Systematic Trading research and development, with a flavour of Trend Following
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Trend Following Wizards

January 20th, 2014 · No Comments · Fund Review, Trend Following, Trend Following Wizards

—- Latest Results further below —-

On this page I track the monthly results of the top CTAs/Managed Futures funds in the Trend Following space:

  • 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, John W Henry, 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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Latest Results (December 2016)

The Trend Following Wizards closed the year with small gain for December (+0.17%) but with an overall negative performance (-2.42%). The individual results show a wide dispersion, ranging from double-digit losses (worse at -27.50%) to double-digit gains (best at +11.57%).

Below are the full results as of end December 2016:

Organisation / Fund Return YTD * AUM **
Abraham Trading1
+0.21%
+1.22%
$203M
Altis Partners2
-5.61%
-27.50%
$192M
Aspect Capital3
-0.15%
-9.16%
$4,057M
Beach Horizon4
-1.50%
-0.10%
$105M
Campbell & Company5
+0.54%
-10.07%
$3,595M
Chesapeake Capital6
-0.97%
-3.92%
$174M
Clarke Capital7
-0.25%
-9.69%
$9M
Covenant Cap. Mgt.8
+0.69%
-1.33%
$19M
Drury Capital9
+0.86%
-2.26%
$232M
Dunn Capital10
+2.17%
-5.39%
$557M
Eckhardt Trading11
+3.69%
+6.00%
$266M
EMC Capital12
-0.89%
-13.81%
$66M
Estlander & Partners13
+1.40%
-1.55%
$193M
Graham Capital14
-1.26%
-8.32%
$2,560M
Hawksbill Capital15
+1.57%
+0.07%
$54M
Hyman Beck & Co.16
+1.50%
+4.47%
$175M
ISAM17
-1.55%
-12.18%
$1,800M
Lynx Asset Mgt18
+0.05%
-4.16%
$5,190M
Man AHL Diversified19
+1.58%
-7.55%
$689M
Mark J. Walsh & Co.20
+0.01%
+1.69%
$59M
Millburn Ridgefield21
+1.20%
+11.57%
$1,608M
Mulvaney Capital22
-5.05%
-1.81%
$200M
Quantica Capital23
+2.50%
+7.72%
$419M
Rabar Market Research24
+1.63%
-0.07%
$59M
Sunrise Capital25
-0.65%
+1.56%
$697M
Tactical Investment Mgt26
-0.96%
+8.50%
$52M
Transtrend27
+2.61%
+7.65%
$4,301M
Winton Capital28
+1.50%
+0.69%
$32,100M
Summary Figures***
+0.17%
-2.42%
$59,631M

 

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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 – Campbell & Company is one of the oldest Trend Following firms, operating for around 4 decades.
Program tracked: Global Diversified Large.

6 – Chesapeake Capital was founded by Jerry Parker, a former Turtle.
Program tracked: Diversified Program.

7 – Clarke Capital was founded by Michael Clarke in 1993.
Program tracked: Millenium Program.

8 – Covenant Capital is a CTA from Nashville. Program tracked: Aggressive 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 – Hawksbill Capital was founded by Tom Shanks, a former Turtle.
Program tracked: Global Diversified Program.

16 – Hyman Beck & Co. main principals are Alexander Hyman and Carl Beck.
Program tracked: Global Portfolio.

17 – 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

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

19 – 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

20 – 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.

21 – Millburn Ridgefield have been trading Trend Following models since the early 1970’s.
Program tracked: Diversified Program.

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

23 – Program tracked: Managed Futures Program

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

25 – 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

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

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

28 – 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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