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Trend Following Wizards in September 2010

October 18th, 2010 · 2 Comments · Trend Following, Trend Following Wizards

Another good month for the Trend Following Wizards with mostly positive performances and an average monthly performance of +4.39%.

The average YTD gain is now 6.48%, and a wizard is standing out with +43.70% so far, at the back of a few strong months.

Note that I have added a new Wizard to this list: David Druz and his Tactical Investment Mgt CTA. Druz is a student of Ed Seykota; he is not a top CTA in terms of AUM (he is quite far off the likes of Winton or BlueTrend, managing billions), but the fact that he is running his operations out of Hawaii, where he devotes a large part of his time to the practice of windsurf and yoga makes it different and interesting to follow.

Please find below all individual results for September 2010:

Organisation / Fund Return YTD * AUM **
Abraham Trading1
4.63%
-1.89%
$451M
Altis Partners2
2.98%
5.23%
$1,458M
Aspect Capital3
0.58%
6.25%
N/A
BlueTrend4
4.98%
8.34%
$6,900M
Campbell & Company5
4.65%
3.48%
$321M
Chesapeake Capital6
8.81%
-6.54%
$691M
Clarke Capital7
-3.50%
4.09%
$14M
Drury Capital8
4.53%
-7.21%
$260M
Dunn Capital9
-1.44%
19.31%
$246M
Eckhardt Trading10
5.11%
9.94%
$345M
EMC Capital11
6.30%
-5.36%
$169M
Hawksbill Capital12
8.99%
43.70%
$78M
Hyman Beck & Co.13
7.44%
-5.07%
$445M
JWH & Co.14
-3.59%
10.77%
$26M
Man AHL Diversified15
0.70%
7.20%
$1,274M
Millburn Ridgefield16
N/A
2.64%
$1,020M
Rabar Market Research17
9.27%
9.80%
$171M
Saxon Investment18
3.40%
2.82%
$21M
Superfund19
3.74%
-0.79%
N/A
Tactical Investment Mgt20
20.05%
18.35%
$47M
Transtrend21
3.59%
7.60%
$5,257M
Winton Capital22
0.93%
9.81%
$14,570M

 

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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. As they report performance figures one month later, last month performance is not reported in this report and their YTD, AUM stats are from the month before.
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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2 Comments so far ↓

  • John

    I would love to see you track Graham Capital on here as well.

  • Jez Liberty

    John – I would also like to – but they do not make their performance data available on the sources I check for this report.
    Do you have any link/access, etc?
    Cheers,
    Jez

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