Trend Following Wizards: Difficult start of the year

February 21st, 2014 · No Comments · Trend Following, Trend Following Wizards

Tough start of the year for the trend following Wizards, with just two of them posting positive results.. As a result, lots of red in the table.

Additions: New Wizards

Thanks to all the readers who submitted suggestions for additions into the list. I added four new managers, taking the list to 30 constituents:

Covenant Capital Management
Estlander & Partners
Lynx Asset Management
Quantica Asset Management

For each of these, I picked the most “trend-following” oriented program. I received several more suggestions that I checked; some were too “emerging” to be on the list but a good part of the established managers showed too little an allocation to trend following strategies. Some of the big ones having less than 50% allocated to trend following (it could be argued that this is the case for Lynx above, with an advertised allocation to trend following at 50% only, but I still decided to include them because of their very large size, and for a bit of “geographical diversification”).

Checking back the managers already on the list, I could see that this “trend” of adding extra strategies to a core trend following one has been growing and not all of the Wizards have a “good old” traditional 100% allocation to trend following like the Dunn, Chesapeake, Campbell, Mulvaney, etc. (for example, Abraham only lists trend following as 45% of their program – coincidentally they are one of the managers being up last month). As a reader was pointing out, this is probably a reason for the increased divergence in the Wizards performance. Something worth investigating when going over past performance of the Wizards.

Please find the full results for January 2014 below:

Organisation / Fund	Return	YTD ^*	AUM ^**
Abraham Trading¹	2.55%	2.55%	$185M
Altis Partners²	-8.02%	-8.02%	$509M
Aspect Capital³	-5.64%	-5.64%	$5,152M
Beach Horizon⁴	2.00%	2.00%	$62M
BlueTrend⁵	-4.04%	-4.04%	N/A
Campbell & Company⁶	-2.70%	-2.70%	$710M
Chesapeake Capital⁷	-3.27%	-3.27%	$122M
Clarke Capital⁸	-1.37%	-1.37%	$22M
Covenant Cap. Mgt.⁹	-5.68%	-5.68%	$77M
Drury Capital¹⁰	-5.30%	-5.30%	$234M
Dunn Capital¹¹	-4.35%	-4.35%	$312M
Eckhardt Trading¹²	-2.28%	-2.28%	$296M
EMC Capital¹³	-3.20%	-3.20%	$90M
Estlander & Partners¹⁴	-2.98%	-2.98%	$392M
Graham Capital¹⁵	-4.86%	-4.86%	$2,402M
Hawksbill Capital¹⁶	-3.16%	-3.16%	$45M
Hyman Beck & Co.¹⁷	-6.71%	-6.71%	$187M
ISAM¹⁸	-2.55%	-2.55%	$565M
Lynx Asset Mgt¹⁹	-5.29%	-5.29%	$4,793M
Man AHL Diversified²⁰	-2.90%	-2.90%	$913M
Mark J. Walsh & Co.²¹	-6.04%	-6.04%	$71M
Millburn Ridgefield²²	-2.24%	-2.24%	$703M
Mulvaney Capital²³	-1.46%	-1.46%	$164M
Quantica Capital²⁴	-3.30%	-3.30%	$468M
Rabar Market Research²⁵	-2.80%	-2.80%	$107M
Saxon Investment²⁶	-2.30%	-2.30%	$78M
Sunrise Capital²⁷	-4.52%	-4.52%	$150M
Tactical Investment Mgt²⁸	-1.26%	-1.26%	$49M
Transtrend²⁹	-3.25%	-3.25%	$5,339M
Winton Capital³⁰	-2.17%	-2.17%	$23,700M
Summary Figures***	-3.30%	-3.30%	$47,897M

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 – BlueTrend, from BlueCrest Capital, is one of the largest Trend Following funds – headed by Ms. Leda Braga.
Program tracked: BlueTrend Fund Limited.

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 – Covenant Capital is a CTA from Nashville. Program tracked: Aggressive Program

10 – Drury Capital, Inc., was founded in Illinois in 1992 by Bernard Drury.
Program tracked: Diversified Trend-Following.

11 – Dunn Capital was founded by Bill Dunn.
Program tracked: World Monetary and Agriculture (WMA).

12 – Eckhardt Trading is the firm managed by William Eckhardt, who co-led the Turtle experiment with Richard Dennis.
Program tracked: Standard Program.

13 – EMC Capital was founded by Liz Cheval, a former Turtle.
Program tracked: EMC Classic Program.

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

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

16 – Hawksbill Capital was founded by Tom Shanks, a former Turtle.
Program tracked: Global Diversified Program.

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

18 – 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

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

20 – 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

21 – 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.

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

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

24 – Program tracked: Managed Futures Program

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

26 – Saxon Investment was founded by Howard Seidler, a former Turtle.
Program tracked: Aggressive Diversified Program.

27 – 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

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

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

30 – 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.”

Tags: report·wizards

No Comments so far ↓

There are no comments yet...Kick things off by filling out the form below.

Au.Tra.Sy blog welcome

Futures Broker

Recent Posts

Categories