viernes, 24 de enero de 2014

Resultados fondos cuantitativos a diciembre 2013.

En la tabla siguiente podemos ver los resultados del mes de diciembre (y del año 2.013 completo) de los principales fondos cuantitativos y su acumulado anual. La media de diciembre como podrán ver es de un beneficio de un 0,57%, siendo en el acumulado del año de un beneficio de +1,77%. Un 56,0% de estos fondos cierran el año 2.013 con pérdidas. ¿ Cómo seguirá el mes que viene y como será el nuevo año ?. Para saberlo tendremos que esperar a mediados de febrero principios de marzo. 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
1.59%
0.38%
$183M
Altis Partners2
0.91%
-3.78%
$597M
Aspect Capital3
-0.02%
-4.47%
$5,588M
Beach Horizon4
-1.47%
-8.38%
$63M
BlueTrend5
-3.06%
-12.09%
N/A
Campbell & Company6
-0.85%
9.63%
$712M
Chesapeake Capital7
5.24%
25.39%
$63M
Clarke Capital8
1.75%
-22.93%
$22M
Drury Capital9
-2.40%
9.60%
$249M
Dunn Capital10
4.40%
34.16%
$335M
Eckhardt Trading11
2.44%
0.85%
$304M
EMC Capital12
-3.00%
-7.31%
$79M
Graham Capital13
-0.24%
10.61%
$2,721M
Hawksbill Capital14
2.29%
-19.68%
$48M
Hyman Beck & Co.15
2.16%
7.54%
$188M
ISAM16
-0.04%
-10.75%
$575M
Man AHL Diversified17
-0.50%
-2.60%
$989M
Mark J. Walsh & Co.18
-0.43%
-10.68%
$76M
Millburn Ridgefield19
-1.48%
-6.09%
$732M
Mulvaney Capital20
-1.24%
43.11%
$150M
Rabar Market Research21
0.84%
-0.79%
$140M
Saxon Investment22
1.54%
-2.19%
$87M
Sunrise Capital23
2.61%
21.92%
$150M
Tactical Investment Mgt24
1.29%
-14.56%
$38M
Transtrend25
1.92%
-0.61%
$5,691M
Winton Capital26
0.52%
7.79%
$24,600M
Summary Figures***
0.57%
1.70%
$44,380M

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 – Mulvaney Capital Management was founded in 1999 by Paul Mulvaney and focuses on long-term trend following.
Program tracked: Mulvaney Global Markets
21 – Rabar Market Research is the company of Paul Rabar, a former Turtle.
Program tracked: Diversified Program.
22 – Saxon Investment was founded by Howard Seidler, a former Turtle.
Program tracked: Aggressive Diversified Program.
23 – 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
24 – Tactical Investment Management was founded by David Druz, student of Ed Seykota.
Program tracked: Institutional Commodity Program.
25 – Transtrend is a Trend follower CTA based in Netherlands.
Program tracked: DTP – Enhanced Risk (USD).
26 – Winton Capital is a London-based CTA founded by Dave Harding (also co-founder of AHL).
Program tracked: Diversified Program.

viernes, 10 de enero de 2014

Resultados sistemas a Diciembre 2.013.

Ya acabado el mes de diciembre 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 muy correctos este mes, y 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 y por tanto de todo este año finalizado. 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.
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.
La cartera de sistemas en dólares ha conseguido el mismo resultado prácticamente que en el año anterior 2.012 y para la cartera en euros, el resultado ha sido claramente inferior, pero aun asi claramente positivo y no si falta de sobresaltos. Los resultados al final con el mes de diciembre cerrado han sido los más altos del año tal como era esperable.
 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).