jueves, 19 de noviembre de 2015

Resultados fondos cuantitativos Octubre 2.015.

En la tabla siguiente podemos ver los resultados hasta el mes de octubre del año 2.015 de los principales fondos cuantitativos y su acumulado anual. La media de octubre como podrán ver es de una pérdida de un -3,25%, siendo en el acumulado del año de unas pérdidas de -3,81%20 de estos fondos (66,66%) tiene el año 2.015 con pérdidas. En mi cartera, el mes de octubre ha sido un mes también malo. ¿ 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
-3.51%
-7.25%
$229M
Altis Partners2
1.23%
-0.08%
$355M
Aspect Capital3
-2.42%
3.15%
$4,902M
Beach Horizon4
-6.62%
0.43%
$95M
BlueTrend5
-2.13%
1.91%
N/A
Campbell & Company6
-1.50%
-4.89%
$4,584M
Chesapeake Capital7
-0.56%
0.90%
$229M
Clarke Capital8
-5.12%
-1.83%
$14M
Covenant Cap. Mgt.9
-3.27%
-21.98%
$53M
Drury Capital10
-0.77%
-8.76%
$196M
Dunn Capital11
-3.85%
9.17%
$502M
Eckhardt Trading12
-0.64%
-3.19%
$307M
EMC Capital13
-3.70%
0.35%
$93M
Estlander & Partners14
-6.02%
0.17%
$229M
Graham Capital15
-1.94%
-0.51%
$2,832M
Hawksbill Capital16
-4.03%
-4.71%
$59M
Hyman Beck & Co.17
-3.85%
-0.03%
$181M
ISAM18
-4.61%
6.60%
$961M
Lynx Asset Mgt19
-1.64%
-7.73%
$5,700M
Man AHL Diversified20
-5.91%
-3.37%
$864M
Mark J. Walsh & Co.21
-4.20%
-10.44%
$86M
Millburn Ridgefield22
-2.10%
1.76%
$770M
Mulvaney Capital23
-11.05%
-10.71%
$179M
Quantica Capital24
-1.80%
-11.91%
$605M
Rabar Market Research25
-2.90%
-10.94%
$106M
Saxon Investment26
-2.52%
-19.37%
$32M
Sunrise Capital27
-3.36%
-7.32%
$700M
Tactical Investment Mgt28
-4.58%
0.43%
$61M
Transtrend29
-2.48%
-3.87%
$4,865M
Winton Capital30
-1.53%
-0.13%
$33,000M
Summary Figures***
-3.25%
-3.81%
$62,789M

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.

– 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).
Program tracked: Diversified Program.

lunes, 16 de noviembre de 2015

Resultados sistemas a Octubre 2.015

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 2.014, 2.013 y 2.012 para cada uno de ellos. Los resultados en este mes no han mejorado y la cartera global disminuye un poco los beneficios este 2.015. Los resultados de la columna de cada mes reflejan el del periodo completo de los meses en conjunto, reflejando el periodo de 1/01/2.015 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 (IDF) pero solo aplicado a 4 mercados, 2 europeos (Dax y CAC) y dos americanos (Mini SP y Mini Rusell ).  Este mes han habido 12 del total de sistemas que se salden con resultado positivo en su acumulado anual 2.015.
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 y tratar de minimizar las pérdidas.. 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. Por muchos sistemas de que dispongamos, no tenemos asegurada rentabilidad alguna y si sufrimiento para conseguirla. Unos años unos sistemas fallan y al siguiente remontan el vuelo y vuelven a los beneficios, pero también sucede al revés. NO HAY NADA QUE FUNCIONE SIEMPRE Y EN TODOS LOS ESCENARIOS.
Tengo ya comercializándose y auditándose de forma externa nuevos sistemas automáticos de trading en la plataforma de TradingMotion. Si algún lector desea tener información de dichos sistemas pueden verlos alli bajo el nombre del desarrollador Esoftrading. Los sistemas alli comercializados no son ninguno de los publicados aqui en este blog. También pueden escribirme un mail solicitando información.
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):