Fund Performance Report – 31 October 2018 – “Yowzer…….we just got dumped”

October 2018 has tested the resolve of trend followers where we have suffered a similar fate to February 2018 and have witnessed a fairly nasty whipsaw in Energy, Fixed Income and Equity markets. Given that we had just caught the waves of September’s volatility surge….all our hopes for the emergence of some good enduring swells in our direction  were shattered as mean reversion started to enter the mix as markets rebounded sharply from their maximum adverse excursions resulting in some crazy double-up formations and some spectacular wipe-outs.

Despite the very poor showing for the month….at least we can say that volatility has returned so it will be interesting to see how things play out over the next few months. We will stay on our boards in the surf and wait to see if some of the big swells come in and amount to anything.

Now as mentioned last month, there is undoubtedly an expectation from investors that when equity and bond markets unravel, the diversified systematic trend following funds should thrive….however what must be noted is that the non-correlated nature of this style of investment philosophy to traditional buy and hold methods does not necessarily imply  negative correlation. In other words there is no guarantee that performance results from this investment camp will ‘always’ outperform when equity and bond markets are having conniptions. When volatility starts to rear it’s head with the emergence of what appears to be new trends, systematic and diversified trend followers start re-positioning their portfolios to adjust for emerging trending conditions. If those trending conditions don’t persist, then tears can be shed from preemptive actions taken.

The Trend Following index which is derived from an equally weighted composite of the Funds tracked in this performance report, saw a large decline of -4.71% for the month with a sea of red being witnessed amongst the majority of Funds tracked in this report.

TF Index October 2018

Listen to Neils, Jerry and Moritz give a blow by blow account to the month’s performance.

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 Mths
Mondiale Asset Management Mondiale Trading Program (2X) 10.3% 7.0%
Mark J. Walsh Company Standard Program 3.9% 3.7%
Alder Capital DAC Alder Global 20 2.8% -3.2%
W.G. Wealth Guardian Ltd SAFI2 Program 2.2% 3.8%
Alee Capital Management, LLC Mistral Program 1.9% 7.2%
Crabel Capital Management Crabel Multi-Product 1.9% 9.1%
Alder Capital DAC Alder Global 10 1.6% -0.7%
Parizek Capital Futures Trading Program 0.7% 5.4%
Millburn Corporation Diversified Program 0.2% -1.7%
Ancile Capital Management Global Markets Program NA -6.6%
Covenant Capital Management Original Program NA -1.9%
Melissinos Trading Eupatrid Program NA -4.1%
Rabar Market Research Diversified Program NA 3.2%
Rivercast Capital LLC Rivercast Program NA -5.1%
Trigon Investment Advisors, LLC Foreign Exchange Program NA -7.8%
Welton Investment Partners Welton Global NA -7.3%
Blackwater Capital Management Global Program -0.1% -2.7%
FORT LP Fort Global Diversified -1.0% 0.7%
Eckhardt Trading Company Standard -1.1% 5.5%
Hamer Trading Diversified Program -1.3% -10.0%
Eckhardt Trading Company Evolution Strategies 1.2X -1.5% 5.7%
FORT LP Global Fut Prog (Glob Div Classic) -1.5% -9.7%
Winton Capital Management Winton Futures Program -2.0% 3.2%
Tactical Invest Management Tactical Instit Commodity Prog -2.3% -5.1%
Millburn Corporation Commodity Program -2.5% 16.4%
Clarke Capital Management Worldwide -2.6% -18.1%
Quest Partners LLC AlphaQuest Original Prog (AQO) -2.6% 12.3%
Beach Horizon LLP Managed Account -2.9% -12.5%
Silicon Valley Quant Advisors UQP Small -2.9% -5.5%
Estlander & Partners Alpha Trend -3.0% -6.8%
Abraham Trading Company Diversified Program -3.2% -14.5%
SouthWest Managed Investments, LLC Global Diversified -3.5% 9.0%
Chesapeake Capital Diversified -3.5% 0.6%
Campbell & Company, LP Camp MF Comp (f/k/a FME Lge) -4.3% -7.6%
Transtrend B.V. DTP – Standard Risk (EUR) -4.3% -3.4%
EMC Capital Advisors, LLC Classic -4.5% -1.9%
Silicon Valley Quant Advisors US Quantitative Portfolio (UQP) -5.0% -6.5%
Clarke Capital Management Global Magnum -5.5% 2.3%
Rotella Capital Management Rotella Polaris Program (Divers) -6.0% -8.2%
Transtrend B.V. DTP – Enhanced Risk (EUR) -6.5% -4.8%
FTC Capital GmbH FTC Futures Fund Classic (EUR) -6.6% -12.1%
Transtrend B.V. DTP – Enhanced Risk (USD) -6.7% -3.1%
Chesapeake Capital Diversified Plus -6.9% 0.7%
Quantica Capital AG Quantica Managed Futures -7.3% -5.3%
Clarke Capital Management Global Basic -7.6% 13.0%
Superfund Group Superfund Green Q-AG -7.9% -15.8%
SMN Invest Services GmbHsmn Diversified Futures Fund (i14) -7.9% -12.4%
SMN Invest Services GmbHsmn Diversified Futures Fund (1996) -8.1% -14.2%
Dreiss Research Corporation Diversified Program -8.3% -9.5%
M.S. Capital Management Global Diversified Program -8.6% -8.5%
Aspect Capital Aspect Divers Fund – Class A (USD) -9.2% -10.6%
Drury Capital Diversified Trend-Following Prog -9.5% -7.5%
Rivoli Fund Management Rivoli International Fund (MAP) -10.0% -22.5%
ISAM ISAM Systematic Trend Fund -11.4% -18.9%
DUNN Capital Management World Monet & Agric Prog (WMA) -12.0% -10.3%
Clarke Capital Management Millennium -14.2% -7.7%
DUNN Capital Management D’Best Futures Fund, L.P. -14.4% -20.6%
Superfund Group Superfund Green Master -14.5% -20.4%
Mulvaney Capital Management The Mulv Global Markets Prog -25.8% -6.8%

Top 10 by Compound Annual Growth Rate (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.

Top10 CAGR Table October 2018

Top10 CAGR Equity Chart October 2018

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.

Top10 CAGR Scatter October 2018

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

Top3 CAGR Equity Chart Chart 1 October 2018

Top3 CAGR Equity Chart Chart 2 October 2018

Top3 CAGR Equity Chart Chart 3 October 2018

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.

Top10 MAR Table October 2018

Top10 MAR Equity Chart October 2018

Top10 MAR Scatter October 2018

….and the top 3 from this Top 10 category. Note that Ancile has not reported for the month and is not included in the top 3 of this category.

Top3 MAR Equity Chart Chart 1 October 2018

Top3 MAR Equity Chart Chart 2 October 2018

Top3 MAR Equity Chart Chart 3 October 2018

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 October 2018

Top10 12Month Equity Chart October 2018

Top10 12Month Scatter October 2018

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

Top3 12Month Equity Chart 1 October 2018

Top3 12Month Equity Chart 2 October 2018

Top3 12Month Equity Chart 3 October 2018

That about wraps things up for the month. Despite the poor showing this month, the markets are murmuring and the swells are picking up. Stay on the boards out beyond the breakers…so hopefully we can pick up some nice action.

Surfer waiting for waves

Trade well and prosper

Rich B


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