Fund Performance Report – 31 January 2019 – Does it Hurt Yet?
Now listen up lads and lasses…it is not as bad as it appears.
I wish I could bring you good news for the month….but the hard slog continues in the diversified systematic trend following/momentum camp. Not to say that there weren’t some solid performances in the group, but the index as a whole took another nose dive retreating a further 2.81% into the red for the month. This brings the current drawdown for the Index to 13.18% which still has a way to go to reach max drawdown levels of 15.83% reached in September 2013, but still……..let’s be honest……we are having a difficult trot at the moment.
It is of course all the much harder when we see the S&P500TR Index take a further ascent into the heavens of 2.94% for the month making light of the recent turbulence in the sector….but hey….stop looking at it. We are not in the game of investing our efforts solely in buy and hold with equities. We are a different beast that invest for the long term using a very diversified investment method of trading momentum across asset classes that stands the test of time….. but requires intense patience and nerves of steel to implement. If it was easy, every man and their dog…..and cat…would be doing the same thing. Before we go and kick the cat, we need to take a quick pill and step back a little and take this in context.
A drawdown of 13.18%….well booo hoooo and so what? Have a look at the max drawdown of the S&P500TR Index itself. The reason it feels painful lads is that in this investment space, drawdowns are painfully slow to accumulate…however the actual severity pails into insignificance as a class when compared to other investment styles. Not to say that some of these FM’s don’t attract volatile equity curves from their applied leverage….but as a general rule, they don’t. The reason for this ‘death by a thousand cuts’ syndrome can be attributed to the positive skew attached to diversified systematic trend/momentum following through the principle of mercilessly ‘cutting losses short and letting profits run. But take a deep breath and look at how quickly these building drawdowns evaporate when markets diverge. Keep the faith ladies and gentleman.
For an overview of what moved and what didn’t for the month in this investment space, I defer to the following excellent resources of Niels Kaastrup-Larsen of ‘Top Traders Unplugged’ and (Dunn Capital Management).
- Market Trends January 2019
- 18 The Systematic Investor Series – January 13th, 2019
- 19 The Systematic Investor Series – January 20th, 2019
- 20 The Systematic Investor Series – January 28th, 2019
- 21 The Systematic Investor Series – February 4th, 2019
Individual Fund Performance
Below are the individual performance results of the programs that comprise the TF Index ranked from highest 12 monthly performance to lowest.
| Fund | Program | Return for Last month | Return Last 12 Mths |
| Millburn Corporation | Commodity Program | 0.0% | 20.3% |
| SouthWest Managed Investments, LLC | Global Diversified | -2.0% | 5.3% |
| Millburn Corporation | Diversified Program | 0.0% | 3.8% |
| Silicon Valley Quant Advisors | UQP Small | 0.7% | 1.3% |
| Silicon Valley Quant Advisors | US Quantitative Portfolio (UQP) | 0.2% | 1.2% |
| Mondiale Asset Management | Mondiale Trading Program (2X) | -1.2% | 0.9% |
| Mark J. Walsh Company | Standard Program | 0.0% | 0.5% |
| Crabel Capital Management | Crabel Multi-Product | 0.0% | 0.3% |
| Parizek Capital | Futures Trading Program | -4.6% | -1.1% |
| FORT LP | Fort Global Diversified | 1.9% | -2.0% |
| Quantica Capital AG | Quantica Managed Futures | 4.2% | -4.1% |
| Tactical Invest Management | Tactical Instit Commodity Prog | -0.9% | -4.2% |
| Alder Capital DAC | Alder Global 10 | 0.0% | -4.3% |
| W.G. Wealth Guardian Ltd | SAFI2 Program | 0.4% | -4.4% |
| Eckhardt Trading Company | Standard | -1.2% | -4.4% |
| Rivercast Capital LLC | Rivercast Program | 0.8% | -5.0% |
| Eckhardt Trading Company | Evolution Strategies 1.2X | -1.8% | -6.3% |
| Blackwater Capital Management | Global Program | 0.0% | -8.6% |
| Estlander & Partners | Alpha Trend | -3.0% | -8.8% |
| FORT LP | Global Fut Prog (Glob Div Classic) | 1.3% | -8.8% |
| Alee Capital Management, LLC | Mistral Program | -3.7% | -9.3% |
| Welton Investment Partners | Welton Global | -4.3% | -10.4% |
| Alder Capital DAC | Alder Global 20 | 0.0% | -10.7% |
| Transtrend B.V. | DTP – Standard Risk (EUR) | -3.2% | -12.0% |
| Campbell & Company, LP | Camp MF Comp (f/k/a FME Lge) | -1.2% | -13.0% |
| Drury Capital | Diversified Trend-Following Prog | -5.9% | -13.4% |
| Hamer Trading | Diversified Program | 0.7% | -14.1% |
| Trigon Investment Advisors, LLC | Foreign Exchange Program | 0.0% | -14.2% |
| Transtrend B.V. | DTP – Enhanced Risk (USD) | -4.9% | -15.7% |
| Melissinos Trading | Eupatrid Program | 0.0% | -16.2% |
| Rotella Capital Management | Rotella Polaris Program (Divers) | 0.0% | -16.5% |
| Quest Partners LLC | AlphaQuest Original Prog (AQO) | -7.8% | -16.5% |
| Transtrend B.V. | DTP – Enhanced Risk (EUR) | -4.9% | -16.9% |
| Chesapeake Capital | Diversified | -3.5% | -17.8% |
| EMC Capital Advisors, LLC | Classic | -5.9% | -17.8% |
| Abraham Trading Company | Diversified Program | -2.0% | -18.6% |
| M.S. Capital Management | Global Diversified Program | -4.1% | -18.9% |
| Beach Horizon LLP | Managed Account | -6.6% | -19.4% |
| Superfund Group | Superfund Green Q-AG | 2.3% | -19.6% |
| FTC Capital GmbH | FTC Futures Fund Classic (EUR) | 0.0% | -20.6% |
| Aspect Capital | Aspect Divers Fund – Class A (USD) | -0.9% | -22.1% |
| SMN Invest Services GmbHsmn | Diversified Futures Fund (i14) | -3.7% | -24.1% |
| SMN Invest Services GmbHsmn | Diversified Futures Fund (1996) | -3.9% | -25.8% |
| Dreiss Research Corporation | Diversified Program | -9.3% | -25.8% |
| Superfund Group | Superfund Green Master | 5.5% | -26.8% |
| Rivoli Fund Management | Rivoli International Fund (MAP) | 0.0% | -27.3% |
| DUNN Capital Management | World Monet & Agric Prog (WMA) | -3.4% | -30.2% |
| Chesapeake Capital | Diversified Plus | -7.7% | -31.5% |
| Mulvaney Capital Management | The Mulv Global Markets Prog | -19.3% | -31.7% |
| DUNN Capital Management | D’Best Futures Fund, L.P. | -4.1% | -43.1% |
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 lads and lasses. Dig in for a further long slog ahead but keep the chin up…..pip pip
Trade well and prosper
Rich B
3 Comments. Leave new
Hi Rich…quick question…do you think that all the managers you put in your ranking are really Trend Followers…to me it looks like many of them are not…hence it explains the big difference between top and bottom in the past 12 months?…and keep up the good work by the way 🙂
Hi Neils 🙂
Sorry for the delay in responding. I only saw your comment now.
The majority of the FM’s chosen here have been filtered using IASG’s broad categorisations of system style, markets/timeframes traded etc and hence get filtered into my watchlist with the info provided by IASG……. They rarely update this information so I am stuck with this method at the moment….but I agree with you……some of them are not what you would define as traditional trend followers as many deploy a degree of Pattern recognition etc. in their programs to diversify their offerring….however most of the FM’s that I follow deploy divergent techniques so in a way would fall into a loose definition of Momentum/Trend Followers. I find there is so much subjectivity in these definitions such as CTA,s, Managed Futures etc……so have adopted my own home grown preferences in selecting those that fit into my personal Trend Following Index definition.
I love your podcasts Neils and hope I am helping the cause to encourage folk to consider more active allocation in this investment space.
Thanks for responding 🙂
Rich
Thanks Rich…and indeed you are helping the cause 🙂