Fund Performance

Fund Performance Report – 31 March 2019 – “All I did was shoot an albatross!!!”

As is typical in this world of speculation and just like a Francis Ford Coppola thriller, just when you want to get out……it pulls you back in.

Here we were in February deep in the doldrums with not a breeze about….and then in March we go straight into the roaring forties. The Trend Following index (TF Index) was able to claw back the building drawdowns from January and February to bring the YTD calendar period to a break-even result.

For an overview of what moved and what didn’t for the month in this investment space then you should go straight to the source and listen to the Fund Managers themselves.  In this regard, listen to the following excellent resources for market commentary from Niels Kaastrup-Larsen of ‘Top Traders Unplugged’ and (Dunn Capital Management).

Individual Fund Performance

Below are the individual performance results of the programs that comprise the TF Index ranked from highest prior month performance to lowest. Now it is important to note that some of the Funds represented in this Index would not be regarded by many as ‘traditional’ systematic diversified trend following programs…..so I understand that some might query the selection.

I have based my representative index on those FM’s who practice divergent styles surrounding the capturing of trends and momentum in price based on underlying information provided by IASG. I use these performance results for my own personal bench-marking based on the methods I deploy, so the composition may differ from those who choose more traditional descriptive categorizations.

Fund Program Return for Last Month Return Last 12 Months
DUNN Capital Management D’Best Futures Fund, L.P. 12.1% -6.3%
DUNN Capital Management World Monet & Agric Prog (WMA) 10.9% -1.8%
Mulvaney Capital Management The Mulv Global Markets Prog 10.1% -7.8%
FORT LP Global Fut Prog (Glob Div Classic) 8.5% 3.2%
Drury Capital Diversified Trend-Following Prog 7.9% -1.5%
Quantica Capital AG Quantica Managed Futures 6.6% 8.1%
Rivoli Fund Management Rivoli International Fund (MAP) 6.5% -17.2%
Transtrend B.V. DTP – Enhanced Risk (USD) 6.2% 0.5%
Transtrend B.V. DTP – Enhanced Risk (EUR) 5.8% -1.7%
FORT LP Fort Global Diversified 5.3% 7.3%
Campbell & Company, LP Camp MF Comp (f/k/a FME Lge) 4.9% 1.8%
Superfund Group Superfund Green Master 4.4% -9.3%
Aspect Capital Aspect Divers Fund – Class A (USD) 4.4% -8.3%
FTC Capital GmbH FTC Futures Fund Classic (EUR) 4.2% -9.4%
Quest Partners LLC AlphaQuest Original Prog (AQO) 4.0% -15.1%
Transtrend B.V. DTP – Standard Risk (EUR) 4.0% -1.6%
Welton Investment Partners Welton Global 3.7% 3.3%
EMC Capital Advisors, LLC Classic 3.7% -8.3%
Dreiss Research Corporation Diversified Program 2.6% 1.0%
SMN Invest Services GmbHsmn Diversified Futures Fund (i14) 2.6% -8.4%
Millburn Corporation Commodity Program 2.5% 24.5%
SMN Invest Services GmbHsmn Diversified Futures Fund (1996) 2.4% -10.4%
Millburn Corporation Diversified Program 2.3% 9.0%
Beach Horizon LLP Managed Account 2.2% -13.8%
Superfund Group Superfund Green Q-AG 1.7% -10.1%
Chesapeake Capital Diversified Plus 1.4% -15.3%
M.S. Capital Management Global Diversified Program 1.0% -6.5%
Chesapeake Capital Diversified 0.8% -7.4%
Hamer Trading Diversified Program 0.7% -6.4%
Mondiale Asset Management Mondiale Trading Program (2X) 0.3% 3.8%
Parizek Capital Futures Trading Program 0.2% 1.1%
Rivercast Capital LLC Rivercast Program 0.1% 0.2%
Mark J. Walsh Company Standard Program 0.0% 0.1%
Crabel Capital Management Crabel Multi-Product 0.0% -0.9%
Eckhardt Trading Company Standard -0.4% -2.2%
Estlander & Partners Alpha Trend -0.5% -2.7%
Alder Capital DAC Alder Global 10 -0.7% -7.1%
Eckhardt Trading Company Evolution Strategies 1.2X -0.7% -4.3%
Alder Capital DAC Alder Global 20 -1.5% -15.5%
Tactical Invest Management Tactical Instit Commodity Prog -2.3% 4.7%
Abraham Trading Company Diversified Program -2.6% -17.9%
SouthWest Managed Investments, LLC Global Diversified -2.9% 11.7%
Silicon Valley Quant Advisors UQP Small -3.3% -0.4%
Silicon Valley Quant Advisors US Quantitative Portfolio (UQP) -3.6% -1.1%
W.G. Wealth Guardian Ltd SAFI2 Program -3.6% -1.6%
Alee Capital Management, LLC Mistral Program -3.8% -7.1%
Trigon Investment Advisors, LLC Foreign Exchange Program -3.9% -14.4%

Top 10 by by CAGR since 1 January 2000

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.

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.

Below are the performance metrics of the Top 3 from this Top 10 list by CAGR.

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

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.

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

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.

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

Well that’s a wrap for the month. Will trends return like the good ol’ days…or is there more pain ahead? Stay tuned.

Trade well and prosper

Rich B

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