miércoles, 17 de octubre de 2012

Resultados fondos cuantitativos.

En la tabla siguiente podemos ver los resultados del mes de septiembre de los principales fondos cuantitativos y su acumulado anual. La media de septiembre como podrán ver es de una pérdida de un -2,88%, siendo en el acumulado del año de una pérdida de -1,85%. Un 60,86% de estos fondos prosiguen el año 2.012 en negativo. ¿ Cómo seguirá el resto del 2.012 ?. Para saberlo tendremos que esperar a mediados de noviembre. 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
-2.43%
-2.68%
$449M
Altis Partners2
-5.83%
-3.70%
$1,069M
Aspect Capital3
-3.33%
-6.05%
$7,168M
Beach Horizon4
-4.88%
-13.33%
$872M
BlueTrend5
N/A
N/A
N/A
Campbell & Company6
0.00%
6.58%
$446M
Chesapeake Capital7
-5.69%
-10.90%
$635M
Clarke Capital8
-2.90%
27.12%
$47M
Drury Capital9
-3.41%
-1.91%
$366M
Dunn Capital10
-4.37%
-17.78%
$259M
Eckhardt Trading11
-0.86%
12.62%
$517M
EMC Capital12
-1.20%
12.16%
$88M
Graham Capital13
N/A
N/A
N/A
Hawksbill Capital14
-2.56%
7.62%
$122M
Hyman Beck & Co.15
-4.88%
-20.68%
$369M
JWH & Co.16
-6.16%
-21.13%
$91M
Man AHL Diversified17
-0.20%
-4.40%
$724M
Mark J. Walsh & Co.18
-1.70%
-0.51%
$113M
Millburn Ridgefield19
-2.35%
-6.23%
$782M
Rabar Market Research20
-2.90%
2.19%
$253M
Saxon Investment21
0.57%
1.65%
$195M
Sunrise Capital22
-3.89%
-15.21%
$459M
Tactical Investment Mgt23
-2.06%
11.12%
$101M
Transtrend24
-3.07%
4.38%
$7,404M
Winton Capital25
-2.18%
-3.39%
$27,800M
Summary Figures***
-2.88%
-1.85%
$50,329M

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 succesful 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 – Drury Capital, Inc., was founded in Illinois in 1992 by 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 – Graham Capital was founded in 1994 by Ken Tropin, previously a Director of JWH.
Program tracked: K4-D10.
14 – Hawksbill Capital was founded by Tom Shanks, a former Turtle.
Program tracked: Global Diversified Program.
15 – Hyman Beck & Co. main principals are Alexander Hyman and Carl Beck.
Program tracked: Global Portfolio.
16 – JWH & Co. was founded by John W. Henry, now also owner of the Boston Red Sox.
Program tracked: Global Analytics.
17 – 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 acquirs AHL (1989-1994) to form Man AHL: the systematic trading division of the Man group.
Program tracked: Man AHL Diversified Futures Ltd.
18 – 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.
19 – Millburn Ridgefield have been trading Trend Following models since the early 1970′s.
Program tracked: Diversified Program.
20 – Rabar Market Research is the company of Paul Rabar, a former Turtle.
Program tracked: Diversified Program.
21 – Saxon Investment was founded by Howard Seidler, a former Turtle.
Program tracked: Aggressive Diversified Program.
22 – 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: Expanded Diversified Program.
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 Program.