Fund Performance

Fund Performance Report – 30 September 2018 – “The Swells are Building”

September 2018 Overview

September 2018 saw the re-emergence of volatility in the equity markets with an ensuing decline in the S&P 500 TR Index (including dividends) of  6.83% for the month. Does this small blip in an otherwise linear ascent in the Index since January 2009 signal further volatility ahead….or like February 2018, will we see a return to the progressive surge of the Index to new highs?

As a trend follower, we simply react to this volatility surge and it’s impact across asset classes and follow where price takes us, with our stops hugging our open positions like shadows. We will leave the explanations and predictions to others…but we cross our fingers that this blip might signal an end to some of the more frustrating factors that have emerged post GFC for the trend following community such as the growing correlations between asset classes and the monotonous rhythm of mean reversion in an otherwise tepid marketplace.

Of course the expectation out there from the broader investment community is that all should be rosy this month in the trend following camp….. considering that our investment class has traditional low correlation to equity and bond markets and is promoted as a natural hedge to the dominant 60:40 ‘buy and hold’ equity and bond portfolios….however what is often not taken into account is that the initial stages of the emergence of volatility is usually accompanied by short term under-performance in this class of Fund as previous directional positions need to be exited and the portfolio re-positioned towards emerging directionality with perhaps a re-balancing of position sizes to adjust for increased volatility. If the new market direction continues to build into a tangible trend, then yes….we will prosper….but if this blip is simply a minor correction or market breather….we could suffer a painful (but at least a manageable) whipsaw with a corresponding hit to our portfolios from the actions taken in response to this corrective phase.

While it is evident that this form of trading philosophy capitalizes on ‘crisis alpha’, a brief correction such as that exhibited in September does not necessarily mean ‘crisis alpha is upon us’….and we cannot assume that all is rosy in the trend following garden. Time will be the judge.

Irrespective of the outcome of this quaver in the equity markets, for the trend follower, these instances are a welcome reprieve as they represent a necessary reminder that markets are complex beasts and can change their nature on a pinhead. It is the way that trend followers respond to this market uncertainty that creates the enduring alpha within this investment class unlike the balance of investment brethren that may prefer a degree of predictive certainty.

While still early days…..the Trend Following index which is derived from an equally weighted composite of the Funds tracked in this performance report, saw a small decline of -0.32% for the month as FM’s commenced their active re-positioning of their portfolios in response to this market volatility. We will either be right or wrong in the actions taken. If wrong, we will suffer a whipsaw like February 2018, but if right, this may signal the commencement of a welcome reduction in a painfully long drawdown that has been experienced since May 2015.

TF Index

Individual Fund Performance

Below are the individual performance results of the programs that comprise the TF Index ranked from highest monthly performance to lowest.

Fund Program Return for Last Month Return Last 12 Months
Clarke Capital Management Global Basic 7.9% 14.8%
Clarke Capital Management Millennium 6.8% 7.0%
SouthWest Managed Investments, LLC Global Diversified 6.0% 17.3%
Clarke Capital Management Global Magnum 3.8% 6.7%
Millburn Corporation Commodity Program 3.7% 20.0%
DUNN Capital Management World Monet & Agric Prog (WMA) 2.6% 16.3%
Eckhardt Trading Company Evolution Strategies 1.2X 1.9% 11.5%
Hamer Trading Diversified Program 1.8% -1.7%
Parizek Capital Futures Trading Program 1.7% 5.7%
Eckhardt Trading Company Standard 1.5% 10.4%
Quest Partners LLC AlphaQuest Original Prog (AQO) 1.4% 23.4%
Millburn Corporation Diversified Program 1.3% 1.3%
DUNN Capital Management D’Best Futures Fund, L.P. 0.9% 10.9%
Tactical Invest Management Tactical Instit Commodity Prog 0.7% -1.0%
Melissinos Trading Eupatrid Program 0.2% -1.1%
Rivercast Capital LLC Rivercast Program 0.2% -4.9%
Mark J. Walsh Company Standard Program 0.0% -0.4%
Ancile Capital Management Global Markets Program 0.0% -2.8%
Alee Capital Management, LLC Mistral Program 0.0% 2.1%
Drury Capital Diversified Trend-Following Prog 0.0% 10.0%
Rabar Market Research Diversified Program 0.0% 11.7%
Rivoli Fund Management Rivoli International Fund (MAP) 0.0% -3.5%
Silicon Valley Quant Advisors US Quantitative Portfolio (UQP) 0.0% 3.5%
Rotella Capital Management Rotella Polaris Program (Divers) -0.2% 2.8%
Winton Capital Management Winton Futures Program -0.2% 9.4%
Crabel Capital Management Crabel Multi-Product -0.3% 9.2%
Silicon Valley Quant Advisors UQP Small -0.3% 3.4%
Campbell & Company, LP Camp MF Comp (f/k/a FME Lge) -0.3% 2.3%
Welton Investment Partners Welton Global -0.4% -2.3%
Alder Capital DAC Alder Global 10 -0.4% -3.5%
Dreiss Research Corporation Diversified Program -0.4% 15.0%
Chesapeake Capital Diversified -0.5% 5.9%
Blackwater Capital Management Global Program -0.5% -1.8%
FORT LP Fort Global Diversified -0.6% 2.9%
Transtrend B.V. DTP – Standard Risk (EUR) -0.7% 6.8%
Transtrend B.V. DTP – Enhanced Risk (USD) -0.9% 12.9%
Aspect Capital Aspect Divers Fund – Class A (USD) -1.0% 6.7%
Chesapeake Capital Diversified Plus -1.0% 12.1%
EMC Capital Advisors, LLC Classic -1.0% 9.1%
Mulvaney Capital Management The Mulv Global Markets Prog -1.1% 39.0%
Transtrend B.V. DTP – Enhanced Risk (EUR) -1.2% 10.4%
Alder Capital DAC Alder Global 20 -1.3% -8.4%
Covenant Capital Management Original Program -1.3% 0.9%
W.G. Wealth Guardian Ltd SAFI2 Program -1.4% 0.8%
Estlander & Partners Alpha Trend -1.6% -1.2%
SMN Invest Services GmbHsmn Diversified Futures Fund (i14) -1.7% 4.2%
FTC Capital GmbH FTC Futures Fund Classic (EUR) -1.8% 1.8%
SMN Invest Services GmbHsmn Diversified Futures Fund (1996) -1.8% 2.0%
FORT LP Global Fut Prog (Glob Div Classic) -1.9% -5.5%
Quantica Capital AG Quantica Managed Futures -2.0% 7.2%
M.S. Capital Management Global Diversified Program -2.4% 5.0%
ISAM ISAM Systematic Trend Fund -2.8% 0.3%
Abraham Trading Company Diversified Program -3.0% -11.2%
Mondiale Asset Management Mondiale Trading Program (2X) -3.1% -2.9%
Superfund Group Superfund Green Q-AG -3.4% -1.9%
Trigon Investment Advisors, LLC Foreign Exchange Program -3.5% -7.8%
Clarke Capital Management Worldwide -4.2% -17.3%
Beach Horizon LLP Managed Account -5.5% -2.3%
Superfund Group Superfund Green Master -6.0% 7.2%

Top 10 by Compound Annual Growth Rate (CAGR) since 1 January 2000 to 30 June 2018

Below is a top ten performance table and an equal weighted performance chart of the ranked top 10 performers of our program listing in terms of annualised returns to investors (net of all fees and expenses) since 1st January 2000 or since their inception if beyond this commencement point.

Top10 CAGR Table

Top10 Equity Chart CAGR

Here is a scatter plot that highlights where the top 10 sit in terms of their Compound Annual Growth rate (CAGR) and Maximum Drawdown over the performance monitoring period.

CAGRScatter Max CAGR

Below is a bit more information on the Top 3 from this Top 10 list.

Top1 CAGR

Top2 CAGR

Top3 CAGR

Top 10 by Risk Adjusted Return (using the MAR ratio) since 1 January 2000 to 30 June 2018

Now onto the risk adjusted return category. This category is for those that get ulcers when riding the drawdowns of volatile equity curves. Here are the results of the Top 10 in this category.

Top10 MAR Table

Top10 Equity Chart MAR

CAGRScatter MAR

….and the top 3 from this Top 10 category.

Top1 MAR

Top2 MAR

Top3 MAR

Top 10 for the last 12 months

So how are the guys going in the short term? You may have been under the impression that trend following was dead. Well it pays to go to the source and not the assumption, as the style drift in the trend following camp is sufficient for there to exist strong performance results within this Index grouping.

Top10 12Month Table

Top10 Equity Chart 12Month

….and the top 3 from this Top 10 category.

Top1 12Month

Top2 12Month

Top3 12Month

That about wraps things up for the month. Let’s see the verdict of this volatile correction next month. Hopefully the swells continue for the foreseeable future.

Swells continue

Trade well and prosper

Rich B

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