Fund Performance

Surfing with the Fund Managers

As an ongoing feature of this website, we decided that we would go the extra mile and track the performance of a large number of long term established systematic fund managers (FM’s) who occupy the trend following/momentum niche and are commonly referred to as Hedge Fund Managers, Commodity Trading Advisors (CTA’s), Managed Futures Advisors or Alternative Investment Managers.

Unfortunately terminology has a way of attempting to conveniently classify FM’s into buckets which can be misleading as the trading method adopted by this form of systematic fund manager may be significantly different to it’s general classification, however what distinguishes this form of FM apart from the broader competition in Funds Management is that their modus operandi is based on the following key principles. This particular class of FM:

  • Are systematic as opposed to discretionary basing their trading style on the repeated stringent application of quantitative trading rules;
  • Apply trend following/ momentum trading principles that favour positive as opposed to negative skew of return distributions aka ‘cutting losses short and letting profits run’;
  • Are price followers as opposed to price predictors;
  • Are highly diversified across asset classes, timeframes and systems deployed;
  • Are highly uncorrelated with equity and bond buy and hold programs; and
  • Tend to adopt divergent as opposed to convergent trading strategies that predate on fat tailed events or anomalous outliers and require price to diverge away from historic price equilibria as opposed to predictive techniques that rely on price returning or converging back towards historic equilibria.

These quiet achievers pride themselves on delivering an outstanding track record of stellar returns to their investment community. For the purposes of this performance report we need to draw a line somewhere so the Programs that we will be monitoring on a regular basis are those that have a long term track record. Most of the Programs that are included in this report have been in operation at least from 1st January 2000 to the current day. Some however have sneaked into this performance report because we simply like the ‘cut of their jib’.

So why does this report only focus on those FM’s with a long track record?

Well to be in this game delivering such consistent risk-weighted returns means that you are a very special kind of Fund Manager that can stand the test of time. It means that:

  • You have a great appreciation of risk management in that your long-standing track record demonstrates how you have navigated market uncertainty over an extended timeframe;
  • You can demonstrate that your prowess in portfolio management has been able to withstand a broad variety of market conditions yet still be able to deliver stunning long term returns;
  • You know how to manage your drawdowns to retain Assets Under Management (AUM) when most investors typically want to head for the exit gates; and
  • You have a verifiable track record that demonstrates the efficacy of your trading philosophy and approach and your ability to stick to your primary strategy.

So without much further ado….here is the current list of programs that we are tracking on an ongoing basis to demonstrate the power of this particular trading method and highlight why you should seriously consider investing in these guys or at least allocating a large portion of your portfolio towards them.

The listing provides a reference tool for interested folk to find out a bit more about these guys. We recommend you have a look at IASG’s wonderful Managed Futures Database where all our performance data is derived from.

Current Program Listing

Fund Program
Abraham Trading Company Diversified Program
Alder Capital DAC Alder Global 20
Alder Capital DAC Alder Global 10
Alee Capital Management, LLC Mistral Program
Ancile Capital Management Global Markets Program
Aspect Capital Aspect Divers Fund – Class A (USD)
W.G. Wealth Guardian Ltd SAFI2 Program
Beach Horizon LLP Managed Account
Blackwater Capital Management Global Program
Campbell & Company, LP Camp MF Comp (f/k/a FME Lge)
Chesapeake Capital Diversified
Chesapeake Capital Diversified Plus
Clarke Capital Management Global Basic
Clarke Capital Management Global Magnum
Clarke Capital Management Millennium
Clarke Capital Management Worldwide
Covenant Capital Management Original Program
Crabel Capital Management Crabel Multi-Product
Dreiss Research Corporation Diversified Program
Drury Capital Diversified Trend-Following Prog
DUNN Capital Management D’Best Futures Fund, L.P.
DUNN Capital Management World Monet & Agric Prog (WMA)
Eckhardt Trading Company Standard
Eckhardt Trading Company Evolution Strategies 1.2X
EMC Capital Advisors, LLC Classic
Estlander & Partners Alpha Trend
FORT LP Fort Global Diversified
FORT LP Global Fut Prog (Glob Div Classic)
FTC Capital GmbH FTC Futures Fund Classic (EUR)
Hamer Trading Diversified Program
ISAM ISAM Systematic Trend Fund
M.S. Capital Management Global Diversified Program
Mark J. Walsh Company Standard Program
Melissinos Trading Eupatrid Program
Millburn Corporation Diversified Program
Millburn Corporation Commodity Program
Mondiale Asset Management Mondiale Trading Program (2X)
Mulvaney Capital Management The Mulv Global Markets Prog
Parizek Capital Futures Trading Program
Quantica Capital AG Quantica Managed Futures
Quest Partners LLC AlphaQuest Original Prog (AQO)
Rabar Market Research Diversified Program
Rivercast Capital LLC Rivercast Program
Rivoli Fund Management Rivoli International Fund (MAP)
Rotella Capital Management Rotella Polaris Program (Divers)
Silicon Valley Quant Advisors US Quantitative Portfolio (UQP)
Silicon Valley Quant Advisors UQP Small
SMN Invest Services GmbHsmn Diversified Futures Fund (1996)
SMN Invest Services GmbHsmn Diversified Futures Fund (i14)
SouthWest Managed Investments, LLC Global Diversified
Superfund Group Superfund Green Q-AG
Superfund Group Superfund Green Master
Tactical Invest Management Tactical Instit Commodity Prog
Transtrend B.V. DTP – Enhanced Risk (EUR)
Transtrend B.V. DTP – Enhanced Risk (USD)
Transtrend B.V. DTP – Standard Risk (EUR)
Trigon Investment Advisors, LLC Foreign Exchange Program
Welton Investment Partners Welton Global
Winton Capital Management Winton Futures Program

Stay Tuned…..The Performance Report up to 30 September 2018 will be available shortly.

Trade well and prosper

Rich B

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