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Trend Following Wizards – May (CORRECTED)

June 19th, 2012 · 5 Comments · Trend Following, Trend Following Wizards

—– UPDATE: The post initially came out with the wrong results/table. Here is the correct/updated version (thanks to readers Martin and Grotaiche, who quickly alerted me of this error) —-

As could have been expected from the last state of Trend Following report, this month is globally very positive for the Trend Following Wizards. The collective performance is over 6% for the month, which brings 2012 into positive territory. There also has been some outsized returns: 46% for Clarke Capital, 20% for EMC…

Another interesting observation is the variation between the fund monthly returns (ranging from -4% to 46%). Recall how the state of Trend Following report seemed to derive most of its positive performance from shorter-term systems last month. I would posit that May’s return is most likely correlated to the main trading horizon/timeframe for each fund to some degree.

Check the full results further below:

Organisation / Fund Return YTD * AUM **
Abraham Trading1
5.72%
0.20%
$492M
Altis Partners2
0.85%
-0.37%
$1,304M
Aspect Capital3
0.91%
2.56%
$6,985M
Beach Horizon4
6.85%
-1.66%
$960M
BlueTrend5
1.05%
1.73%
$14,736M
Campbell & Company6
4.90%
8.72%
$423M
Chesapeake Capital7
-3.91%
-5.85%
$767M
Clarke Capital8
46.47%
51.10%
$49M
Drury Capital9
-0.21%
7.76%
$407M
Dunn Capital10
7.69%
-1.09%
$317M
Eckhardt Trading11
8.14%
10.45%
$533M
EMC Capital12
19.60%
24.67%
$117M
Graham Capital13
-0.53%
1.52%
$3,454M
Hawksbill Capital14
16.13%
13.47%
$111M
Hyman Beck & Co.15
1.25%
-6.91%
$433M
JWH & Co.16
16.39%
-4.84%
$125M
Man AHL Diversified17
0.33%
-3.34%
$15,000M
Mark J. Walsh & Co.18
10.75%
4.48%
$123M
Millburn Ridgefield19
2.35%
-2.89%
$895M
Rabar Market Research20
7.88%
5.97%
$267M
Saxon Investment21
-0.61%
-1.01%
$195M
Sunrise Capital22
-4.00%
-6.50%
$404M
Tactical Investment Mgt23
-0.63%
-6.82%
$98M
Transtrend24
7.53%
10.83%
$8,163M
Winton Capital25
-0.17%
-0.93%
$29,080M
Summary Figures***
6.19%
4.05%
$85,438M

 

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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 succesful 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 – JWH & Co. was founded by John W. Henry, now also owner of the Boston Red Sox.
Program tracked: Global Analytics.

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 acquirs AHL (1989-1994) to form Man AHL: the systematic trading division of the Man group.
Program tracked: Man AHL (USA) Diversified Managed Account Program.

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: Expanded Diversified Program.

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, John W Henry, 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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5 Comments so far ↓

  • Grotaiche

    Is it me or are the results different from what you state in your introduction ? For example, I don’t see EMC at +20% but rather +2.02%. Also, overall return is +0.6% not +6% and 2012 is far from being positive overall.

    Again, I might have misread or misunderstood but I thought I’d mention this in the comments just in case.

    Thanks for the reports anyway :)

  • Martin

    Hey Jez

    Sure you put the right table?

    Regards,
    Martin

  • Jez Liberty

    Sure I did NOT put the right table!! ;-)
    Thanks very much for alerting me quickly about this Martin and Grotaiche. The post should be updated correctly now.
    Jez

  • soso

    Hi,

    Anyone know a place to hang out like the former free traders roundtable? They closed it for good for existing users only which were not customers of their application.

    Thanks

  • Jez Liberty

    soso – Unfortunately the only one that comes to mind is EliteTrader and it is truly awful compared to the TB forum.
    That’s a real shame and somehow I’d feel here might be a good place to start a replacement.. But I do not really have the extra capacity to manage a forum (which as I understand is one of the main reasons it was closed by the TB guys..)

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