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Trend Following Wizards – June ’13

July 18th, 2013 · 2 Comments · Trend Following, Trend Following Wizards

After a mostly positive start of the year, June brings the second consecutive negative month for the Trend Following Wizards. The YTD performance for the aggregate index is now also in the red at the half-year mark.

Also just a reminder that I rely on various free third-party sources to publish these numbers and I cannot guarantee their accuracy (unfortunately). They are correct to the best of my knowledge. A couple of readers have emailed me last month to discuss this and possible discrepancies. It could very well happen that past results get updated after I publish them here and there might be some discrepancies between the individual YTD figures published month after month vs. the YTD figure computed from the individual monthly returns (it seems that Bluetrend got slightly out of line for example).
Just something to bear in mind if you want to drill down in the data. However, the main goal of this report was to measure how the Wizards perform as a group, and this does the job pretty well I think.

Also note that I was not able to locate Sunrise’s performance this month as they gradually dropped of all the sources I check for them. If any reader has a place to find their performance on a regular basis, please let me know.
I’ve updated the results below with the performance of the new Sunrise program: Sunrise Evolution, after having been advised by Sunrise themselves that “the Sunrise Expanded Diversified Program as it is now closed and has ceased trading as a stand-alone investment program”. They are actually showing a strong positive performance YTD (+14%), strong enough to actually push the index back in the black!

Please find the detailed results below for June 2013.

Organisation / Fund Return YTD * AUM **
Abraham Trading1
-0.33%
1.17%
$260M
Altis Partners2
1.68%
5.85%
$848M
Aspect Capital3
0.33%
-0.88%
$6,231M
Beach Horizon4
-1.43%
-3.09%
$553M
BlueTrend5
-9.49%
-10.87%
N/A
Campbell & Company6
-2.00%
9.91%
$617M
Chesapeake Capital7
-1.85%
5.60%
$323M
Clarke Capital8
-1.11%
-12.37%
$19M
Drury Capital9
-3.79%
7.36%
$250M
Dunn Capital10
-1.66%
22.08%
$331M
Eckhardt Trading11
-4.47%
-6.30%
$384M
EMC Capital12
-1.53%
-0.34%
$92M
Graham Capital13
-6.00%
1.25%
$2,681M
Hawksbill Capital14
-0.11%
-5.49%
$101M
Hyman Beck & Co.15
1.14%
4.68%
$403M
ISAM16
-5.91%
-7.49%
$765M
Man AHL Diversified17
-4.20%
-4.50%
$532M
Mark J. Walsh & Co.18
2.40%
-1.67%
$105M
Millburn Ridgefield19
-3.39%
-6.59%
$970M
Rabar Market Research20
-3.33%
-1.59%
$251M
Saxon Investment21
0.68%
-1.47%
$124M
Sunrise Capital22
+0.1%
+14%
$65M
Tactical Investment Mgt23
-0.50%
-6.52%
$82M
Transtrend24
-0.54%
-1.36%
$6,304M
Winton Capital25
-2.18%
2.71%
$24,300M
Summary Figures***
-1.90%
0.16%%
$46,591M

 

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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 Futures Ltd.

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

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

22 – 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.

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 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 most if not all of the 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.
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2 Comments so far ↓

  • Leo

    Hi

    First of all, thanks a lot for the good work. I am a big fan of the site and the monthly update.

    Just a comment, you mention that a strong performance by sunrise pushes the whole index into positive territory. But Sunrise ‘only’ has 65M under management. Is it really fair to give it the same weight as Winton with almost 400 times the assets?

    Some food for thought.

    Thanks again and best regards,
    Leo

  • Jez Liberty

    Thanks Leo.
    This is a valid point, which I have debated myself… In the end, I decided to go for simplicity and not weigh any of the “wizards” performance. Otherwise, you might also have to look at volatility-adjustments, etc. Also the AUM figure is more complex to integrate. Some CTAs have dozens of options with various AUMs between each while others have one or two programs only (and I only report the “main program on here).

    This way, I find this is a raw measure of how they perform as a group and not how the collective pool of money performs if that makes sense. I agree it’s arguable though…
    Cheers,
    Jez

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