Rising Stars and Trend Titans: December 2024

Introduction

The world of systematic trend following continues to thrive, blending seasoned expertise with fresh talent that is redefining the industry. “Rising Stars and Trend Titans” is your definitive monthly report, spotlighting the standout performers shaping the ever-evolving trend-following landscape.

For December 2024, we dive into the performance of 111 globally diversified programs, each boasting a validated track record of at least five years. This dual focus celebrates the enduring excellence of industry titans while elevating the rising stars who are forging new paths in systematic trading. By highlighting both established leaders and promising talent, this report captures the diversity and ingenuity driving trend-following strategies forward.

As we close out 2024, these 111 programs provide compelling insights into how systematic strategies have navigated a challenging yet opportunity-rich environment. Their performance showcases a fascinating balance between innovation and the robustness of time-tested methods. Let’s explore how these managers harnessed global trends to deliver standout results this month.

Criteria for Inclusion

The “Rising Stars and Trend Titans” blog evaluates globally diversified systematic trend-following programs that meet specific criteria to ensure consistency, reliability, and relevance. Here’s what makes a program eligible for inclusion:

  1. Validated Track Record:
    Only programs with a minimum of five years of performance history are considered. This ensures that the strategies have been tested across varying market conditions and are not short-term anomalies.
  2. Global Diversification:
    Programs must demonstrate diversification across multiple asset classes, including equities, fixed income, commodities, and currencies. This ensures their ability to capture trends across a wide spectrum of markets.
  3. Systematic Approach:
    All included programs must follow a systematic, rules-based approach to trend following, eliminating discretionary bias and focusing on process-driven decision-making.
  4. Performance Reporting:
    Programs must provide consistent, validated monthly performance data. The data is drawn from the widely respected Nilsson Hedge Database, ensuring accuracy and credibility.
  5. Program Scope:
    While established players are naturally included, we also feature rising stars who may have shorter overall histories but have achieved standout results within the five-year threshold. This focus ensures a balanced view of the established and emerging talent in the industry.

For a full listing of the programs featured in this month’s report, Database List December 2024

 Benchmark Performance Overview

The benchmark for this report reflects the equally weighted performance results of all 111 globally diversified systematic trend-following programs that reported results for December 2024. This approach ensures a comprehensive and unbiased representation of the broader trend-following industry, providing a valuable point of comparison for both emerging and established managers.

For the 5-year period ending in December 2024, the benchmark recorded a Compound Annual Growth Rate (CAGR) of 7.03%, with a 12-month return of 4.04% and a monthly return of 0.84%.

This benchmark serves as an essential tool for evaluating individual programs, offering context on industry-wide performance while accounting for varying market conditions. It highlights the breadth and resilience of systematic trend-following strategies, enabling a better understanding of how diverse approaches navigate global markets.

By anchoring our analysis to this benchmark, we provide readers with a balanced view of the industry’s health and dynamics. This perspective is vital for identifying consistent performers and understanding the evolving landscape of trend-following strategies.

Top 10 List: Month Performance for December 2024

The top 10 performers for December 2024 demonstrated exceptional results, far exceeding the benchmark return of 0.84%. Leading the way was Mulvaney Capital Management’s Global Diversified Program, with an impressive monthly return of 12.76%, setting a high standard for its peers.

Following closely was the EMC Classic Program, delivering a robust return of 8.65%, and AQR Managed Futures HV Strategy, which achieved 5.15%. These programs exemplify the ability of systematic trend-following strategies to capitalize on diverse market opportunities.

Other notable performers include Melissinos Trading’s Eupatrid Commodity Program, which returned 5.16%, and LongTail Alpha’s Enhanced Systematic Trend Following, delivering a solid 4.44%. Programs such as Graham Capital’s Tactical Trend Capped Equity and Man AHL’s Diversified Guernsey Program also showcased their resilience, with returns of 3.93% and 3.71%, respectively.

The top 10 list highlights the adaptability and strength of systematic strategies in navigating challenging market conditions. These programs reflect the diversity and innovation in the trend-following space, featuring a mix of seasoned titans and rising stars achieving standout performance.

Monthly Dispersion Summary: December 2024

The dispersion of returns for December 2024 illustrates a month of varied performance, with the majority of programs clustering around the mean monthly return of 0.84%. The top-performing program achieved an impressive 12.76%, while the lowest return recorded was -10.02%. Most programs delivered results between 0% and 5%, with the peak frequency centred around the 0%-1% range, showcasing stable performance across the majority of strategies.

Over the past five years, trends in monthly dispersion have highlighted moments of heightened volatility, such as the COVID-19 market crash in early 2020 and the October 2023 divergence. These events underscore the dynamic nature of market environments and their impact on program performance. However, recent dispersion levels have largely stabilized, with monthly variations generally falling between 2-4 standard deviations. This trend reflects increasing consistency in systematic trend-following strategies, even as individual programs occasionally deliver standout results.

The dispersion for December 2024 falls within this stabilized range, emphasizing the resilience of systematic strategies to adapt and generate returns in diverse market conditions. Notably, the presence of strong outliers on both ends of the spectrum continues to highlight the capacity for exceptional performance within this space. These outliers serve as a reminder of the potential for systematic trend-following strategies to capitalize on unique opportunities, driving the overall narrative of innovation and adaptability in the industry.

Top 10 List: 5-Year CAGR

The five-year performance metrics offer critical insights into the long-term effectiveness of systematic trend-following strategies. Leading the list for December 2024 is Mulvaney Capital Management’s Global Diversified Program, which boasts an extraordinary 5-Year CAGR of 52.49%, highlighting its ability to deliver robust long-term returns. This exceptional performance comes with a significant Max Drawdown of 39.22%, reflecting the inherent trade-offs between return potential and risk.

In second place, Bowmoor Capital’s Global Alpha Fund achieved a 5-Year CAGR of 25.91%, complemented by a relatively low Max Drawdown of 13.81%, underscoring its disciplined approach to risk management. Notably, Bowmoor Capital’s Global Alpha Fund – Share Class D also performed strongly, with a CAGR of 21.98% and a Max Drawdown of 13.92%, reinforcing the consistency of Bowmoor’s strategies.

Other standout performers include Capital Fund Management’s CFM IST Ltd USD 1.5XF 15% Volatility, with a 5-Year CAGR of 21.98%, and Bastiat Capital’s Divergence Program, which delivered a CAGR of 20.12%. Both programs demonstrate the ability to maintain solid returns while managing risk effectively.

East Coast Capital Management’s ECCM STF Program also secured a notable position, with a 5-Year CAGR of 15.79% and a Max Drawdown of 6.26%, showcasing a strong balance between growth and controlled volatility.

Rounding out the list, Transtrend BV’s Tulip Trend Fund achieved a 5-Year CAGR of 15.28%, while WaveFront Global ASSET Management Corp’s WFGAM Global Investment delivered a CAGR of 14.65%, emphasizing their consistency and resilience in varied market conditions. Lastly, Sterling Partners Quantitative Investments’ SPQI Select concluded the list with a solid CAGR of 13.10%, highlighting the depth of high-performing strategies in this space.

These top 10 programs illustrate the ability of systematic trend-following strategies to generate substantial long-term returns while navigating the complexities of global markets. The balance between innovation and risk management continues to define success in this dynamic industry.

Dispersion of 5-Year CAGR: Summary

The 5-Year CAGR dispersion among the 111 programs highlights the diversity of performance within the systematic trend-following space. With a mean CAGR of 6.59% and a median of 6%, the majority of programs achieved steady, moderate growth over the long term. The range of results—from a high of 52.49% to a low of -6.48%—showcases the breadth of outcomes within this dynamic industry.

Most programs clustered within the 4%-7% CAGR range, reflecting consistent performance close to the benchmark. However, standout outliers achieved exceptional long-term growth, such as the top program with a CAGR of 52.49%, demonstrating the potential for significant success in systematic trend-following strategies. Conversely, a small number of programs experienced negative growth over the 5-year period, underscoring the variability inherent in the space.

With a standard deviation of 6.65%, the dispersion highlights the variability in long-term performance while emphasizing the importance of selecting robust strategies. These figures underscore the adaptability of trend-following approaches and their ability to balance risk and reward over extended timeframes.

Top 10 List: 5-Year MAR Leaders

The top-performing trend-following programs by 5-Year MAR, a key risk-adjusted performance metric, highlight the strategies that excel in balancing strong returns with effective drawdown management.

At the top of the list is East Coast Capital Management’s ECCM STF Program, achieving an exceptional MAR of 2.55. This remarkable performance reflects its ability to combine a 5-Year CAGR of 15.79% with a Max Drawdown of just 6.26%, showcasing an outstanding balance between risk and reward.

Following closely is Bowmoor Capital’s Global Alpha Fund, with a MAR of 1.81, pairing a strong 5-Year CAGR of 25.91% with a low Max Drawdown of 13.81%. Capital Fund Management’s IS Trends Fund and Bastiat Capital’s Divergence Program also performed impressively, delivering MARs of 1.71 and 1.61, respectively, highlighting their disciplined approach to risk-adjusted growth.

Other standout programs include Mulvaney Capital Management’s Global Diversified Program, with a MAR of 1.34, and Campbell & Company’s Managed Futures, achieving a MAR of 1.16, reflecting their ability to deliver consistent returns while managing risk effectively.

These results underscore the critical importance of the 5-Year MAR as a key measure of path-dependent performance. By identifying strategies that excel in risk-adjusted returns over the long term, this list offers a clear view of the industry’s leaders in delivering consistent and resilient performance.

CAGR% vs Max DD% Scatterplot

The scatterplot of CAGR% vs Max DD% for December 2024 highlights the relationship between returns and risk across 111 reporting trend-following programs. The majority of programs are concentrated within the 0-10% CAGR range, with Max Drawdowns falling between 10-30%, reflecting a balance of moderate returns and manageable risk.

Notable outliers provide insights into the diversity within the trend-following space. One program achieved an extraordinary CAGR of 52.49%, accompanied by a high drawdown, demonstrating the potential trade-offs between exceptional returns and risk. Another standout program delivered a CAGR of over 20% with significantly controlled drawdowns, showcasing superior risk-adjusted efficiency.

Conversely, a small number of programs with low or negative CAGRs exhibit limited risk-taking, which may have contributed to their underperformance over the 5-year period.

This scatterplot reinforces the diversity in approaches within systematic trend-following strategies. While many align with industry benchmarks, the standout performers demonstrate the capacity for exceptional returns when paired with effective drawdown management. These insights emphasize the importance of carefully assessing both return potential and risk tolerance when evaluating program effectiveness.

Conclusion

The December 2024 edition of “Rising Stars and Trend Titans” highlights the remarkable achievements of trend-following programs that have excelled across key performance dimensions. From established leaders to emerging talent, these programs continue to push the boundaries of systematic strategies, showcasing the adaptability and innovation driving success in the industry.

A special congratulations to East Coast Capital Management’s ECCM STF Program, which leads the pack with an extraordinary 5-Year MAR of 2.55, pairing disciplined risk management with impressive long-term returns. Mulvaney Capital Management’s Global Diversified Program also deserves recognition for its stellar 5-Year CAGR of 52.49%, a testament to its ability to deliver substantial growth in diverse market conditions.

The Bowmoor Capital Global Alpha Fund stands out with a 5-Year MAR of 1.81, balancing a strong CAGR of 25.91% with a low drawdown, demonstrating exceptional efficiency. Additionally, Capital Fund Management and Bastiat Capital’s Divergence Program showcased consistent performance with impressive risk-adjusted metrics, reinforcing their reputations as leaders in the field.

The broader industry exhibited resilience, with most programs delivering steady results clustered near the benchmark, while standout performers like East Coast Capital and Bowmoor Capital continued to set new benchmarks for risk-adjusted efficiency. These results underscore the diversity of approaches within trend-following, as well as the importance of balancing innovation with proven strategies to succeed in dynamic market environments.

As we close out 2024, “Rising Stars and Trend Titans” celebrates the excellence and resilience of systematic trend-following programs, shining a spotlight on the strategies and managers shaping the future of this dynamic space. Congratulations to all the standout performers this month!

 

 

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