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Trend Following Wizards – November

December 18th, 2013 · 1 Comment · Trend Following, Trend Following Wizards

November saw the Wizards post a fairly strong positive result and coming close to break-even on a Year-To-Date basis. One month left to finish the year in the black… Unfortunately, it does not look like it’s headed that way. Peeking into the “future” by checking the current value of the Newedge Trend index, which is a decent proxy for this index, December is already showing a fairly strong down figure at -3.82% today (as of 16-Dec – source: Newedge).

The figures for the Wizards are +1.88% for the month and -0.66% for 2013 (to date). See full results below.

Organisation / Fund Return YTD * AUM **
Abraham Trading1
-1.47%
-1.24%
$189M
Altis Partners2
2.74%
-4.69%
$648M
Aspect Capital3
1.99%
-4.45%
$5,738M
Beach Horizon4
0.03%
-6.87%
$447M
BlueTrend5
0.20%
-9.60%
N/A
Campbell & Company6
1.75%
10.53%
$702M
Chesapeake Capital7
8.04%
19.24%
$59M
Clarke Capital8
-4.68%
-24.26%
$21M
Drury Capital9
2.86%
12.31%
$249M
Dunn Capital10
10.00%
28.51%
$350M
Eckhardt Trading11
3.98%
-1.47%
$300M
EMC Capital12
4.71%
-3.70%
$91M
Graham Capital13
4.49%
10.88%
$2,619M
Hawksbill Capital14
-2.84%
-21.46%
$47M
Hyman Beck & Co.15
6.28%
5.23%
$193M
ISAM16
0.81%
-10.71%
$575M
Man AHL Diversified17
0.40%
-2.20%
$1,047M
Mark J. Walsh & Co.18
-1.17%
-10.35%
$78M
Millburn Ridgefield19
0.94%
-4.68%
$791M
Rabar Market Research20
2.26%
-1.62%
$170M
Saxon Investment21
-0.51%
-3.67%
$100M
Sunrise Capital22
2.85%
18.82%
$150M
Tactical Investment Mgt23
-0.11%
-15.65%
$38M
Transtrend24
0.87%
-2.47%
$5,705M
Winton Capital25
2.52%
7.16%
$24,700M
Summary Figures***
1.88%
-0.66%
$45,007M

 

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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 successful 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 – ISAM’s main individuals are Larry Hite and Stanley Fink, both instrumental in the success of MAN AHL. Program tracked: ISAM Systematic Fund Class A

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 acquires AHL (1989-1994) to form Man AHL: the systematic trading division of the Man group.
Program tracked: Man AHL Diversified Plc

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: Sunrise Evolution

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, 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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One Comment so far ↓

  • WmA.

    Looks like Dunn Capitol is cleaning up again…. will be interested to see what Dec. does for them though.

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