jueves, 19 de diciembre de 2013

Resultados fondos cuantitativos a noviembre 2013.

En la tabla siguiente podemos ver los resultados del mes de noviembre de los principales fondos cuantitativos y su acumulado anual. La media de noviembre como podrán ver es de un beneficio de un 1,88%, siendo en el acumulado del año de una pérdida de -0,66%. Un 68,0% de estos fondos llevan el año 2.013 con pérdidas. ¿ Cómo seguirá el mes que viene y como acabará el año ?. Para saberlo tendremos que esperar a mediados de enero principios de febrero. 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
-1.47%
-1.24%
$189M
Altis Partners2
2.74%
-4.69%
$648M
Aspect Capital3
1.99%
-4.45%
$5,738M
Beach Horizon4
0.03%
-6.87%
$447M
BlueTrend5
0.20%
-9.60%
N/A
Campbell & Company6
1.75%
10.53%
$702M
Chesapeake Capital7
8.04%
19.24%
$59M
Clarke Capital8
-4.68%
-24.26%
$21M
Drury Capital9
2.86%
12.31%
$249M
Dunn Capital10
10.00%
28.51%
$350M
Eckhardt Trading11
3.98%
-1.47%
$300M
EMC Capital12
4.71%
-3.70%
$91M
Graham Capital13
4.49%
10.88%
$2,619M
Hawksbill Capital14
-2.84%
-21.46%
$47M
Hyman Beck & Co.15
6.28%
5.23%
$193M
ISAM16
0.81%
-10.71%
$575M
Man AHL Diversified17
0.40%
-2.20%
$1,047M
Mark J. Walsh & Co.18
-1.17%
-10.35%
$78M
Millburn Ridgefield19
0.94%
-4.68%
$791M
Rabar Market Research20
2.26%
-1.62%
$170M
Saxon Investment21
-0.51%
-3.67%
$100M
Sunrise Capital22
2.85%
18.82%
$150M
Tactical Investment Mgt23
-0.11%
-15.65%
$38M
Transtrend24
0.87%
-2.47%
$5,705M
Winton Capital25
2.52%
7.16%
$24,700M
Summary Figures***
1.88%
-0.66%
$45,007M

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 – 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 – 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
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 acquires AHL (1989-1994) to form Man AHL: the systematic trading division of the Man group.
Program tracked: Man AHL Diversified Plc
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: Sunrise Evolution
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.

lunes, 2 de diciembre de 2013

Resultados fondos cuantitativos a octubre 2.013.

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 un beneficio de un 1,58%, siendo en el acumulado del año de una pérdida de -2,82%. Un 68,0% de estos fondos llevan el año 2.013 con pérdidas. ¿ Cómo seguirá el mes que viene ?. Para saberlo tendremos que esperar a mediados de diciembre principios de enero. 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
-1.68%
0.25%
$210M
Altis Partners2
-1.37%
-7.22%
$638M
Aspect Capital3
1.93%
-6.31%
$5,681M
Beach Horizon4
3.35%
-6.82%
$431M
BlueTrend5
3.69%
-9.54%
N/A
Campbell & Company6
2.35%
8.62%
$683M
Chesapeake Capital7
4.61%
10.37%
$50M
Clarke Capital8
0.29%
-20.55%
$23M
Drury Capital9
4.96%
9.19%
$245M
Dunn Capital10
5.81%
16.83%
$307M
Eckhardt Trading11
-0.04%
-5.18%
$303M
EMC Capital12
2.62%
-8.03%
$92M
Graham Capital13
2.22%
6.11%
$2,520M
Hawksbill Capital14
-6.22%
-19.06%
$54M
Hyman Beck & Co.15
0.08%
-0.98%
$377M
ISAM16
3.32%
-11.43%
$575M
Man AHL Diversified17
5.60%
-6.10%
$463M
Mark J. Walsh & Co.18
-0.38%
-9.29%
$81M
Millburn Ridgefield19
2.31%
-5.57%
$890M
Rabar Market Research20
-0.76%
-3.79%
$164M
Saxon Investment21
-0.23%
-3.18%
$81M
Sunrise Capital22
3.08%
15.48%
$150M
Tactical Investment Mgt23
-0.11%
-15.56%
$55M
Transtrend24
1.31%
-3.32%
$5,730M
Winton Capital25
2.66%
4.53%
$24,200M
Summary Figures***
1.58%
-2.82%
$44,003M

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 – 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 – 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
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 acquires 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: Sunrise Evolution
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.

Resultados sistemas a Noviembre 2.013.

Ya acabado el mes de noviembre podemos ver los resultados de los sistemas (salvo error de anotación). Para tener una orientación, también publico los completos del año pasado para cada uno de ellos. Los resultados a nivel general han sido flojos este mes, aunque se ha recuperado un poco más la cartera. Los resultados de la columna de cada mes reflejan el del periodo completo de los meses en conjunto, reflejando el periodo de 1/01/2.013 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 pero solo aplicado a 4 mercados, 2 europeos (Dax y CAC) y dos americanos (Mini SP y Mini Rusell ). El saldo de la cartera sigue siendo positivo claramente, tanto en dólares como en la cartera en euros. La operativa en el mercado americano se muestra mucho mas consistente este año en el paso de cada mes.
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. 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.
Uno o dos sistemas son claramente candidatos a abandonar todo seguimiento en su operativa. Me refiero al  sistema BABO30, pero fundamentalmente por su drawdown, su peor racha de pérdidas, difícilmente asumible para cuentas no muy capitalizadas. Alguno de ellos dejará de estar a disposición y de tener un seguimiento a finales de este año con total seguridad.
Veamos los resultados de todos los sistemas con detalle de su drawdown actual: (clica en la imagen para verla más grande y clara). 
 
 

miércoles, 20 de noviembre de 2013

Solucionado: VisualChart, Interactive Brokers y Futuro CAC40 Parisino.

Tras estar casi toda la mañana y parte de la tarde haciendo pruebas en el simulador con la nueva versión de VisualChart (VC) que me han proporcionado (VC 5.2.1.3), parece que el tema del futuro del CAC40 parisino al operar con el mini del Cac o con el futuro "grande" en Interactive Brokers (IB) ya está solucionado. Las pruebas del día finalmente han salido satisfactorias. Esta versión de VC en estos momentos no está ni como versión beta en su web, pero a un servidor se la han proporcionado con el fin de poder operar con dicho derivado y poder hacer el testeo pertinente. Ha costado lo suyo, demasiado, pero por lo menos parece que es un tema solucionado.

¿ Solucionada la conexion VisualChart-Interactive Brokers para el futuro CAC40 ?

Hoy por fin me han comunicado de visualchart (VC) que han solucionado el problema que había en la conexión VC e Interactive Brokers (IB) para la operativa del futuro del CAC40 parisino, que como sabrán ahora tiene un futuro "mini". Lógicamente antes de probarla en la operativa real, la probaré inmediatamente en operativa simulada, pues la solución aportada requiere de una instalación limpia de VC, y debo salvaguardar antes todo el trabajo realizado asi como las hojas de trabajo, sistemas, plantillas y demás.
Voy a ello. Ya comentaré el resultado.

miércoles, 6 de noviembre de 2013

Resultados sistemas a Octubre 2.013.

Ya acabado el mes de octubre podemos ver los resultados de los sistemas (salvo error de anotación). Para tener una orientación, también publico los completos del año pasado para cada uno de ellos. Los resultados a nivel general han sido malos de nuevo este mes, aunque algo se ha recuperado la cartera. Los resultados de la columna de cada mes reflejan el del periodo completo de los meses en conjunto, reflejando el periodo de 1/01/2.013 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 pero solo aplicado a 4 mercados, 2 europeos (Dax y CAC) y dos americanos (Mini SP y Mini Rusell ). El saldo de la cartera sigue siendo positivo claramente, tanto en dólares como en la cartera en euros. La operativa en el mercado americano se muestra mucho mas consistente este año en el paso de cada mes.
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. 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.
Uno o dos sistemas son claramente candidatos a abandonar todo seguimiento en su operativa. Me refiero al sistema CANALES y al sistema BABO30, pero fundamentalmente por su drawdown, su peor racha de pérdidas, difícilmente asumible para cuentas no muy capitalizadas. Alguno de ellos dejará de estar a disposición y de tener un seguimiento a finales de este año con total seguridad.
Veamos los resultados de todos los sistemas con detalle de su drawdown actual: (clica en la imagen para verla más grande y clara).


Veremos como se desarrolla el mes de noviembre en curso en la evolución de la operativa y sus resultados.


martes, 22 de octubre de 2013

Resultados fondos cuantitativos a septiembre 2.013.

En la tabla siguiente podemos ver los resultados del mes de septiembre de los principales fondos cuantitativos y su acumulado anual. La media de agosto como podrán ver es de una pérdida de un -1,26%, siendo en el acumulado del año de una pérdida de -4,42%. Un 68,0% de estos fondos llevan el año 2.013 con pérdidas. ¿ Cómo seguirá el mes que viene ?. Para saberlo tendremos que esperar a mediados de noviembre principios de diciembre. 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
2.50%
1.91%
$224M
Altis Partners2
-4.83%
-5.29%
$666M
Aspect Capital3
-2.73%
-8.08%
$5,614M
Beach Horizon4
-2.09%
-9.84%
$447M
BlueTrend5
-0.83%
-12.76%
N/A
Campbell & Company6
-1.70%
6.09%
$644M
Chesapeake Capital7
1.04%
5.53%
$36M
Clarke Capital8
-4.20%
-20.78%
$23M
Drury Capital9
2.67%
4.23%
$238M
Dunn Capital10
-4.56%
10.41%
$296M
Eckhardt Trading11
1.56%
-5.06%
$299M
EMC Capital12
-4.29%
-10.38%
$86M
Graham Capital13
2.76%
3.81%
$2,470M
Hawksbill Capital14
-3.25%
-13.62%
$58M
Hyman Beck & Co.15
-1.72%
-1.06%
$382M
ISAM16
-1.55%
-14.28%
$545M
Man AHL Diversified17
-2.20%
-11.10%
$459M
Mark J. Walsh & Co.18
-2.25%
-10.13%
$90M
Millburn Ridgefield19
1.13%
-7.72%
$889M
Rabar Market Research20
0.04%
-3.07%
$170M
Saxon Investment21
-2.92%
-2.95%
$125M
Sunrise Capital22
-1.31%
11.87%
$150M
Tactical Investment Mgt23
-4.85%
-15.46%
$60M
Transtrend24
-1.18%
-4.58%
$5,730M
Winton Capital25
3.26%
1.82%
$23,600M
Summary Figures***
-1.26%
-4.42%
$42,635M
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 – 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 – 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
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 acquires 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: Sunrise Evolution
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.

lunes, 21 de octubre de 2013

Un error en los resultados.

Estaba revisando los resultados de los sistemas y habían cosas que no acababan de cuadrarme y me he dado cuenta de un error que se ha producido en los resultados de unos de los sistemas, concretamente en el sistema DiaT. Los resultados del mismo que he publicado no son correctos. No tengo muy claro cual ha sido la razón para el error. El error fundamentalmente es mío por no revisar a conciencia los mismos. En este caso motivado muy probablemente por un error en la compilación del sistema. Me he dado cuenta al comparar los resultados entre dos ordenadores diferentes. Un mismo sistema en dos ordenadores diferentes con los mismos parámetros deben dar los mismos resultados y en esta ocasión no los daba. En la p´roxima publicación, estarán coregidos los fallos publicados.

miércoles, 16 de octubre de 2013

Resultados fondos cuantitativos a agosto 2.013.

En la tabla siguiente podemos ver los resultados del mes de agosto de los principales fondos cuantitativos y su acumulado anual. La media de agosto como podrán ver es de una pérdida de un -2,13%, siendo en el acumulado del año de una pérdida de -3,17%. Un 72,0% de estos fondos llevan el año 2.013 con pérdidas. ¿ Cómo seguirá el mes que viene ?. Para saberlo tendremos que esperar a mediados de octubre principios 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
-1.29%
-0.58%
$234M
Altis Partners2
-3.01%
-0.47%
$743M
Aspect Capital3
-2.88%
-5.50%
$5,898M
Beach Horizon4
-0.74%
-7.92%
$468M
BlueTrend5
-0.55%
-12.04%
N/A
Campbell & Company6
-1.05%
7.87%
$633M
Chesapeake Capital7
-5.31%
4.45%
$76M
Clarke Capital8
-0.70%
-17.30%
$23M
Drury Capital9
-6.42%
1.52%
$274M
Dunn Capital10
-4.81%
15.68%
$319M
Eckhardt Trading11
0.66%
-6.43%
$305M
EMC Capital12
-2.21%
-6.33%
$92M
Graham Capital13
-1.37%
1.02%
$2,471M
Hawksbill Capital14
-0.13%
-10.61%
$61M
Hyman Beck & Co.15
-1.40%
0.67%
$389M
ISAM16
-3.17%
-12.82%
$545M
Man AHL Diversified17
-3.00%
-9.10%
$482M
Mark J. Walsh & Co.18
-2.10%
-6.85%
$93M
Millburn Ridgefield19
-2.29%
-8.75%
$916M
Rabar Market Research20
-1.26%
-3.11%
$173M
Saxon Investment21
-0.70%
-0.03%
$124M
Sunrise Capital22
-1.40%
13.40%
$140M
Tactical Investment Mgt23
-2.77%
-11.15%
$77M
Transtrend24
-2.53%
-3.44%
$5,846M
Winton Capital25
-2.92%
-1.40%
$23,200M
Summary Figures***
-2.13%
-3.17%
$46,326M

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 – 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 – 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
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 acquires 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: Sunrise Evolution
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.