Welcome to my online repository of research and insights on automated trading system developmentIn order to progress, I believe you need to measure yourself against a benchmark or your competition…
What best than to track the best competition around?
As my primary goal is to build a systematic trend following system, every month I will follow and report the performance of Trend Following Wizards.
These are top of the range CTAs/Managed Futures funds in the Trend Following space and have been set up by outstanding traders.
Most of these traders 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.
Please note that you can access or bookmark the Trend Following Wizards performance static page, which is always updated with the latest information and is also reachable from the resouces page.
Performance as of end September 09:
| Organisation / Fund | Return | YTD * | AUM ** |
|---|---|---|---|
| Abraham Trading1 |
0.03%
|
-2.12%
|
$442M |
| Aspect Capital2 |
2.05%
|
-7.74%
|
N/A |
| Chesapeake Capital3 |
3.25%
|
-1.60%
|
$852M |
| Clarke Capital4 |
6.42%
|
-20.53%
|
$29M |
| Drury Capital5 |
1.53%
|
6.03%
|
$124M |
| Dunn Capital6 |
3.16%
|
-5.08%
|
$226M |
| Eckhardt Trading7 |
2.28%
|
-0.42%
|
$480M |
| EMC Capital8 |
0.22%
|
-15.04%
|
$217M |
| Hawksbill Capital9 |
5.61%
|
-15.32%
|
$50M |
| Hyman Beck & Co.10 |
1.64%
|
4.74%
|
$463M |
| JWH & Co.11 |
1.97%
|
-13.00%
|
$19M |
| Man AHL Diversified12 |
2.70%
|
-11.90%
|
N/A |
| Millburn Ridgefield13 |
Mising
|
Missing
|
Missing |
| Rabar Market Research14 |
3.93%
|
-0.53%
|
$204M |
| Saxon Investment15 |
1.64%
|
8.36%
|
$59M |
| Superfund16 |
3.77%
|
-19.23%
|
N/A |
| Transtrend17 |
-0.68%
|
-4.21%
|
$72M |
| Winton Capital18 |
2.85%
|
-5.50%
|
$13,700M |
 |
Notes
* YTD: Year-To-Date performance.
** AUM: Assets Under Management.
1. Abraham Trading was founded by Salem Abraham, a former Turtle.
2. 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)
3. Chesapeake Capital was founded by Jerry Parker, a former Turtle.
4. Clarke Capital was founded by Michael Clarke in 1993.
5. Drury Capital, Inc., was founded in Illinois in 1992 by Mr. Bernard Drury.
6. Dunn Capital was founded by Bill Dunn.
7. Eckhardt Trading is the firm managed by William Eckhardt, who co-led the Turtle experiment with Richard Dennis
8. EMC Capital was founded by Liz Cheval, a former Turtle.
9. Hawksbill Capital was founded by Tom Shanks, a former Turtle.
10. Hyman Beck & Co. main principals are Alexander Hyman and Carl Beck.
11. JWH & Co. was founded by John W. Henry, Owner of the Boston Red Sox.
12. 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.
13. Millburn Ridgefield have been trading Trend Following models since the early 1970’s. Millburn Ridgefield Principals: Harvey Beker, George E. Crapple, Mark Fitzsimmons, Barry Alan Goodman, Kenneth P. Pearlman and Grant Norman Smith.
14. Rabar Market Research is the company of Paul Rabar, a former Turtle.
15. Saxon Investment was founded by Howard Seidler, a former Turtle.
16. Superfund founder and CEO: Christian Baha.
17. Transtrend is a Trend follower CTA based in Netherlands
18. Winton Capital is a London-based CTA founded by Dave Harding (also co-founder of AHL).
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