Welcome to my online repository of research and insights on automated trading system development
Excellent month for Trend Following Wizards: all are in the black with a 6.75% monthly gain on average!
It has been two months in a row that the Trend Following wizards exhibit very strong correlated results, which tends to reinforce the opinion that all trend following CTAs are not so different – except in terms of leverage.
Here are the results for November for the Trend Following Wizards that are being tracked (you can always find the latest update on the Trend Following Wizards page). Feel free to add your suggestions for addition of new ones in the comments or by email.
| Organisation / Fund | Return | YTD * | AUM ** |
|---|---|---|---|
| Abraham Trading1 |
1.50%
|
-1.70%
|
$494M |
| Aspect Capital2 |
5.84%
|
-5.78%
|
$N/AM |
| Chesapeake Capital3 |
4.15%
|
-2.36%
|
$865M |
| Clarke Capital4 |
13.46%
|
-21.07%
|
$22M |
| Drury Capital5 |
6.48%
|
8.95%
|
$159M |
| Dunn Capital6 |
11.00%
|
5.59%
|
$240M |
| Eckhardt Trading7 |
6.83%
|
1.30%
|
$473M |
| EMC Capital8 |
3.83%
|
-13.53%
|
$217M |
| Hawksbill Capital9 |
21.13%
|
-0.78%
|
$60M |
| Hyman Beck & Co.10 |
2.54%
|
5.40%
|
$468M |
| JWH & Co.11 |
4.72%
|
-11.58%
|
$20M |
| Man AHL Diversified12 |
2.10%
|
-10.80%
|
$1,537M |
| Millburn Ridgefield13 |
N/A
|
-12.80%
|
$1,084M |
| Rabar Market Research14 |
7.09%
|
7.51%
|
$229M |
| Saxon Investment15 |
2.35%
|
10.57%
|
$13M |
| Superfund16 |
14.99%
|
-17.62%
|
$N/AM |
| Transtrend17 |
2.11%
|
-6.81%
|
$5,070M |
| Winton Capital18 |
5.12%
|
-2.23%
|
$N/AM |
 |
Notes
* YTD: Year-To-Date performance.
** AUM: Assets Under Management.
1. Abraham Trading was founded by Salem Abraham, a former 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. Millburn Ridgefield Principals: Harvey Beker, George E. Crapple, Mark Fitzsimmons, Barry Alan Goodman, Kenneth P. Pearlman and Grant Norman Smith.
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).
That’s very interesting. Yes, I would agree that most trend following strategies are going to perform similarly.
As the economy becomes more volatile, we should see trend following strategies do better.
Hi Jez,
Just a correction, Salem Abraham from my understanding is not a former Turtle.
He was taught by Jerry Parker, so because of this, some have referred to Abraham as a second generation turtle. But he wasn’t a Turtle under the tutelage of Dennis and Eckhardt.
Parker is an investor in Abraham Trading.
Nizar.
Hey Nizar,
Thanks for the correction! I have updated the site accordingly.
Jez