viernes, 23 de mayo de 2014

Resultados fondos cuantitativos a abril 2014.

En la tabla siguiente podemos ver los resultados hasta el mes de abril del año 2.014 de los principales fondos cuantitativos y su acumulado anual. La media de marzo como podrán ver es de un beneficiode un 1,14%, siendo en el acumulado del año de una pérdida de -1,98%. Un 66,6% de estos fondos mantienen el año 2.014 con pérdidas. ¿ Cómo seguirá el mes que viene y como será el año ?. Para saberlo tendremos que esperar a mediados de junio principios de julio. Les recuerdo el enlace a mis últimos resultados publicados: Resultados mensuales acumulados. En la tabla siguiente tienen los resultados de los fondos cuantitativos (fuente: automated-trading-system.com):

Organisation / Fund Return YTD * AUM **
Abraham Trading1
0.47%
2.77%
$164M
Altis Partners2
0.71%
-8.86%
$356M
Aspect Capital3
1.67%
-4.12%
$4,684M
Beach Horizon4
1.65%
2.51%
$42M
BlueTrend5
1.23%
-2.63%
N/A
Campbell & Company6
-0.15%
-10.89%
$680M
Chesapeake Capital7
0.66%
-2.31%
$164M
Clarke Capital8
2.57%
5.44%
$24M
Covenant Cap. Mgt.9
-1.32%
-5.41%
$68M
Drury Capital10
0.64%
-11.03%
$190M
Dunn Capital11
2.23%
-5.77%
$308M
Eckhardt Trading12
0.80%
0.10%
$325M
EMC Capital13
0.42%
-7.88%
$87M
Estlander & Partners14
-1.09%
-4.80%
$316M
Graham Capital15
1.54%
-5.46%
$2,208M
Hawksbill Capital16
-0.77%
-2.17%
$45M
Hyman Beck & Co.17
0.71%
-9.22%
$185M
ISAM18
2.92%
-0.62%
$520M
Lynx Asset Mgt19
0.80%
-3.56%
$4,685M
Man AHL Diversified20
-0.20%
-2.20%
$856M
Mark J. Walsh & Co.21
-0.47%
-6.69%
$76M
Millburn Ridgefield22
3.13%
5.19%
$718M
Mulvaney Capital23
2.67%
7.32%
$161M
Quantica Capital24
0.50%
0.94%
$541M
Rabar Market Research25
1.00%
4.77%
$122M
Saxon Investment26
0.94%
-0.93%
$68M
Sunrise Capital27
2.21%
-2.14%
$150M
Tactical Investment Mgt28
5.38%
6.91%
$51M
Transtrend29
1.50%
-0.16%
$5,305M
Winton Capital30
1.70%
1.52%
$24,400M
Summary Figures***
1.14%
-1.98%
$47,499M

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.

viernes, 2 de mayo de 2014

Resultados sistemas a Abril 2014.

Ya acabado el mes de abril podemos ver los resultados de los sistemas (salvo error de anotación). Para tener una orientación, también publico los completos del año 2.013 y 2.012 para cada uno de ellos. Los resultados han sido muy irregulares este mes, y la cartera global continúa con pérdidas en este 2.014, aumentándolas de nuevo respecto al mes pasado un poco. Los resultados de la columna de cada mes reflejan el del periodo completo de los meses en conjunto, reflejando el periodo de 1/01/2.014 hasta el fin de mes correspondiente. Del sistema SPAG publico los resultados en sus dos versiones actuales, la SPAG y SPAGV2. He incluido en la tabla los resultados del último sistema publicado el IntraDiaFull (IDF) pero solo aplicado a 4 mercados, 2 europeos (Dax y CAC) y dos americanos (Mini SP y Mini Rusell ).  Este mes solo han habido 8 sistemas que se salden con resultado positivo en su acumulado anual 2.014, algo muy pobre. El resultado de la cartera este mes ha sido muy distinto al obtenido en ese mismo mes el año pasado (+59.067 euros y +14.419 dólares para el mismo periodo en 2.013). El año sigue muy torcido para el global de la operativa.
Lo que si queda claro, mes tras mes, que es  imprescindible una buena diversificación tanto de sistemas y estilos de operativa como en la operativa en distintos derivados para poder ser minimamente consistente en los resultados y tratar de minimizar las pérdidas.. Siempre podemos encontrarnos sistemas que deben apartarse de la operativa y deber ser sustituidos por otros que tengamos a disposición en reserva. Siempre hay que estar investigando en nuevos sistemas, derivados y estilos de operativa. Por muchos sistemas de que dispongamos, no tenemos asegurada rentabilidad alguna y si sufrimiento para conseguirla.
Veamos los resultados de todos los sistemas sin detalle de su drawdown actual en esta ocasión: (clica en la imagen para verla más grande y clara):

viernes, 25 de abril de 2014

Resultados fondos cuantitativos a marzo 2014.

En la tabla siguiente podemos ver los resultados hasta el mes de marzo del año 2.014 de los principales fondos cuantitativos y su acumulado anual. La media de marzo como podrán ver es de una pérdida de un -1,51%, siendo en el acumulado del año de una pérdida de -3,10%. Un 70,0% de estos fondos mantienen el año 2.014 con pérdidas. ¿ Cómo seguirá el mes que viene y como será el año ?. Para saberlo tendremos que esperar a mediados de mayo principios de junio. Les recuerdo el enlace a mis últimos resultados publicados: Resultados mensuales acumulados. En la tabla siguiente tienen los resultados de los fondos cuantitativos (fuente: automated-trading-system.com):

Organisation / Fund Return YTD * AUM **
Abraham Trading1
0.23%
2.33%
$166M
Altis Partners2
-1.68%
-9.48%
$409M
Aspect Capital3
-1.68%
-5.69%
$4,076M
Beach Horizon4
-1.71%
0.86%
$53M
BlueTrend5
-2.43%
-3.82%
N/A
Campbell & Company6
-4.30%
-11.35%
$680M
Chesapeake Capital7
-0.81%
-2.94%
$151M
Clarke Capital8
-2.64%
2.80%
$23M
Covenant Cap. Mgt.9
-2.27%
-4.10%
$74M
Drury Capital10
-4.80%
-11.56%
$196M
Dunn Capital11
-1.91%
-7.83%
$302M
Eckhardt Trading12
-4.79%
-0.45%
$298M
EMC Capital13
-3.30%
-8.34%
$86M
Estlander & Partners14
-3.14%
-3.75%
$349M
Graham Capital15
-2.30%
-6.91%
$2,283M
Hawksbill Capital16
-1.46%
-1.33%
$46M
Hyman Beck & Co.17
-3.04%
-9.91%
$185M
ISAM18
-1.50%
-3.41%
$515M
Lynx Asset Mgt19
-3.00%
-4.33%
$4,700M
Man AHL Diversified20
-0.20%
-2.00%
$881M
Mark J. Walsh & Co.21
-0.48%
-6.25%
$77M
Millburn Ridgefield22
-0.04%
2.05%
$707M
Mulvaney Capital23
4.65%
4.52%
$156M
Quantica Capital24
0.20%
0.44%
$534M
Rabar Market Research25
-1.32%
3.73%
$121M
Saxon Investment26
-1.90%
-1.87%
$71M
Sunrise Capital27
-0.58%
-4.25%
$150M
Tactical Investment Mgt28
0.51%
1.45%
$48M
Transtrend29
0.62%
-1.64%
$5,302M
Winton Capital30
-0.18%
0.13%
$23,700M
Summary Figures***
-1.51%
-3.10%
$46,339M

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.

miércoles, 2 de abril de 2014

Resultados sistemas a Marzo de 2014.

Ya acabado el mes de marzo podemos ver los resultados de los sistemas (salvo error de anotación). Para tener una orientación, también publico los completos del año 2.013 y 2.012 para cada uno de ellos. Los resultados han sido muy irregulares este mes, y la cartera global continúa con pérdidas en este 2.014, reduciéndolas un poco. Los resultados de la columna de cada mes reflejan el del periodo completo de los meses en conjunto, reflejando el periodo de 1/01/2.014 hasta el fin de mes correspondiente. Del sistema SPAG publico los resultados en sus dos versiones actuales, la SPAG y SPAGV2. He incluido en la tabla los resultados del último sistema publicado el IntraDiaFull (IDF) pero solo aplicado a 4 mercados, 2 europeos (Dax y CAC) y dos americanos (Mini SP y Mini Rusell ). Me preocupa un poco el comportamiento de este sistema IDF, pues ha entrado en drawdown simultáneamente y en prácticamente todos los mercados, poniendo en peligro en alguno de ellos realmente su utilidad y uso, aunque este mes de marzo parece haber recuperado su senda normal y ha recuperado mucho de lo perdido. Este mes solo han habido 6 sistemas que se salden con resultado positivo en su acumulado anual 2.014, algo muy pobre. El resultado de la cartera este mes ha sido muy distinto al obtenido en ese mismo mes el año pasado (+6.794 euros y +15.404 dólares para el mismo periodo en 2.013). El año empieza muy torcido para el global de la operativa.
Lo que si queda claro, mes tras mes, que es  imprescindible una buena diversificación tanto de sistemas y estilos de operativa como en la operativa en distintos derivados para poder ser minimamente consistente en los resultados y tratar de minimizar las pérdidas.. Siempre podemos encontrarnos sistemas que deben apartarse de la operativa y deber ser sustituidos por otros que tengamos a disposición en reserva. Siempre hay que estar investigando en nuevos sistemas, derivados y estilos de operativa. Por muchos sistemas de que dispongamos, no tenemos asegurada rentabilidad alguna y si sufrimiento para conseguirla.
Veamos los resultados de todos los sistemas sin detalle de su drawdown actual en esta ocasión: (clica en la imagen para verla más grande y clara):
 

jueves, 20 de marzo de 2014

Resultados fondos cuantitativos a febrero 2.014.

En la tabla siguiente podemos ver los resultados hasta el mesde febrero del año 2.014 de los principales fondos cuantitativos y su acumulado anual. La media de febrero como podrán ver es de un beneficio de un +1,76%, siendo en el acumulado del año de una pérdida de -1,61%. Un 63,3% de estos fondos mantienen el año 2.014 con pérdidas. ¿ Cómo seguirá el mes que viene y como será el año ?. Para saberlo tendremos que esperar a mediados de abril principios de mayo. Les recuerdo el enlace a mis últimos resultados publicados: Resultados mensuales acumulados. En la tabla siguiente tienen los resultados de los fondos cuantitativos (fuente: automated-trading-system.com):

Organisation / Fund Return YTD * AUM **
Abraham Trading1
-0.37%
2.01%
$166M
Altis Partners2
0.48%
-7.80%
$456M
Aspect Capital3
1.65%
-4.08%
$5,076M
Beach Horizon4
0.60%
2.61%
$57M
BlueTrend5
2.72%
-1.44%
N/A
Campbell & Company6
-4.80%
-7.28%
$680M
Chesapeake Capital7
1.16%
-2.15%
$153M
Clarke Capital8
7.05%
5.59%
$24M
Covenant Cap. Mgt.9
4.40%
-1.54%
$79M
Drury Capital10
-1.90%
-7.10%
$206M
Dunn Capital11
-1.76%
-6.03%
$307M
Eckhardt Trading12
7.08%
4.54%
$321M
EMC Capital13
-2.10%
-5.04%
$90M
Estlander & Partners14
2.41%
-0.64%
$378M
Graham Capital15
0.15%
-4.72%
$2,383M
Hawksbill Capital16
3.56%
0.20%
$47M
Hyman Beck & Co.17
-0.50%
-7.17%
$187M
ISAM18
0.63%
-1.94%
$540M
Lynx Asset Mgt19
4.14%
-1.37%
$4,846M
Man AHL Diversified20
1.10%
-1.90%
$916M
Mark J. Walsh & Co.21
0.50%
-5.53%
$71M
Millburn Ridgefield22
4.41%
1.86%
$721M
Mulvaney Capital23
1.36%
-0.12%
$157M
Quantica Capital24
3.70%
0.28%
$480M
Rabar Market Research25
8.16%
5.13%
$120M
Saxon Investment26
2.39%
0.04%
$78M
Sunrise Capital27
0.86%
-3.69%
$150M
Tactical Investment Mgt28
2.22%
0.93%
$38M
Transtrend29
1.04%
-2.25%
$5,370M
Winton Capital30
2.41%
0.19%
$23,700M
Summary Figures***
1.76%
-1.61%
$47,797M

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.