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Trend Following Wizards – November 2010

December 14th, 2010 · No Comments · Trend Following, Trend Following Wizards

In line with the State of Trend Following report, most of the Wizards have ended the month in the red in November

The average monthly return stands at -3.3%, which brings the YTD performance to +8.41%.

Here are the individual results for last month – only one positive number:

Organisation / Fund Return YTD * AUM **
Abraham Trading1
-1.62%
0.12%
$456M
Altis Partners2
-3.71%
5.52%
$1,470M
Aspect Capital3
-2.18%
7.32%
N/A
BlueTrend4
-2.97%
8.69%
$7,900M
Campbell & Company5
N/A
N/A
N/A
Chesapeake Capital6
-6.10%
-2.65%
$724M
Clarke Capital7
-11.69%
-12.77%
$15M
Drury Capital8
-4.20%
-7.74%
$262M
Dunn Capital9
-8.73%
17.84%
$250M
Eckhardt Trading10
-2.59%
10.94%
$383M
EMC Capital11
-0.15%
0.83%
$172M
Hawksbill Capital12
-6.64%
41.04%
$75M
Hyman Beck & Co.13
-4.92%
-4.69%
$449M
JWH & Co.14
-5.18%
5.20%
$25M
Man AHL Diversified15
-6.60%
6.50%
$1,175M
Millburn Ridgefield16
-2.57%
6.69%
$1,026M
Rabar Market Research17
-2.42%
12.73%
$162M
Saxon Investment18
-0.84%
4.86%
$22M
Superfund19
-2.72%
1.81%
N/A
Tactical Investment Mgt20
9.44%
53.09%
$60M
Transtrend21
-0.82%
10.89%
$5,608M
Winton Capital22
-2.00%
10.33%
$16,020M

 

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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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