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Trend Following Wizards keep "Surfing the Wave" in October 2010

November 16th, 2010 · 2 Comments · Trend Following, Trend Following Wizards

Another very strong month allowed our Trend Followers to keep surfing the wave they have been riding for a good few months, with a “sea of black numbers” in the table below. All but two are now profitable year-to-date with a couple of double-digit returns this month (Chesapeake Capital and Tactical Investment Mgt) as well as a YTD performance over 50% (Hawksbill Capital).

The average monthly return is +4.81%, and the YTD figure now stands at +12.04%.

Please find below all individual results for October 2010:

Organisation / Fund Return YTD * AUM **
Abraham Trading1
3.45%
1.42%
$451M
Altis Partners2
4.37%
9.79%
$1,534M
Aspect Capital3
3.26%
12.00%
N/A
BlueTrend4
3.40%
12.02%
$7,600M
Campbell & Company5
4.20%
7.82%
$345M
Chesapeake Capital6
10.95%
3.68%
$777M
Clarke Capital7
-5.04%
-1.20%
$12M
Drury Capital8
4.10%
-3.72%
$272M
Dunn Capital9
8.22%
29.12%
$285M
Eckhardt Trading10
3.87%
14.17%
$390M
EMC Capital11
6.87%
1.05%
$180M
Hawksbill Capital12
5.14%
51.05%
$83M
Hyman Beck & Co.13
5.95%
0.27%
$470M
JWH & Co.14
-0.17%
13.70%
$26M
Man AHL Diversified15
6.40%
14.00%
$1,314M
Millburn Ridgefield16
2.66%
9.51%
$1,069M
Rabar Market Research17
5.19%
15.49%
$178M
Saxon Investment18
2.92%
5.82%
$21M
Superfund19
5.49%
4.65%
N/A
Tactical Investment Mgt20
18.20%
39.81%
$54M
Transtrend21
3.91%
11.81%
$5,669M
Winton Capital22
2.52%
12.59%
$15,680M

 

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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.
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. Tactical Investment Management was founded by David Druz, a student of Ed Seykota.
21. Transtrend is a Trend follower CTA based in Netherlands
22. 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 ↓

  • Robert

    Hi Jez,

    Excellent Excellent website. I have read all the turtle books and and own TradingBlox. Two questions,

    1) Its seems trend trading works better on indices
    2) Michael Covel has a lot of courses and very expensive. Do you know if they contain more info than the books I have read?

    Kind regards
    Rob

  • Jez Liberty

    Thank you thank you Bob… ;-)
    1) better than?… Individual stocks? Not really sure about that. I have not done much analysis on individual stocks but have not noticed a difference between stock indices and commodities/currencies, etc. in the futures world. I also seem to recall a part in Curtis Faith’s book (Way of the Turtle) where he supports the opposite view (this is from memory so I might be wrong), stating that indices are aggregate and therefore exhibit less of a behaviour of their own like individual markets. Check the book to be sure – but testing is the real answer I suppose (although it could also be a random effect…!). BlackStar Funds have had some success with trading TF on stocks. Their paper is pretty interesting: link
    2) No idea about Mike Covel’s courses. I would hope that they are more “practical” than the books (which I enjoyed reading – but no real information on how to build a system). They do seem expensive to me though… And I am not sure you would get more than what you can on the TB forum. Let me know if you find out…
    Best,
    ~Jez

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