another one for you: Revolution Capital Management. Mosaic / Mosaic Institutional are their big funds. They have around $1bn AUM in the programs combined. Be aware that they market these programs through Dunn, so you may already have them covered.
Hi Jez
Great site, and very interesting stuff.
One question, if I may:
The monthly performance figures of the ‘wizards’ will be unrealised p & l? Is that correct?
Cheers.
Mark – thanks.
In reply to your question in a word: yes – funds report their performance on equity, which includes open equity made up of open P&L. And this is what I report here.