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Trend Following Wizards – November

December 27th, 2018 · No Comments · Trend Following, Trend Following Wizards

Slightly positive month for the Trend Following Wizards index, but with the YTD number clearly in the red.

This month sees a couple changes in the Trend Following Wizards constituents. A few funds were removed, mostly because they stopped trading / reporting.

Altruid Systems was added to the list. A couple of funds also didn’t have their performance updates available until now, hence the late publishing of this month’s report.

Altruid were founded over 15 years ago and have recently launched a Professional Investment Fund offering a managed futures / trend following quantitative systematic strategy that aims to achieve an excellent long-term yield/risk ratio and to target a two digit net return for the investor. The new fund directly benchmarks against the Top 20 CTA´s (SG CTA Index) and is running the Altruid Hybrid strategy. It should markedly outperform (targeting double the return) the award-winning UCITS fund Altruid have been running using the same strategy – with a 9-year track record – thanks to better diversification and lower fees.

The Altruid Hybrid strategy is a combination of short-term, medium-term and long-term systems traded over a diversified portfolio. One of the most interesting and key aspects of the overall strategy is the master allocator strategy, which leverages the expertise Altruid have developed since their inception, to implement market adaptability. The master strategy constantly monitors the changing market conditions to dynamically allocate to sub-systems/strategies that are statistically more likely to generate higher reward/risk trades. This has been a significant source of profit in the track record for the manager.

Since launching the new fund, Altruid have slightly outperformed the SG CTA Index.

The fund is exchange-listed, well-regulated, liquid investment class. It benefits from the “small fund effect” (typically has the potential to outperform large funds), and as a managed future strategy is optimal for portfolio diversification, with almost no correlation to traditional investment forms. Check the Altruid website (www.altruid-hybrid.com or www.altruid.com) for more information.

As part of the launch, Altruid offer potential investors that are readers of the blog reduced fees on the subscription charge and direct management contact. Contact me for more details.

Below are the full results as of end November 2018:

Organisation / Fund Return YTD * AUM **
Abraham Trading1
-1.95%
-14.55%
$261M
Altis Partners2
+5.94%
-2.76%
$151M
Altruid Systems3
+1.22%
-3.67%
$15M
Aspect Capital4
-2.04%
-13.86%
$3,389M
Beach Horizon5
-0.03%
-14.04%
$77M
Campbell & Company6
-0.50%
-8.92%
$2,876M
Chesapeake Capital7
-0.81%
-4.52%
$210M
Clarke Capital8
N/A
N/A
N/A
Drury Capital9
+1.82%
-7.06%
$224M
Dunn Capital10
-5.85%
-23.03%
$498M
Eckhardt Trading11
-0.84%
+3.31%
$152M
EMC Capital12
+0.88%
-3.34%
$24M
Estlander & Partners13
+1.01%
-3.50%
$95M
Graham Capital14
-2.24%
-7.54%
$2,022M
ISAM15
-1.36%
-20.44%
$3,260M
Lynx Asset Mgt16
+0.10%
-4.13%
$1,980M
Man AHL Diversified17
-0.82%
-8.53%
$1,700M
Mark J. Walsh & Co.18
+2.50%
+8.36%
$36M
Millburn Ridgefield19
+1.38%
+0.12%
$3,741M
Mulvaney Capital20
+15.60%
+2.13%
$153M
Quantica Capital21
+1.80%
-6.39%
$468M
Rabar Market Research22
N/A
N/A
N/A
Sunrise Capital23
-5.07%
-14.75%
N/A
Tactical Investment Mgt24
+3.56%
+1.51%
$64M
Transtrend25
-1.36%
-6.37%
$3,346M
Winton Capital26
+2.59%
+2.21%
$25,500M
Summary Figures***
+0.65%
-6.24%
$50,242M

 

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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. 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 – Altruid Systems Limited is a systematic quantitative trading software developer founded in 2003 by Thomas Goldvinger and running trend following strategies. Program tracked: Altruid Hybrid (PIF).

4 – 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.

5 – 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.

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 – Estlander is a Finnish CTA, founded by Martin Estlander. Program tracked: Alpha Trend.

14 – Graham Capital was founded in 1994 by Ken Tropin, previously a Director of JWH.
Program tracked: K4-D10.

15 – 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

16 – Lynx Asset Management is a multi-billion CTA out of Sweden. Program tracked: Lynx Program

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 – Mulvaney Capital Management was founded in 1999 by Paul Mulvaney and focuses on long-term trend following.
Program tracked: Mulvaney Global Markets

21 – Program tracked: Managed Futures Program

22 – Rabar Market Research is the company of Paul Rabar, a former Turtle.
Program tracked: Diversified Program.

23 – 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

24 – Tactical Investment Management was founded by David Druz, student of Ed Seykota.
Program tracked: Institutional Commodity Program.

25 – Transtrend is a Trend follower CTA based in Netherlands.
Program tracked: DTP – Enhanced Risk (USD).

26 – 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 some 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.

 
Several 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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