martes, 27 de noviembre de 2012

Resultados fondos cuantitativos.

En la tabla siguiente podemos ver los resultados del mes de octubre de los principales fondos cuantitativos y su acumulado anual. La media de octubre como podrán ver es de una pérdida de un -5,21%, siendo en el acumulado del año de una pérdida de -6,07%. Un 79,16% 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 diciembre. Mi mes de octubre también ha sido nefasto y muy malo, y desde luego mi año 2.012 también está negativo. En la tabla siguiente tienen los resultados de los fondos cuantitativos (fuente: automated-trading-system.com):

Organisation / Fund Return YTD * AUM **
Abraham Trading1
-2.87%
-5.52%
$422M
Altis Partners2
-3.84%
-7.37%
$951M
Aspect Capital3
-4.38%
-10.16%
$6,812M
Beach Horizon4
-4.46%
-17.19%
$738M
BlueTrend5
-6.31%
-2.42%
N/A
Campbell & Company6
-8.30%
-2.21%
$420M
Chesapeake Capital7
-5.40%
-15.71%
$598M
Clarke Capital8
-8.79%
15.95%
$44M
Drury Capital9
-4.23%
-6.05%
$350M
Dunn Capital10
-6.59%
-23.20%
$238M
Eckhardt Trading11
-7.85%
3.69%
$440M
EMC Capital12
-5.21%
6.32%
$81M
Graham Capital13
-3.93%
-4.77%
$2,725M
Hawksbill Capital14
-13.70%
-7.17%
$111M
Hyman Beck & Co.15
-2.24%
-22.47%
$360M
JWH & Co.16
N/A
N/A
N/A
Man AHL Diversified17
-3.50%
-7.80%
$668M
Mark J. Walsh & Co.18
-4.40%
-4.94%
$108M
Millburn Ridgefield19
-2.04%
-8.15%
$745M
Rabar Market Research20
-7.17%
-5.15%
$ M
Saxon Investment21
-3.54%
-1.95%
$192M
Sunrise Capital22
-4.42%
-18.97%
$394M
Tactical Investment Mgt23
-5.74%
4.74%
$95M
Transtrend24
-3.65%
0.56%
$7,044M
Winton Capital25
-2.55%
-5.85%
$28,400M
Summary Figures***
-5.21%
-6.07%
$51,936M

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.