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Trend Following Wizards: New Top 25 – March’12

April 18th, 2012 · 8 Comments · Trend Following, Trend Following Wizards

I have been hinting at a review of the list of Trend Following Wizards for a few months. Well it’s here!

Remodeling of the Trend Following Wizards Index

No major change, this is more of a “remodeling”: I wanted to make sure that the list lives up to its billing of “Trend Following Wizards” and contains mostly “legends and dinosaurs” in this Alternative Investments space.

You’ll find further below the “new” 25 constituents who offer:

  • 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.

Actual Changes

In terms of actual changes, the only addition is Graham Capital, a multi-billion dollar manager, founded by Ken Tropin (ex-JWH President and CEO).

A few managers have also been removed from the list: SuperFund (or is it SuperFees?), and a couple of emerging managers that were added a few months ago (sorry Acorn and Auspice Capital). I did not feel these three really fit the “Trend Following Wizards” billing (an idea supported by some reader feedback).

The rest of the list does not change
. As before, only one program per manager is tracked (performance and AUM reported for that program only). This can sometimes represent a large difference compared to firm-wide numbers, especially for those managers with multiple different programs. I did however try to pick the “flagship”/more representative program for each manager (in terms of track record length, AUM, etc.). Note a change in program tracked for Man AHL: from Diversified Futures Ltd to Man AHL (USA) Diversified Managed Account Program, which gives a much better representation of Man AHL AUM.

The summary numbers of the table now show a total sum of AUM for the whole list.

I have also gathered additional sources for some funds. This should hopefully enable me to publish the results earlier in the month and include all managers in this Top 25 list of Trend Following Wizards.

Keeping updated

Finally, to avoid having to check the blog and to be notified as soon as the results are online: (if you have not already) you can subscribe to the Trend Following Wizards monthly update by email or RSS:

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March Performance

Back to regular business: let’s check what sort of numbers this refreshed list posted for March 2012.

And, as you can see below, this is mostly dominated by red readings. Only a handful of managers posted positive returns with less than a third of the list in positive territory for 2012.

Organisation / Fund Return YTD * AUM **
Abraham Trading1
-4.15%
-6.62%
$470M
Altis Partners2
-1.13%
-1.86%
$1,330M
Aspect Capital3
-2.62%
0.75%
$6,697M
Beach Horizon4
-3.36%
-7.76%
$877M
BlueTrend5
-4.87%
-2.92%
$14,022M
Campbell & Company6
-2.90%
2.76%
$395M
Chesapeake Capital7
0.72%
-4.11%
$775M
Clarke Capital8
1.06%
2.26%
$33M
Drury Capital9
2.87%
8.27%
$410M
Dunn Capital10
-2.96%
-10.62%
$298M
Eckhardt Trading11
-2.83%
0.14%
$483M
EMC Capital12
-3.38%
3.63%
$105M
Graham Capital13
-1.08%
1.44%
$3,584M
Hawksbill Capital14
-5.44%
-1.99%
$90M
Hyman Beck & Co.15
-3.81%
-6.33%
$437M
JWH & Co.16
-3.81%
-17.26%
$112M
Man AHL Diversified17
-3.87%
-3.42%
$19,600M
Mark J. Walsh & Co.18
-3.42%
-6.07%
$114M
Millburn Ridgefield19
-2.75%
-6.45%
$901M
Rabar Market Research20
-4.91%
-1.44%
$267M
Saxon Investment21
-0.07%
-0.01%
$186M
Sunrise Capital22
1.92%
-1.57%
$665M
Tactical Investment Mgt23
-5.44%
-7.17%
$101M
Transtrend24
-0.89%
2.51%
$7,496M
Winton Capital25
-0.69%
-0.86%
$28,840M
Summary Figures***
-2.31%
-2.59%
$88,288M

 

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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 experience, these managers collectively represent the majority of Assets managed in this sector.

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8 Comments so far ↓

  • RB

    I like that the wizard index follows established firms. I noticed that Paul Mulvaney is missing ? I think he is a more long term trend follower than most and is in your neck of the woods.

  • Jez Liberty

    RB – Thanks for the feedback and suggestion. I did hesitate on including Mulvaney – and this is definitely an arbitrary decision…
    The reasoning is that I wanted to restrict the list to either CTAs with a multi-decade-long connection with Trend Following (track record, involvement with other firms, etc.) or the ones you cannot really ignore as they are so big (Transtrend, etc.). That’s the reason behind the addition of Graham (+ the fact that I recently found a reporting source for them), but the main focus of this reshuffle was more to _remove_ (CTAs that are not really “Wizards”) than to add. And I liked the fact that it was a round number (i.e. Top 25).

    But I am open to changes and if other readers signal that it makes more sense to include Mulvaney in the index, this might swing it.

  • Praetorian

    Hi Jez,

    I would suggest you have a look at Covenant, they are pure Long Term Trend Followers, around 500 million AUM and more than 10 year track record, it seems they would qualify under your criteria. In addition their aggressive program has the best performance/risk profiles of all the biggish trend followers (MAR>1).

  • Jez Liberty

    Thanks for the suggestion Praetorian. What I’ll probably end up doing is maintain a list of potential additions (with those two mentioned above for example) to keep for the next review of the list.
    Cheers – Jez

  • René

    Hi Jez

    Thanks for your interesting work, which I always follow.

    Question: what do you think of the “Omega ratio” as a performance measure? I dit not know until recently

  • Jez Liberty

    It’s only recently that I have heard about the Omega ratio (from CSS Analytics blog). The concept sounds good and I have added it on my (ever-growing) list of stuff to check out.

    There are so many different formulas to evaluate how good a system is though.. Probably one for every trader out there!

  • Kim

    You are missing the legend: ISAM

  • Jez Liberty

    @Kim: indeed! I’ll add them on the list for the next review too. Thanks for the tip!
    @Larry: no distinction with regards to whom the programs are available to (some of the programs are even closed to new investments if I am not mistaken).

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