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.