How Is Your Trend Following Program Working Out For You?
Friday, November 20th, 2009
Successful system trading, in spite of the financial rewards, can be frustrating. A quantified mechanical model will take many decisions off the table. Yet, various issues, particularly the psychological approach to the issues, will always be in play.
I am a big fan of reliable quantified models, but I also realize that the approach has to be looked at over the long term, as you will most definitely have trying periods from time to time.
2009 looks to be one of those periods.
Below are the October results as well as the 2009 returns for some of the top trend followers available.
| Organization / Fund | Return | YTD * | AUM ** |
|---|---|---|---|
| Abraham Trading1 |
-1.20%
|
-3.23%
|
$455M |
| Aspect Capital2 |
-3.51%
|
-10.97%
|
N/A |
| Chesapeake Capital3 |
-4.68%
|
-6.25%
|
$818M |
| Clarke Capital4 |
-12.45%
|
-30.43%
|
$19M |
| Drury Capital5 |
-3.53%
|
2.30%
|
$122M |
| Dunn Capital6 |
-4.14%
|
-4.88%
|
$218M |
| Eckhardt Trading7 |
-4.69%
|
-5.02%
|
$486M |
| EMC Capital8 |
-2.02%
|
-16.77%
|
$212M |
| Hawksbill Capital9 |
-3.10%
|
-18.03%
|
$49M |
| Hyman Beck & Co.10 |
-1.77%
|
-2.93%
|
$455M |
| JWH & Co.11 |
-3.26%
|
-15.71%
|
$19M |
| Man AHL Diversified12 |
-1.60%
|
-12.60%
|
$1,524M |
| Millburn Ridgefield13 |
N/A
|
-9.86%
|
$1,130M |
| Rabar Market Research14 |
1.04%
|
0.45%
|
$204M |
| Saxon Investment15 |
-0.30%
|
8.30%
|
$12M |
| Superfund16 |
-9.25%
|
-28.35%
|
N/A |
| Transtrend17 |
-2.51%
|
-6.61%
|
$8,000M |
| Winton Capital18 |
-1.58%
|
-6.99%
|
N/A |
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 successful 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 successful 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 has 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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