Systematic Trading research and development, with a flavour of Trend Following
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Trend Following Wizards – December 09

January 18th, 2010 · 4 Comments · Fund Review, Trend Following, Trend Following Wizards

Not a good year for Trend Followers! Closing December with a performance of -4.37% on average, most funds we follow “saw red” in 2009 (-7.3% on average). Well, this is part of the game: you have to risk (and lose) some to make some…
Even the “mammoth” funds that are Man or Transtrend finished the year in double digits negative territory.

With no further ado, here is the last Trend Following Wizards update for 2009:

Organisation / Fund Return YTD * AUM **
Abraham Trading1
Aspect Capital2
Chesapeake Capital3
Clarke Capital4
Drury Capital5
Dunn Capital6
Eckhardt Trading7
EMC Capital8
Hawksbill Capital9
Hyman Beck & Co.10
JWH & Co.11
Man AHL Diversified12
Millburn Ridgefield13
Rabar Market Research14
Saxon Investment15
Winton Capital18


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* 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).

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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4 Comments so far ↓

  • Jimmy

    Thanks for the informative blog. Check out QIM, They’re not pure trend following, but manage over $6B and were up ~11% in 2009 for their flagship program.

  • MarketSci

    Jez – we talked about this before, but I just don’t understand how these trend-followers did so uniformly badly. 2009 was a tremendous opportunity for trend-followers to outperform. Everything (not just equities) went one way for a few months and then shifted and went the other way for the remainder of the year…in other words, there was no chop.

    I just can’t wrap my head around this…any thoughts?

  • Milktrader

    Did you compile this list yourself or is there a service that tracks this data? If I’m not mistaken, 2008 was a stellar year for many CTAs and it seems 2009 had similar large standard deviation price action so I’m a bit surprised by the under-performance.

  • Jez

    It is quite counter-intuitive indeed that 2009 proved to be a bad year for trend followers where it appeared that all markets trended very well… I have not done any detailed post-mortem analysis (yet…)

    My assumption so far is that trend following can be geared to look at many different trend lengths which determine how you get affected by noise/reversals (and the resulting losses). Possibly CTA are trying to capture shorter-term trends and got caught up in “chops” at that level – whereas there did not seem to be any chops at a higher timeframe (e.g. MA Golden Cross 200/50).

    This post-mortem is probably a good idea for a future post… This is also one of the main reasons why I want to create a State of Trend Following report (I know I keep talking about it!.. It’ll be there, one day, soon). That report would have a few standard trend following strats, run with different trend/parameter lengths. This would hopefully give us more explanation as to why/how/where trend following CTAs produce the returns they do.

    I have to admit that I was not following these performances so closely before I started the blog in September last year.
    However, I remember that back in November and December I could anticipate correctly (after the facts, ie after the month was over but before I checked performances) how the performance would roughly turn out, for example November had a big upside breakout for Gold and many related markets (and November was widely positive for these funds) while that trend reversed in December (which was pretty negative). Whereas if you look at a wider scale/larger timeframe, Gold has been going up most of the year… (giving away that I am bit of a Gold bug on the discretionary side of things ;-)

    @milk – yes, I compiled that list myself based on all the prominent trend followers I have come across and whether I could find their reporting. For actual performance reporting I get the figures from the funds website or AutumnGold CTA database when available (example for Abraham Trading)

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