martes, 27 de octubre de 2015

Resultados fondos cuantitativos Septiembre 2.015.

En la tabla siguiente podemos ver los resultados hasta el mes de septiembre del año 2.015 de los principales fondos cuantitativos y su acumulado anual. La media de agosto como podrán ver es de un beneficio de un 2,52%, siendo en el acumulado del año de unas pérdidas de -0,55%14 de estos fondos (46,66%) tiene el año 2.015 con pérdidas. En mi cartera, el mes de septiembre ha sido un mes bueno. ¿ Cómo seguirá el mes que viene y como será el año ?. Para saberlo tendremos que esperar. 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 / FundReturnYTD *AUM **
Abraham Trading1
2.18%
-3.82%
$250M
Altis Partners2
2.93%
-1.29%
$242M
Aspect Capital3
3.27%
5.70%
$4,995M
Beach Horizon4
2.12%
7.55%
$100M
BlueTrend5
2.26%
4.11%
N/A
Campbell & Company6
1.04%
-3.36%
$4,658M
Chesapeake Capital7
0.75%
1.46%
$230M
Clarke Capital8
4.60%
3.47%
$15M
Covenant Cap. Mgt.9
1.56%
-19.34%
$61M
Drury Capital10
4.15%
-8.05%
$198M
Dunn Capital11
4.97%
13.54%
$526M
Eckhardt Trading12
3.07%
-2.55%
$307M
EMC Capital13
3.60%
3.90%
$105M
Estlander & Partners14
2.82%
6.60%
$282M
Graham Capital15
2.41%
1.46%
$2,898M
Hawksbill Capital16
-4.80%
-0.67%
$60M
Hyman Beck & Co.17
0.30%
3.90%
$182M
ISAM18
5.05%
11.97%
$350M
Lynx Asset Mgt19
2.26%
-6.19%
$5,710M
Man AHL Diversified20
3.68%
2.69%
$926M
Mark J. Walsh & Co.21
0.87%
-6.66%
$92M
Millburn Ridgefield22
3.28%
3.95%
$793M
Mulvaney Capital23
6.15%
0.38%
$200M
Quantica Capital24
3.00%
-10.29%
$631M
Rabar Market Research25
1.30%
-8.28%
$117M
Saxon Investment26
0.37%
-17.29%
$33M
Sunrise Capital27
1.52%
-4.09%
$700M
Tactical Investment Mgt28
2.27%
5.25%
$66M
Transtrend29
5.02%
-1.43%
$5,071M
Winton Capital30
3.54%
0.96%
$33,000M
Summary Figures***
2.52%
-0.55%
$62,798M

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.
  – 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 (GBP).

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).

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