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Trend Following Wizards – March 2011

April 18th, 2011 · 5 Comments · Trend Following, Trend Following Wizards

As suspected from the State of Trend Following report for March – which was heavily in the red – last month was not kind to Trend Followers.

Most of the “Wizards” posted negative results – quite a few fairly large – with only Chesapeake and Winton showing a (modest) positive return. The average monthly return for March is -3.70%, now taking the average YTD return in the red at -1.01%.

Below are the individual results as of end March 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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5 Comments so far ↓

  • Monday links: the debt pile Abnormal Returns

    […] March was a tough month for trend followers.  (Au.Tra.Sy Blog) […]

  • brmr


    Have you heard about Covenant capital of Tennessee LLC. They have been Long term trend followers with CARR of 20% with an avg margin to equity of 12%. They have a very simple model based on weekly prices and a volatility filter for entry and risk management.They do not accept any clients who are short term oriented and have more than $200 mn AUM.

    Look them up will give you some good ideas.

  • brmr

    Trading Description

    The probability curve of historical price distribution is non-normal; marked by a high peak and extremely fat tails. The Program attempts to participate in long term trends in order to profit from these fat tails. It does not predict trends. It does not predict when they will start, how long they will last, or how high or low they will move. The Program uses one technical indicator to define the current market trend and joins the trend at that time. After a trend has occurred, we do not seek to explain why it may have occurred or why it behaved as it did. The only prediction the Program ever makes is that trends will continue to exist as a phenomenon of the market place. The Program utilizes a volatility trade filter, which eliminates many losing signals while preserving our ability to participate in the most profitable large trends.
    The managers and creators of CCM trading programs insist that prospective clients commit to a minimum three-year holding period. Ideally, an investment in a CCM program should be held a minimum of seven years to sufficiently normalize the distribution of monthly returns. CCM is highly selective in choosing new clients, investors with short-term investment objectives will not be accepted under any circumstances. Additionally, although CCM clients may terminate trading at anytime, doing so within three years of opening the account shall result in an “early withdrawal fee” as described in the CCM Disclosure Document.

  • Jez Liberty

    Thanks brmr.
    Never heard of them – will check them out..

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