Systematic Trading research and development, with a flavour of Trend Following
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Trend Following Wizards in July ’11

August 17th, 2011 · 2 Comments · Trend Following, Trend Following Wizards

All positive performances for the Wizards in July… CTAs seem to have enjoyed the high-volatility ride.

A strong month (+5.27% on average, with a few double-digit returns) which brings the YTD performance to nearly flat (-0.98%).

Below are the full results for July 2011:

Organisation / Fund Return YTD * AUM **
Abraham Trading1
Altis Partners2
Aspect Capital3
Beach Horizon4
Campbell & Company6
Chesapeake Capital7
Clarke Capital8
Drury Capital9
Dunn Capital10
Eckhardt Trading11
EMC Capital12
Hawksbill Capital13
Hyman Beck & Co.14
JWH & Co.15
Man AHL Diversified16
Mark J. Walsh & Co.17
Millburn Ridgefield18
Rabar Market Research19
Saxon Investment20
Sunrise Capital21
Tactical Investment Mgt23
Winton Capital25


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* YTD: Year-To-Date performance.
** AUM: Assets Under Management for the program reported here (not total firm AUM)
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 – Composite
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). Program tracked: Aspect Capital Diversified USD
4. Beach Horizon was created as a fully automated trend following subsidiary of Beach Capital Management, 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: Trend Following Portfolio
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
9. Drury Capital, Inc., was founded in Illinois in 1992 by Mr. 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. Hawksbill Capital was founded by Tom Shanks, a former Turtle. Program tracked: Global Diversified Program
14. Hyman Beck & Co. main principals are Alexander Hyman and Carl Beck. Program tracked: Global Portfolio
15. JWH & Co. was founded by John W. Henry, now also owner of the Boston Red Sox. program tracked: Financial & Metals Portfolio
16. 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. Program tracked: Man AHL Diversified Futures Ltd
17. 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
18. Millburn Ridgefield have been trading Trend Following models since the early 1970’s. Program tracked: Diversified Program
19. Rabar Market Research is the company of Paul Rabar, a former Turtle. Program tracked: Diversified Program
20. Saxon Investment was founded by Howard Seidler, a former Turtle. Program tracked: Diversified Program
21. Sunrise Capital is a CTA based in San Diego, with Martin Ehrlich as Principal. Program tracked: Expanded Diversified Program
21. Superfund founder and CEO: Christian Baha. Program tracked: Superfund Q-AG
23. Tactical Investment Management was founded by David Druz, student of Ed Seykota. Program tracked: Institutional Commodity Program
24. Transtrend is a Trend follower CTA based in Netherlands. Program tracked: DTP – Enhanced Risk (USD)
25. Winton Capital is a London-based CTA founded by Dave Harding (also co-founder of AHL). Program tracked: Diversified Programme
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 ↓

  • Mohammed

    Really interesting results… all trend following but very different results… makes me ponder. My personal belief is trend following and trading patterns work because a fair proportion of investors/organisations with market influencing money adhere to them. So this leads me to think about other techniques used by funds with large backing. Alot of them have analysts that are CFA accredited. I believe the CFA course focuses on fundamental modelling and what some of these funds look for when recruiting. So I wonder how useful it is knowing theses modelling techniques from a private investor point of view to help make investment decisions (along with trend following) as I believe to win in the markets you have to predict what the majority will do and get in their early. But then again would fundamental analysis helped in the drop in share prices over the last two weeks? Trend following would have. Very muck looking forward to August’s results because of this.

    Really nice blog! Thanks for sharing your findings; it always makes interesting reading.

  • Jez Liberty

    Thanks Mohammed. I am not too sure I share your beliefs about trend followers making trend following work… But as I read somewhere recently, you “need different opinions to make a market” ;-)
    I believe the CFA course is a lot of accounting – A friend of mine took it, up to level 3 and it did not seem that useful for trading (unless you are into company statement analysis, ie fundamentals).

    But then again would fundamental analysis helped in the drop in share prices over the last two weeks? Trend following would have.

    Very good point above – and somehow gives an answer to your question! ;-)

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