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Trend Following Wizards – June 2010

July 21st, 2010 · 2 Comments · Trend Following, Trend Following Wizards

June was a bit of a mixed bag in terms of performance for Trend Following Wizards.

The average monthly return is 0.29%, taking the average YTD figure to -1.48%, with a few Wizards being in the double-digit figures on both ends of the scale.

Note that three major players were added to the report this month: Altis Partners, BlueTrend and Campbell & Company.

Please find below all individual results for June 2010:

Organisation / Fund Return YTD * AUM **
Abraham Trading1
-1.70%
-7.78%
$474M
Altis Partners2
-3.58%
-4.12%
$1,332M
Aspect Capital3
0.53%
2.04%
N/A
BlueTrend4
-2.16%
0.03%
$6,500M
Campbell & Company5
-0.60%
-4.50%
$330M
Chesapeake Capital6
-2.62%
-15.34%
$605M
Clarke Capital7
2.58%
-9.10%
$12M
Drury Capital8
0.16%
-9.11%
$226M
Dunn Capital9
5.02%
8.25%
$224M
Eckhardt Trading10
5.60%
2.93%
$277M
EMC Capital11
-1.66%
-11.11%
$172M
Hawksbill Capital12
4.77%
17.42%
$63M
Hyman Beck & Co.13
1.39%
-6.72%
$434M
JWH & Co.14
3.65%
9.53%
$28M
Man AHL Diversified15
0.70%
3.00%
$1,298M
Millburn Ridgefield16
-7.67%
1.10%
$1,049M
Rabar Market Research17
-0.72%
-9.11%
$173M
Saxon Investment18
0.05%
-1.21%
$12M
Superfund19
1.04%
-5.98%
N/A
Transtrend20
-0.22%
1.97%
$4,800M
Winton Capital21
1.46%
6.80%
$4,590M

 

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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. 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
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).
4. BlueTrend, from BlueCrest Capital, is one of the largest Trend Following funds – headed by Ms. Leda Braga
5. Campbell & Company is one of the oldest Trend Following firms, operating for around 4 decades.
6. Chesapeake Capital was founded by Jerry Parker, a former Turtle.
7. Clarke Capital was founded by Michael Clarke in 1993.
8. Drury Capital, Inc., was founded in Illinois in 1992 by Mr. Bernard Drury.
9. Dunn Capital was founded by Bill Dunn.
10. Eckhardt Trading is the firm managed by William Eckhardt, who co-led the Turtle experiment with Richard Dennis
11. EMC Capital was founded by Liz Cheval, a former Turtle.
12. Hawksbill Capital was founded by Tom Shanks, a former Turtle.
13. Hyman Beck & Co. main principals are Alexander Hyman and Carl Beck.
14. JWH & Co. was founded by John W. Henry, Owner of the Boston Red Sox.
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.
16. 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.
17. Rabar Market Research is the company of Paul Rabar, a former Turtle.
18. Saxon Investment was founded by Howard Seidler, a former Turtle.
19. Superfund founder and CEO: Christian Baha.
20. Transtrend is a Trend follower CTA based in Netherlands
21. Winton Capital is a London-based CTA founded by Dave Harding (also co-founder of AHL).
 
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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2 Comments so far ↓

  • cordura21

    hey Jez. The Trend Following Wizards’ numbers are net of admin+success fees?

  • Jez

    Correct Cord (ie. usually the way they are publicly reported om the funds websites, etc.)

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