Systematic Trading research and development, with a flavour of Trend Following
Au.Tra.Sy blog – Automated trading System header image 2

Trend Following Wizards – March 2010

April 14th, 2010 · 4 Comments · Fund Review, Trend Following Wizards

Follow the Trend Following Wizards updates with the dedicated monthly feed. You can either access it via RSS or by subscribing by email

A bit of a happier month for Trend Followers with an average gain of 3.7% and even a double-digit return for Superfund (enhanced return/leveraged fund). Once again, the results are in line with the findings of our Trend Following benchmark (which had an average gain of 2.2% for March).

The YTD results are right on the 0% mark.

Full results for March 2010 below:

Organisation / Fund Return YTD * AUM **
Abraham Trading1
1.38%
0.15%
$510M
Aspect Capital2
2.91%
2.34%
N/A
Chesapeake Capital3
6.44%
2.63%
$730M
Clarke Capital4
-3.84%
-6.68%
$21M
Drury Capital5
6.10%
-1.88%
$191M
Dunn Capital6
9.74%
6.56%
$207M
Eckhardt Trading7
0.51%
-7.49%
$313M
EMC Capital8
6.10%
-6.52%
$185M
Hawksbill Capital9
-1.23%
4.13%
$54M
Hyman Beck & Co.10
-1.05%
-6.35%
$433M
JWH & Co.11
-1.27%
-2.61%
$26M
Man AHL Diversified12
5.00%
1.80%
$1,352M
Millburn Ridgefield13
1.62%
-0.67%
$1,060M
Rabar Market Research14
5.91%
-1.59%
$200M
Saxon Investment15
1.17%
0.74%
$13M
Superfund16
14.13%
5.71%
N/A
Transtrend17
8.18%
5.18%
$4,855M
Winton Capital18
4.93%
4.54%
$4,300M

 

Get posts by RSS

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.
 
 
 
 

Related Posts with Thumbnails

Tags: ························

4 Comments so far ↓

  • Erik

    I enjoy reading your summaries – thanks for posting them. Which specific SuperFund are you tracking (the closed Superfund Q-AG)? They market country-specific funds (probably for regulatory reasons), and several variants within each country, and some have some closed funds. It might be worth noting the exact one you track in the footnotes. SuperFund seems to promote the funds with recent good performance, which bothers me. Are all of your numbers before or after fees? SuperFund charges astronomical fees last I looked such from 4.75% up to 10+% annually plus a 20-25% monthly performance fee (instead of the standard 1-2% and 20%)! Even though their long term returns are fairly good for the main fund, they are just the type of company I would want to avoid doing business with. See some details here, such as the large hidden transaction costs they have charged, Baha’s background, etc.:
    http://www.businessweek.com/magazine/content/06_10/b3974093.htm
    http://www.bloomberg.com/apps/news?pid=20601109&sid=a_5cgtvQXuB0

    All this said, for your purposes, they probably serve as a good benchmark, so no complaints there.

  • Jez

    Erik – thanks for the links!

    All the funds tracked here should be after fees – and the one I’m tracking for Superfund is the Q-AG one (ISIN: AT0000979794). The fees for that fund (advertised on the website are 0.4/20)

  • Erik

    One thing to note is that the Q-AG apparently has a 4.5% front load (called a subscription fee or (incorrectly) bid/ask spread in their literature) and the 0.4% management fee is per month, instead of the usual 1-2% per year, so the annualized management fee is effectively over 4.8%, or usually over 10% if you include the front load and other brokerage fees.

    The fees differ for their other funds. The open US funds that were being sold as of mid-2009 (Quadriga Superfund, L.P. Series A/B) can go up over 10% in total fees. I got a full prospectus from a friend they were trying to sell to and my calculated numbers agreed with the press reports of similar total fees (see my links). They advertised the US management fee as 1.85% and 25%, but they didn’t include the significant brokerage fees (~3.75% per year – I’m sure they get huge kickbacks at that rate!), loads/commissions, offering expenses, and they apparently keep your earned interest, etc.

    On the plus side, unlike a lot of hedge funds, they have monthly liquidity.

  • Jez

    Yikes! This sounds crazy (I stand corrected on the 0.4% per month!)
    I think funds usually try to get away with as much as they can charge but this sounds just ridiculous… You would think that a market economy and the commoditization of Trend Following / betafication of alpha would prevent such excess, but there is still a long way to go it seems…
    Anyway, as you say for the sake of the benchmark, this is good enough I suppose.

Leave a Comment