>>
Top blogs de Bolsa Leer RSS blogs de Bolsa Recursos de Bolsa y Finanzas para Bloggers
Pidelo Ahora Gratuitamente
Categorias >
 
- Bolsa
- CFD
- ETF
- Finanzas Personales
- Forex - Divisas
- Foros de bolsa
- Otros
- Warrants

ver ficha del blog
ver rss de twitter
ver rss del blog
ver rss del blog
ver rss del blog
:(estas viendo la Feed ampliada)
Noticias de : Mi trading diario en DAX
Operaciones diarias de trading en futuro Dax y futuro del Euro/Dólar. Psicologia frente a los mercados. Operaciones en tiempo real con sistemas automaticos de trading. Gestión monetaria aplicada a los sistemas.
bb Resultados fondos cuantitativos a septiembre 2016.
13 Nov 2016
Tras meses sin poder actualizar los datos del blog y de los sistemas miro de actualizar la información con estos datos. En la tabla siguiente podemos ver los resultados hasta el mes de septiembre del año 2.016 de los principales  fondos cuantitativos y su acumulado anual. La media de septiembre como podrán ver es de una pérdida de -0,06%, siendo en el acumulado del año de un beneficio de un 0,69%16 de estos fondos (53,33%) tiene el año 2.016 con pérdidas. En mi cartera, el mes de septiembre fue un mes bueno, pero continuando la cartera en negativo. ¿ Cómo seguirá el mes que viene ?. Para saberlo tendremos que esperar. Les recuerdo el enlace a mis últimos resultados publicados: Resultados mensuales acumulados. En la tabla siguiente tienen los resultados de los fondos cuantitativos (fuente: automated-trading-system.com): 



Organisation / Fund

Return YTD * AUM **
Abraham Trading1
-4.33%
5.12%
$220M
Altis Partners2
8.92%
-7.72%
$216M
Aspect Capital3
0.51%
-3.86%
$4,635M
Beach Horizon4
-1.54%
-2.15%
$102M
BlueTrend5
N/A
N/A
N/A
Campbell & Company6
-2.92%
-6.42%
$4,001M
Chesapeake Capital7
0.73%
0.22%
$170M
Clarke Capital8
-2.46%
-3.28%
$10M
Covenant Cap. Mgt.9
0.49%
-1.49%
$22M
Drury Capital10
-2.21%
-7.78%
$222M
Dunn Capital11
1.46%
9.51%
$670M
Eckhardt Trading12
-2.04%
3.75%
$267M
EMC Capital13
-1.35%
-6.20%
$81M
Estlander & Partners14
-3.03%
-2.51%
$182M
Graham Capital15
-0.63%
-2.88%
$2,723M
Hawksbill Capital16
3.23%
-4.61%
$58M
Hyman Beck & Co.17
1.01%
-5.06%
$181M
ISAM18
-0.74%
-9.16%
$1,650M
Lynx Asset Mgt19
-5.19%
7.51%
$5,700M
Man AHL Diversified20
-2.76%
6.13%
$643M
Mark J. Walsh & Co.21
-3.57%
-8.30%
$54M
Millburn Ridgefield22
1.04%
14.31%
$237M
Mulvaney Capital23
18.22%
16.65%
$223M
Quantica Capital24
0.50%
9.88%
$451M
Rabar Market Research25
-0.42%
-0.10%
$87M
Saxon Investment26
-0.72%
-2.74%
$31M
Sunrise Capital27
-0.65%
0.71%
$600M
Tactical Investment Mgt28
-1.72%
6.68%
$51M
Transtrend29
-1.30%
8.04%
$4,852M
Winton Capital30
-0.30%
2.89%
$13,100M
Summary Figures***
-0.06%
0.59%
$41,439M
 

Notes
* YTD: Year-To-Date performance.
** AUM: Assets Under Management for the program reported here (not total firm AUM)
*** The summary numbers are the mean of the monthly return and the mean of the YTD, with the total sum of AUM, across all managers

Note that the figures referenced in the performance table are not provided directly by any of the funds/CTAs featured in this report, but are sourced from other publications such as hedge fund/CTA websites and databases.

1 – Abraham Trading was founded by Salem Abraham, after he was introduced to Managed Futures and Trend Following by Jerry Parker. He is considered as a “second-generation” Turtle.
Program tracked: Diversified Program. 2 – Altis Partners started trading in 2001 and now manage over a $1B with their Altis Global Futures Portfolio. The figures referenced in the performance table are not provided by Altis Partners and no reliance should be taken as to their accuracy, and as a consequence the figures may not be in accordance with any CFTC / NFA performance reporting requirements.
Program tracked: Global Futures Portfolio.
3 – The four founders of Aspect (Eugene Lambert, Anthony Todd, Michael Adam and Martin Lueck) were significant members of one of the most successful funds in managed futures – AHL (Adam, Harding and Lueck).
Program tracked: Aspect Capital Diversified Program.
4 – Beach Horizon was created as a fully automated trend following subsidiary of Beach Capital Mgt, founded by David Beach. Two of the founders of Beach Horizon had early involvement in AHL.
Program Tracked: Managed Account.
5 – BlueTrend, from BlueCrest Capital, is one of the largest Trend Following funds – headed by Ms. Leda Braga.
Program tracked: BlueTrend Fund Limited (GBP).
6 – Campbell & Company is one of the oldest Trend Following firms, operating for around 4 decades.
Program tracked: Global Diversified Large.
7 – Chesapeake Capital was founded by Jerry Parker, a former Turtle.
Program tracked: Diversified Program.
8 – Clarke Capital was founded by Michael Clarke in 1993.
Program tracked: Millenium Program.
9 – Covenant Capital is a CTA from Nashville. Program tracked: Aggressive Program
10 – Drury Capital, Inc., was founded in Illinois in 1992 by Bernard Drury.
Program tracked: Diversified Trend-Following.
11 – Dunn Capital was founded by Bill Dunn.
Program tracked: World Monetary and Agriculture (WMA).
12 – Eckhardt Trading is the firm managed by William Eckhardt, who co-led the Turtle experiment with Richard Dennis.
Program tracked: Standard Program.
13 – EMC Capital was founded by Liz Cheval, a former Turtle.
Program tracked: EMC Classic Program.
14 – Estlander is a Finnish CTA, founded by Martin Estlander. Program tracked: Alpha Trend.
15 – Graham Capital was founded in 1994 by Ken Tropin, previously a Director of JWH.
Program tracked: K4-D10.
16 – Hawksbill Capital was founded by Tom Shanks, a former Turtle.
Program tracked: Global Diversified Program.
17 – Hyman Beck & Co. main principals are Alexander Hyman and Carl Beck.
Program tracked: Global Portfolio.
18 – ISAM’s main individuals are Larry Hite and Stanley Fink, both instrumental in the success of MAN AHL. Program tracked: ISAM Systematic Fund Class A
19 – Lynx Asset Management is a multi-billion CTA out of Sweden. Program tracked: Lynx Program
20 – Originally ED & F Man, a commodities broker business founded in 1783. Man became a succesful CTA starting in 1983, when partnering with Larry Hite’s Mint Investments. Subsequently Man gradually acquires AHL (1989-1994) to form Man AHL: the systematic trading division of the Man group.
Program tracked: Man AHL Diversified Plc
21 – Mark J. Walsh was not an official Turtle but trained and worked closely with Richard Dennis before starting his own fund management business.
Program tracked: Standard Program.
22 – Millburn Ridgefield have been trading Trend Following models since the early 1970’s.
Program tracked: Diversified Program.
23 – Mulvaney Capital Management was founded in 1999 by Paul Mulvaney and focuses on long-term trend following.
Program tracked: Mulvaney Global Markets
24 – Program tracked: Managed Futures Program
25 – Rabar Market Research is the company of Paul Rabar, a former Turtle.
Program tracked: Diversified Program.
26 – Saxon Investment was founded by Howard Seidler, a former Turtle.
Program tracked: Aggressive Diversified Program.
27 – Sunrise Capital is a CTA based in San Diego. Founded in 1980 by Gary Davis, it merged in 1995 with Commodity Commodity Monitors, Inc., founded by Rick Slaughter in 1977.
Program tracked: Sunrise Evolution
28 – Tactical Investment Management was founded by David Druz, student of Ed Seykota.
Program tracked: Institutional Commodity Program.
29 – Transtrend is a Trend follower CTA based in Netherlands.
Program tracked: DTP – Enhanced Risk (USD).
30 – Winton Capital is a London-based CTA founded by Dave Harding (also co-founder of AHL).
Program tracked: Diversified Program.
 
bb Resultados fondos cuantitativos a febrero 2016.
23 Mar 2016
En la tabla siguiente podemos ver los resultados hasta el mes de enero del año 2.016 de los principales  fondos cuantitativos y su acumulado anual. La media de febrero como podrán ver es de un beneficio de un 2,83%, siendo en el acumulado del año de un beneficio de un 6,49%1 de estos fondos (0,03%) tiene el año 2.016 con pérdidas. En mi cartera, el mes de febrero ha sido un mes malo, continuando la cartera en negativo. ¿ Cómo seguirá el mes que viene ?. Para saberlo tendremos que esperar. Les recuerdo el enlace a mis últimos resultados publicados: Resultados mensuales acumulados. En la tabla siguiente tienen los resultados de los fondos cuantitativos (fuente: automated-trading-system.com): 


Organisation / FundReturnYTD *AUM **
Abraham Trading1
2.59%
9.90%
$232M
Altis Partners2
2.01%
1.23%
$354M
Aspect Capital3
2.26%
5.17%
$6,638M
Beach Horizon4
4.22%
8.63%
$104M
BlueTrend5
N/A
N/A
N/A
Campbell & Company6
0.95%
3.66%
$4,767M
Chesapeake Capital7
0.68%
0.99%
$179M
Clarke Capital8
1.02%
0.94%
$14M
Covenant Cap. Mgt.9
-0.35%
-2.58%
$44M
Drury Capital10
2.80%
5.78%
$221M
Dunn Capital11
2.52%
6.78%
$611M
Eckhardt Trading12
3.14%
11.14%
$319M
EMC Capital13
5.13%
14.29%
$97M
Estlander & Partners14
4.47%
10.27%
$300M
Graham Capital15
N/A
N/A
N/A
Hawksbill Capital16
-0.01%
8.84%
$67M
Hyman Beck & Co.17
0.95%
1.55%
$181M
ISAM18
4.45%
10.41%
$1,330M
Lynx Asset Mgt19
3.57%
5.84%
$5,700M
Man AHL Diversified20
3.42%
7.84%
$909M
Mark J. Walsh & Co.21
1.29%
4.26%
$85M
Millburn Ridgefield22
2.89%
7.77%
$849M
Mulvaney Capital23
10.75%
17.33%
$223M
Quantica Capital24
2.90%
8.97%
$493M
Rabar Market Research25
1.68%
4.24%
$85M
Saxon Investment26
0.99%
1.42%
$32M
Sunrise Capital27
2.02%
3.88%
$600M
Tactical Investment Mgt28
5.40%
6.96%
$62M
Transtrend29
5.64%
10.62%
$5,090M
Winton Capital30
1.72%
5.54%
$33,900M
Summary Figures***
2.83%
6.49%
$63,486M

Notes
* YTD: Year-To-Date performance.
** AUM: Assets Under Management for the program reported here (not total firm AUM)
*** The summary numbers are the mean of the monthly return and the mean of the YTD, with the total sum of AUM, across all managers
 
Note that the figures referenced in the performance table are not provided directly by any of the funds/CTAs featured in this report, but are sourced from other publications such as hedge fund/CTA websites and databases.
 
1 – Abraham Trading was founded by Salem Abraham, after he was introduced to Managed Futures and Trend Following by Jerry Parker. He is considered as a “second-generation” Turtle.
Program tracked: Diversified Program.
2 – Altis Partners started trading in 2001 and now manage over a $1B with their Altis Global Futures Portfolio. The figures referenced in the performance table are not provided by Altis Partners and no reliance should be taken as to their accuracy, and as a consequence the figures may not be in accordance with any CFTC / NFA performance reporting requirements.
Program tracked: Global Futures Portfolio.

3 – The four founders of Aspect (Eugene Lambert, Anthony Todd, Michael Adam and Martin Lueck) were significant members of one of the most successful funds in managed futures – AHL (Adam, Harding and Lueck).
Program tracked: Aspect Capital Diversified Program.

4 – Beach Horizon was created as a fully automated trend following subsidiary of Beach Capital Mgt, founded by David Beach. Two of the founders of Beach Horizon had early involvement in AHL.
Program Tracked: Managed Account.

5 – BlueTrend, from BlueCrest Capital, is one of the largest Trend Following funds – headed by Ms. Leda Braga.
Program tracked: BlueTrend Fund Limited (GBP).

6 – Campbell & Company is one of the oldest Trend Following firms, operating for around 4 decades.
Program tracked: Global Diversified Large.

7 – Chesapeake Capital was founded by Jerry Parker, a former Turtle.
Program tracked: Diversified Program.

8 – Clarke Capital was founded by Michael Clarke in 1993.
Program tracked: Millenium Program.

9 – Covenant Capital is a CTA from Nashville. Program tracked: Aggressive Program
10 – Drury Capital, Inc., was founded in Illinois in 1992 by Bernard Drury.
Program tracked: Diversified Trend-Following.

11 – Dunn Capital was founded by Bill Dunn.
Program tracked: World Monetary and Agriculture (WMA).

12 – Eckhardt Trading is the firm managed by William Eckhardt, who co-led the Turtle experiment with Richard Dennis.
Program tracked: Standard Program.

13 – EMC Capital was founded by Liz Cheval, a former Turtle.
Program tracked: EMC Classic Program.

14 – Estlander is a Finnish CTA, founded by Martin Estlander. Program tracked: Alpha Trend.
15 – Graham Capital was founded in 1994 by Ken Tropin, previously a Director of JWH.
Program tracked: K4-D10.

16 – Hawksbill Capital was founded by Tom Shanks, a former Turtle.
Program tracked: Global Diversified Program.

17 – Hyman Beck & Co. main principals are Alexander Hyman and Carl Beck.
Program tracked: Global Portfolio.

18 – ISAM’s main individuals are Larry Hite and Stanley Fink, both instrumental in the success of MAN AHL. Program tracked: ISAM Systematic Fund Class A
19 – Lynx Asset Management is a multi-billion CTA out of Sweden. Program tracked: Lynx Program
20 – Originally ED & F Man, a commodities broker business founded in 1783. Man became a succesful CTA starting in 1983, when partnering with Larry Hite’s Mint Investments. Subsequently Man gradually acquires AHL (1989-1994) to form Man AHL: the systematic trading division of the Man group.
Program tracked: Man AHL Diversified Plc

21 – Mark J. Walsh was not an official Turtle but trained and worked closely with Richard Dennis before starting his own fund management business.
Program tracked: Standard Program.

22 – Millburn Ridgefield have been trading Trend Following models since the early 1970’s.
Program tracked: Diversified Program.

23 – Mulvaney Capital Management was founded in 1999 by Paul Mulvaney and focuses on long-term trend following.
Program tracked: Mulvaney Global Markets

24 – Program tracked: Managed Futures Program
25 – Rabar Market Research is the company of Paul Rabar, a former Turtle.
Program tracked: Diversified Program.

26 – Saxon Investment was founded by Howard Seidler, a former Turtle.
Program tracked: Aggressive Diversified Program.

27 – Sunrise Capital is a CTA based in San Diego. Founded in 1980 by Gary Davis, it merged in 1995 with Commodity Commodity Monitors, Inc., founded by Rick Slaughter in 1977.
Program tracked: Sunrise Evolution

28 – Tactical Investment Management was founded by David Druz, student of Ed Seykota.
Program tracked: Institutional Commodity Program.

29 – Transtrend is a Trend follower CTA based in Netherlands.
Program tracked: DTP – Enhanced Risk (USD).

30 – Winton Capital is a London-based CTA founded by Dave Harding (also co-founder of AHL).
Program tracked: Diversified Program.
bb Resultados sistemas a febrero 2.016.
3 Mar 2016
Ya acabado el mes de febrero podemos ver los resultados de los sistemas (salvo error de anotación). Para tener una orientación, también publico los completos del año 2.015, 2.014, 2.013 y 2.012 para cada uno de ellos. Los resultados en este mes han sido malos de nuevo y la cartera global continua el año con perdidas, aunque reducidas respecto al mes de enero. Los resultados de la columna de cada mes reflejan el del periodo completo de los meses en conjunto, reflejando el periodo de 1/01/2.016 hasta el fin de mes correspondiente. Del sistema SPAG publico los resultados en sus dos versiones actuales, la SPAG y SPAGV2. He incluido en la tabla los resultados del último sistema publicado el IntraDiaFull (IDF) pero solo aplicado a 4 mercados, 2 europeos (Dax y CAC) y dos americanos (Mini SP y Mini Rusell ).  Este mes han habido 11 del total de sistemas que se salden con resultado positivo en su acumulado anual 2.016.  
Lo que si queda claro, mes tras mes, que es  imprescindible una buena diversificación tanto de sistemas y estilos de operativa como en la operativa en distintos derivados para poder ser minimamente consistente en los resultados y tratar de minimizar las pérdidas.. Siempre podemos encontrarnos sistemas que deben apartarse de la operativa y deber ser sustituidos por otros que tengamos a disposición en reserva. Siempre hay que estar investigando en nuevos sistemas, derivados y estilos de operativa. Por muchos sistemas de que dispongamos, no tenemos asegurada rentabilidad alguna y si sufrimiento para conseguirla. Unos años unos sistemas fallan y al siguiente remontan el vuelo y vuelven a los beneficios, pero también sucede al revés. NO HAY NADA QUE FUNCIONE SIEMPRE Y EN TODOS LOS ESCENARIOS.
Tengo ya comercializándose y auditándose de forma externa nuevos sistemas automáticos de trading en la plataforma de TradingMotion. Si algún lector desea tener información de dichos sistemas pueden verlos alli bajo el nombre del desarrollador Esoftrading. Los sistemas alli comercializados no son ninguno de los publicados aqui en este blog. También pueden escribirme un mail solicitando información.
Veamos los resultados de todos los sistemas sin detalle de su drawdown actual en esta ocasión: (clica en la imagen para verla más grande y clara):


bb Resultados fondos cuantitativos Enero 2.016.
2 Mar 2016
En la tabla siguiente podemos ver los resultados hasta el mes de enero del año 2.016 de los principales fondos cuantitativos y su acumulado anual. La media de enero como podrán ver es de un beneficio de un 3,47%, siendo en el acumulado del año de un beneficio de un 3,47%3 de estos fondos (10,00%) inicia el año 2.016 con pérdidas. En mi cartera, el mes de enero ha sido un mes malo, iniciando la cartera en negativo. ¿ Cómo seguirá el mes que viene y como será el nuevo año ?. Para saberlo tendremos que esperar. Les recuerdo el enlace a mis últimos resultados publicados: Resultados mensuales acumulados. En la tabla siguiente tienen los resultados de los fondos cuantitativos (fuente: automated-trading-system.com): 
Organisation / FundReturnYTD *AUM **
Abraham Trading1
7.18%
7.18%
$232M
Altis Partners2
-0.78%
-0.78%
$346M
Aspect Capital3
2.85%
2.85%
$5,008M
Beach Horizon4
4.20%
4.20%
$102M
BlueTrend5
N/A
N/A
N/A
Campbell & Company6
2.70%
2.70%
$4,732M
Chesapeake Capital7
0.31%
0.31%
$170M
Clarke Capital8
-0.08%
-0.08%
$14M
Covenant Cap. Mgt.9
-2.24%
-2.24%
$65M
Drury Capital10
2.89%
2.89%
$215M
Dunn Capital11
4.16%
4.16%
$574M
Eckhardt Trading12
7.80%
7.80%
$310M
EMC Capital13
8.84%
8.84%
$97M
Estlander & Partners14
5.52%
5.52%
$269M
Graham Capital15
1.43%
1.43%
$3,097M
Hawksbill Capital16
8.93%
8.93%
$67M
Hyman Beck & Co.17
0.53%
0.53%
$181M
ISAM18
5.71%
5.71%
$1,230M
Lynx Asset Mgt19
2.19%
2.19%
$5,700M
Man AHL Diversified20
4.27%
4.27%
$893M
Mark J. Walsh & Co.21
2.93%
2.93%
$84M
Millburn Ridgefield22
4.74%
4.74%
$813M
Mulvaney Capital23
5.94%
5.94%
$197M
Quantica Capital24
5.90%
5.90%
$500M
Rabar Market Research25
2.49%
2.49%
$95M
Saxon Investment26
0.43%
0.43%
$32M
Sunrise Capital27
1.82%
1.82%
$600M
Tactical Investment Mgt28
1.48%
1.48%
$59M
Transtrend29
4.71%
4.71%
$4,841M
Winton Capital30
3.76%
3.76%
$33,900M
Summary Figures***
3.47%
3.47%
$64,423M
Notes
* YTD: Year-To-Date performance.
** AUM: Assets Under Management for the program reported here (not total firm AUM)
*** The summary numbers are the mean of the monthly return and the mean of the YTD, with the total sum of AUM, across all managers
 
Note that the figures referenced in the performance table are not provided directly by any of the funds/CTAs featured in this report, but are sourced from other publications such as hedge fund/CTA websites and databases.
 
1 – Abraham Trading was founded by Salem Abraham, after he was introduced to Managed Futures and Trend Following by Jerry Parker. He is considered as a “second-generation” Turtle.
Program tracked: Diversified Program.
2 – Altis Partners started trading in 2001 and now manage over a $1B with their Altis Global Futures Portfolio. The figures referenced in the performance table are not provided by Altis Partners and no reliance should be taken as to their accuracy, and as a consequence the figures may not be in accordance with any CFTC / NFA performance reporting requirements.
Program tracked: Global Futures Portfolio.

3 – The four founders of Aspect (Eugene Lambert, Anthony Todd, Michael Adam and Martin Lueck) were significant members of one of the most successful funds in managed futures – AHL (Adam, Harding and Lueck).
Program tracked: Aspect Capital Diversified Program.

4 – Beach Horizon was created as a fully automated trend following subsidiary of Beach Capital Mgt, founded by David Beach. Two of the founders of Beach Horizon had early involvement in AHL.
Program Tracked: Managed Account.

5 – BlueTrend, from BlueCrest Capital, is one of the largest Trend Following funds – headed by Ms. Leda Braga.
Program tracked: BlueTrend Fund Limited (GBP).

6 – Campbell & Company is one of the oldest Trend Following firms, operating for around 4 decades.
Program tracked: Global Diversified Large.

7 – Chesapeake Capital was founded by Jerry Parker, a former Turtle.
Program tracked: Diversified Program.

8 – Clarke Capital was founded by Michael Clarke in 1993.
Program tracked: Millenium Program.

9 – Covenant Capital is a CTA from Nashville. Program tracked: Aggressive Program
10 – Drury Capital, Inc., was founded in Illinois in 1992 by Bernard Drury.
Program tracked: Diversified Trend-Following.

11 – Dunn Capital was founded by Bill Dunn.
Program tracked: World Monetary and Agriculture (WMA).

12 – Eckhardt Trading is the firm managed by William Eckhardt, who co-led the Turtle experiment with Richard Dennis.
Program tracked: Standard Program.

13 – EMC Capital was founded by Liz Cheval, a former Turtle.
Program tracked: EMC Classic Program.

14 – Estlander is a Finnish CTA, founded by Martin Estlander. Program tracked: Alpha Trend.
15 – Graham Capital was founded in 1994 by Ken Tropin, previously a Director of JWH.
Program tracked: K4-D10.

16 – Hawksbill Capital was founded by Tom Shanks, a former Turtle.
Program tracked: Global Diversified Program.

17 – Hyman Beck & Co. main principals are Alexander Hyman and Carl Beck.
Program tracked: Global Portfolio.

18 – ISAM’s main individuals are Larry Hite and Stanley Fink, both instrumental in the success of MAN AHL. Program tracked: ISAM Systematic Fund Class A
19 – Lynx Asset Management is a multi-billion CTA out of Sweden. Program tracked: Lynx Program
20 – Originally ED & F Man, a commodities broker business founded in 1783. Man became a succesful CTA starting in 1983, when partnering with Larry Hite’s Mint Investments. Subsequently Man gradually acquires AHL (1989-1994) to form Man AHL: the systematic trading division of the Man group.
Program tracked: Man AHL Diversified Plc

21 – Mark J. Walsh was not an official Turtle but trained and worked closely with Richard Dennis before starting his own fund management business.
Program tracked: Standard Program.

22 – Millburn Ridgefield have been trading Trend Following models since the early 1970’s.
Program tracked: Diversified Program.

23 – Mulvaney Capital Management was founded in 1999 by Paul Mulvaney and focuses on long-term trend following.
Program tracked: Mulvaney Global Markets

24 – Program tracked: Managed Futures Program
25 – Rabar Market Research is the company of Paul Rabar, a former Turtle.
Program tracked: Diversified Program.

26 – Saxon Investment was founded by Howard Seidler, a former Turtle.
Program tracked: Aggressive Diversified Program.

27 – Sunrise Capital is a CTA based in San Diego. Founded in 1980 by Gary Davis, it merged in 1995 with Commodity Commodity Monitors, Inc., founded by Rick Slaughter in 1977.
Program tracked: Sunrise Evolution

28 – Tactical Investment Management was founded by David Druz, student of Ed Seykota.
Program tracked: Institutional Commodity Program.

29 – Transtrend is a Trend follower CTA based in Netherlands.
Program tracked: DTP – Enhanced Risk (USD).

30 – Winton Capital is a London-based CTA founded by Dave Harding (also co-founder of AHL).
Program tracked: Diversified Program.


bb Resultados sistemas a enero 2.016.
4 Feb 2016
Ya acabado el mes de enero podemos ver los resultados de los sistemas (salvo error de anotación). Para tener una orientación, también publico los completos del año 2.015, 2.014, 2.013 y 2.012 para cada uno de ellos. Los resultados en este mes han sido malos y la cartera global inicia el año con perdidas. Los resultados de la columna de cada mes reflejan el del periodo completo de los meses en conjunto, reflejando el periodo de 1/01/2.016 hasta el fin de mes correspondiente. Del sistema SPAG publico los resultados en sus dos versiones actuales, la SPAG y SPAGV2. He incluido en la tabla los resultados del último sistema publicado el IntraDiaFull (IDF) pero solo aplicado a 4 mercados, 2 europeos (Dax y CAC) y dos americanos (Mini SP y Mini Rusell ).  Este mes han habido 10 del total de sistemas que se salden con resultado positivo en su acumulado anual 2.016.  
Lo que si queda claro, mes tras mes, que es  imprescindible una buena diversificación tanto de sistemas y estilos de operativa como en la operativa en distintos derivados para poder ser minimamente consistente en los resultados y tratar de minimizar las pérdidas.. Siempre podemos encontrarnos sistemas que deben apartarse de la operativa y deber ser sustituidos por otros que tengamos a disposición en reserva. Siempre hay que estar investigando en nuevos sistemas, derivados y estilos de operativa. Por muchos sistemas de que dispongamos, no tenemos asegurada rentabilidad alguna y si sufrimiento para conseguirla. Unos años unos sistemas fallan y al siguiente remontan el vuelo y vuelven a los beneficios, pero también sucede al revés. NO HAY NADA QUE FUNCIONE SIEMPRE Y EN TODOS LOS ESCENARIOS.
Tengo ya comercializándose y auditándose de forma externa nuevos sistemas automáticos de trading en la plataforma de TradingMotion. Si algún lector desea tener información de dichos sistemas pueden verlos alli bajo el nombre del desarrollador Esoftrading. Los sistemas alli comercializados no son ninguno de los publicados aqui en este blog. También pueden escribirme un mail solicitando información.
Veamos los resultados de todos los sistemas sin detalle de su drawdown actual en esta ocasión: (clica en la imagen para verla más grande y clara):



bb Resultados fondos cuantitativos Diciembre 2.015.
4 Feb 2016
En la tabla siguiente podemos ver los resultados hasta el mes de diciembre del año 2.015 de los principales fondos cuantitativos y su acumulado anual. La media de diciembre como podrán ver es de una pérdida de un -2,53%, siendo en el acumulado del año de unas pérdidas de -2,69%17 de estos fondos (56,66%) tiene el año 2.015 con pérdidas. En mi cartera, el mes de diciembre ha sido un mes también malo, pero no me ha dejado la cartera en negativo ni mucho menos. ¿ Cómo seguirá el mes que viene y como será el nuevo año ?. Para saberlo tendremos que esperar. Les recuerdo el enlace a mis últimos resultados publicados: Resultados mensuales acumulados. En la tabla siguiente tienen los resultados de los fondos cuantitativos (fuente: automated-trading-system.com): 

Organisation / FundReturnYTD *AUM **
Abraham Trading1
-1.07%
-6.39%
$220M
Altis Partners2
-5.27%
-1.44%
$372M
Aspect Capital3
-1.54%
7.92%
$4,981M
Beach Horizon4
0.89%
5.29%
$99M
BlueTrend5
N/A
N/A
N/A
Campbell & Company6
-3.59%
-3.79%
$4,613M
Chesapeake Capital7
-0.53%
1.99%
$152M
Clarke Capital8
-4.05%
-2.86%
$15M
Covenant Cap. Mgt.9
-1.98%
-23.07%
$67M
Drury Capital10
-3.14%
-2.35%
$209M
Dunn Capital11
-4.24%
10.92%
$542M
Eckhardt Trading12
-7.37%
-8.91%
$280M
EMC Capital13
-3.26%
0.17%
$84M
Estlander & Partners14
-2.16%
0.77%
$231M
Graham Capital15
-0.62%
1.19%
$3,065M
Hawksbill Capital16
-1.26%
-0.90%
$63M
Hyman Beck & Co.17
-3.46%
2.98%
$181M
ISAM18
1.48%
15.15%
$1,070M
Lynx Asset Mgt19
-3.93%
-8.92%
$5,700M
Man AHL Diversified20
-3.24%
-2.74%
$859M
Mark J. Walsh & Co.21
-3.91%
-11.74%
$81M
Millburn Ridgefield22
0.36%
5.56%
$769M
Mulvaney Capital23
-2.10%
-0.77%
$187M
Quantica Capital24
-3.30%
-15.41%
$500M
Rabar Market Research25
-5.89%
-13.83%
$110M
Saxon Investment26
-0.30%
-19.64%
$31M
Sunrise Capital27
-0.75%
-6.67%
$700M
Tactical Investment Mgt28
-2.25%
0.46%
$61M
Transtrend29
-5.24%
-2.46%
$4,749M
Winton Capital30
-1.58%
1.61%
$33,000M
Summary Figures***
-2.53%
-2.69%
$62,991M

Notes
* YTD: Year-To-Date performance.
** AUM: Assets Under Management for the program reported here (not total firm AUM)
*** The summary numbers are the mean of the monthly return and the mean of the YTD, with the total sum of AUM, across all managers
 
Note that the figures referenced in the performance table are not provided directly by any of the funds/CTAs featured in this report, but are sourced from other publications such as hedge fund/CTA websites and databases.
 
1 – Abraham Trading was founded by Salem Abraham, after he was introduced to Managed Futures and Trend Following by Jerry Parker. He is considered as a “”second-generation”” Turtle.
Program tracked: Diversified Program.
2 – Altis Partners started trading in 2001 and now manage over a $1B with their Altis Global Futures Portfolio. The figures referenced in the performance table are not provided by Altis Partners and no reliance should be taken as to their accuracy, and as a consequence the figures may not be in accordance with any CFTC / NFA performance reporting requirements.
Program tracked: Global Futures Portfolio.

3 – The four founders of Aspect (Eugene Lambert, Anthony Todd, Michael Adam and Martin Lueck) were significant members of one of the most successful funds in managed futures – AHL (Adam, Harding and Lueck).
Program tracked: Aspect Capital Diversified Program.

4 – Beach Horizon was created as a fully automated trend following subsidiary of Beach Capital Mgt, founded by David Beach. Two of the founders of Beach Horizon had early involvement in AHL.
Program Tracked: Managed Account.

5 – BlueTrend, from BlueCrest Capital, is one of the largest Trend Following funds – headed by Ms. Leda Braga.
Program tracked: BlueTrend Fund Limited (GBP).

6 – Campbell & Company is one of the oldest Trend Following firms, operating for around 4 decades.
Program tracked: Global Diversified Large.

7 – Chesapeake Capital was founded by Jerry Parker, a former Turtle.
Program tracked: Diversified Program.

8 – Clarke Capital was founded by Michael Clarke in 1993.
Program tracked: Millenium Program.

9 – Covenant Capital is a CTA from Nashville. Program tracked: Aggressive Program
10 – Drury Capital, Inc., was founded in Illinois in 1992 by Bernard Drury.
Program tracked: Diversified Trend-Following.

11 – Dunn Capital was founded by Bill Dunn.
Program tracked: World Monetary and Agriculture (WMA).

12 – Eckhardt Trading is the firm managed by William Eckhardt, who co-led the Turtle experiment with Richard Dennis.
Program tracked: Standard Program.

13 – EMC Capital was founded by Liz Cheval, a former Turtle.
Program tracked: EMC Classic Program.

14 – Estlander is a Finnish CTA, founded by Martin Estlander. Program tracked: Alpha Trend.
15 – Graham Capital was founded in 1994 by Ken Tropin, previously a Director of JWH.
Program tracked: K4-D10.

16 – Hawksbill Capital was founded by Tom Shanks, a former Turtle.
Program tracked: Global Diversified Program.

17 – Hyman Beck & Co. main principals are Alexander Hyman and Carl Beck.
Program tracked: Global Portfolio.

18 – ISAM’s main individuals are Larry Hite and Stanley Fink, both instrumental in the success of MAN AHL. Program tracked: ISAM Systematic Fund Class A
19 – Lynx Asset Management is a multi-billion CTA out of Sweden. Program tracked: Lynx Program
20 – Originally ED & F Man, a commodities broker business founded in 1783. Man became a succesful CTA starting in 1983, when partnering with Larry Hite’s Mint Investments. Subsequently Man gradually acquires AHL (1989-1994) to form Man AHL: the systematic trading division of the Man group.
Program tracked: Man AHL Diversified Plc

21 – Mark J. Walsh was not an official Turtle but trained and worked closely with Richard Dennis before starting his own fund management business.
Program tracked: Standard Program.

22 – Millburn Ridgefield have been trading Trend Following models since the early 1970’s.
Program tracked: Diversified Program.

23 – Mulvaney Capital Management was founded in 1999 by Paul Mulvaney and focuses on long-term trend following.
Program tracked: Mulvaney Global Markets

24 – Program tracked: Managed Futures Program
25 – Rabar Market Research is the company of Paul Rabar, a former Turtle.
Program tracked: Diversified Program.

26 – Saxon Investment was founded by Howard Seidler, a former Turtle.
Program tracked: Aggressive Diversified Program.

27 – Sunrise Capital is a CTA based in San Diego. Founded in 1980 by Gary Davis, it merged in 1995 with Commodity Commodity Monitors, Inc., founded by Rick Slaughter in 1977.
Program tracked: Sunrise Evolution

28 – Tactical Investment Management was founded by David Druz, student of Ed Seykota.
Program tracked: Institutional Commodity Program.

29 – Transtrend is a Trend follower CTA based in Netherlands.
Program tracked: DTP – Enhanced Risk (USD).

30 – Winton Capital is a London-based CTA founded by Dave Harding (also co-founder of AHL).
Program tracked: Diversified Program.
bb Resultados sistemas a diciembre 2.015
22 Jan 2016
Ya acabado el mes de diciembre podemos ver los resultados de los sistemas (salvo error de anotación). Para tener una orientación, también publico los completos del año 2.014, 2.013 y 2.012 para cada uno de ellos. Los resultados en este mes han empeorado y la cartera global disminuye  los beneficios este 2.015. Los resultados de la columna de cada mes reflejan el del periodo completo de los meses en conjunto, reflejando el periodo de 1/01/2.015 hasta el fin de mes correspondiente. Del sistema SPAG publico los resultados en sus dos versiones actuales, la SPAG y SPAGV2. He incluido en la tabla los resultados del último sistema publicado el IntraDiaFull (IDF) pero solo aplicado a 4 mercados, 2 europeos (Dax y CAC) y dos americanos (Mini SP y Mini Rusell ).  Este mes han habido 12 del total de sistemas que se salden con resultado positivo en su acumulado anual 2.015. Los resultados finales del ejercicio han mejorado los de los dos ultimos años, lo cual es una buena muestra de la fortaleza de la cartera global. 
Lo que si queda claro, mes tras mes, que es  imprescindible una buena diversificación tanto de sistemas y estilos de operativa como en la operativa en distintos derivados para poder ser minimamente consistente en los resultados y tratar de minimizar las pérdidas.. Siempre podemos encontrarnos sistemas que deben apartarse de la operativa y deber ser sustituidos por otros que tengamos a disposición en reserva. Siempre hay que estar investigando en nuevos sistemas, derivados y estilos de operativa. Por muchos sistemas de que dispongamos, no tenemos asegurada rentabilidad alguna y si sufrimiento para conseguirla. Unos años unos sistemas fallan y al siguiente remontan el vuelo y vuelven a los beneficios, pero también sucede al revés. NO HAY NADA QUE FUNCIONE SIEMPRE Y EN TODOS LOS ESCENARIOS.
Tengo ya comercializándose y auditándose de forma externa nuevos sistemas automáticos de trading en la plataforma de TradingMotion. Si algún lector desea tener información de dichos sistemas pueden verlos alli bajo el nombre del desarrollador Esoftrading. Los sistemas alli comercializados no son ninguno de los publicados aqui en este blog. También pueden escribirme un mail solicitando información.
Veamos los resultados de todos los sistemas sin detalle de su drawdown actual en esta ocasión: (clica en la imagen para verla más grande y clara):


bb Resultados sistemas a Noviembre 2.015.
11 Dec 2015
Ya acabado el mes de noviembre podemos ver los resultados de los sistemas (salvo error de anotación). Para tener una orientación, también publico los completos del año 2.014, 2.013 y 2.012 para cada uno de ellos. Los resultados en este mes han mejorado y la cartera global aumenta  los beneficios este 2.015, alcanzando su punto mas alto hasta este mes. Los resultados de la columna de cada mes reflejan el del periodo completo de los meses en conjunto, reflejando el periodo de 1/01/2.015 hasta el fin de mes correspondiente. Del sistema SPAG publico los resultados en sus dos versiones actuales, la SPAG y SPAGV2. He incluido en la tabla los resultados del último sistema publicado el IntraDiaFull (IDF) pero solo aplicado a 4 mercados, 2 europeos (Dax y CAC) y dos americanos (Mini SP y Mini Rusell ).  Este mes han habido 13 del total de sistemas que se salden con resultado positivo en su acumulado anual 2.015.
Lo que si queda claro, mes tras mes, que es  imprescindible una buena diversificación tanto de sistemas y estilos de operativa como en la operativa en distintos derivados para poder ser minimamente consistente en los resultados y tratar de minimizar las pérdidas.. Siempre podemos encontrarnos sistemas que deben apartarse de la operativa y deber ser sustituidos por otros que tengamos a disposición en reserva. Siempre hay que estar investigando en nuevos sistemas, derivados y estilos de operativa. Por muchos sistemas de que dispongamos, no tenemos asegurada rentabilidad alguna y si sufrimiento para conseguirla. Unos años unos sistemas fallan y al siguiente remontan el vuelo y vuelven a los beneficios, pero también sucede al revés. NO HAY NADA QUE FUNCIONE SIEMPRE Y EN TODOS LOS ESCENARIOS.
Tengo ya comercializándose y auditándose de forma externa nuevos sistemas automáticos de trading en la plataforma de TradingMotion. Si algún lector desea tener información de dichos sistemas pueden verlos alli bajo el nombre del desarrollador Esoftrading. Los sistemas alli comercializados no son ninguno de los publicados aqui en este blog. También pueden escribirme un mail solicitando información.
Veamos los resultados de todos los sistemas sin detalle de su drawdown actual en esta ocasión: (clica en la imagen para verla más grande y clara):


bb Resultados fondos cuantitativos Octubre 2.015.
19 Nov 2015
En la tabla siguiente podemos ver los resultados hasta el mes de octubre del año 2.015 de los principales fondos cuantitativos y su acumulado anual. La media de octubre como podrán ver es de una pérdida de un -3,25%, siendo en el acumulado del año de unas pérdidas de -3,81%20 de estos fondos (66,66%) tiene el año 2.015 con pérdidas. En mi cartera, el mes de octubre ha sido un mes también malo. ¿ Cómo seguirá el mes que viene y como será el año ?. Para saberlo tendremos que esperar. Les recuerdo el enlace a mis últimos resultados publicados: Resultados mensuales acumulados. En la tabla siguiente tienen los resultados de los fondos cuantitativos (fuente: automated-trading-system.com): 

Organisation / FundReturnYTD *AUM **
Abraham Trading1
-3.51%
-7.25%
$229M
Altis Partners2
1.23%
-0.08%
$355M
Aspect Capital3
-2.42%
3.15%
$4,902M
Beach Horizon4
-6.62%
0.43%
$95M
BlueTrend5
-2.13%
1.91%
N/A
Campbell & Company6
-1.50%
-4.89%
$4,584M
Chesapeake Capital7
-0.56%
0.90%
$229M
Clarke Capital8
-5.12%
-1.83%
$14M
Covenant Cap. Mgt.9
-3.27%
-21.98%
$53M
Drury Capital10
-0.77%
-8.76%
$196M
Dunn Capital11
-3.85%
9.17%
$502M
Eckhardt Trading12
-0.64%
-3.19%
$307M
EMC Capital13
-3.70%
0.35%
$93M
Estlander & Partners14
-6.02%
0.17%
$229M
Graham Capital15
-1.94%
-0.51%
$2,832M
Hawksbill Capital16
-4.03%
-4.71%
$59M
Hyman Beck & Co.17
-3.85%
-0.03%
$181M
ISAM18
-4.61%
6.60%
$961M
Lynx Asset Mgt19
-1.64%
-7.73%
$5,700M
Man AHL Diversified20
-5.91%
-3.37%
$864M
Mark J. Walsh & Co.21
-4.20%
-10.44%
$86M
Millburn Ridgefield22
-2.10%
1.76%
$770M
Mulvaney Capital23
-11.05%
-10.71%
$179M
Quantica Capital24
-1.80%
-11.91%
$605M
Rabar Market Research25
-2.90%
-10.94%
$106M
Saxon Investment26
-2.52%
-19.37%
$32M
Sunrise Capital27
-3.36%
-7.32%
$700M
Tactical Investment Mgt28
-4.58%
0.43%
$61M
Transtrend29
-2.48%
-3.87%
$4,865M
Winton Capital30
-1.53%
-0.13%
$33,000M
Summary Figures***
-3.25%
-3.81%
$62,789M

Notes
* YTD: Year-To-Date performance.
** AUM: Assets Under Management for the program reported here (not total firm AUM)
*** The summary numbers are the mean of the monthly return and the mean of the YTD, with the total sum of AUM, across all managers
 
Note that the figures referenced in the performance table are not provided directly by any of the funds/CTAs featured in this report, but are sourced from other publications such as hedge fund/CTA websites and databases.
 
1 – Abraham Trading was founded by Salem Abraham, after he was introduced to Managed Futures and Trend Following by Jerry Parker. He is considered as a “second-generation” Turtle.
Program tracked: Diversified Program.
2 – Altis Partners started trading in 2001 and now manage over a $1B with their Altis Global Futures Portfolio. The figures referenced in the performance table are not provided by Altis Partners and no reliance should be taken as to their accuracy, and as a consequence the figures may not be in accordance with any CFTC / NFA performance reporting requirements.
Program tracked: Global Futures Portfolio.

– The four founders of Aspect (Eugene Lambert, Anthony Todd, Michael Adam and Martin Lueck) were significant members of one of the most successful funds in managed futures – AHL (Adam, Harding and Lueck).
Program tracked: Aspect Capital Diversified Program.

4 – Beach Horizon was created as a fully automated trend following subsidiary of Beach Capital Mgt, founded by David Beach. Two of the founders of Beach Horizon had early involvement in AHL.
Program Tracked: Managed Account.

5 – BlueTrend, from BlueCrest Capital, is one of the largest Trend Following funds – headed by Ms. Leda Braga.
Program tracked: BlueTrend Fund Limited (GBP).

6 – Campbell & Company is one of the oldest Trend Following firms, operating for around 4 decades.
Program tracked: Global Diversified Large.

7 – Chesapeake Capital was founded by Jerry Parker, a former Turtle.
Program tracked: Diversified Program.

8 – Clarke Capital was founded by Michael Clarke in 1993.
Program tracked: Millenium Program.

9 – Covenant Capital is a CTA from Nashville. Program tracked: Aggressive Program
10 – Drury Capital, Inc., was founded in Illinois in 1992 by Bernard Drury.
Program tracked: Diversified Trend-Following.

11 – Dunn Capital was founded by Bill Dunn.
Program tracked: World Monetary and Agriculture (WMA).

12 – Eckhardt Trading is the firm managed by William Eckhardt, who co-led the Turtle experiment with Richard Dennis.
Program tracked: Standard Program.

13 – EMC Capital was founded by Liz Cheval, a former Turtle.
Program tracked: EMC Classic Program.

14 – Estlander is a Finnish CTA, founded by Martin Estlander. Program tracked: Alpha Trend.
15 – Graham Capital was founded in 1994 by Ken Tropin, previously a Director of JWH.
Program tracked: K4-D10.

16 – Hawksbill Capital was founded by Tom Shanks, a former Turtle.
Program tracked: Global Diversified Program.

17 – Hyman Beck & Co. main principals are Alexander Hyman and Carl Beck.
Program tracked: Global Portfolio.

18 – ISAM’s main individuals are Larry Hite and Stanley Fink, both instrumental in the success of MAN AHL. Program tracked: ISAM Systematic Fund Class A
19 – Lynx Asset Management is a multi-billion CTA out of Sweden. Program tracked: Lynx Program
20 – Originally ED & F Man, a commodities broker business founded in 1783. Man became a succesful CTA starting in 1983, when partnering with Larry Hite’s Mint Investments. Subsequently Man gradually acquires AHL (1989-1994) to form Man AHL: the systematic trading division of the Man group.
Program tracked: Man AHL Diversified Plc

21 – Mark J. Walsh was not an official Turtle but trained and worked closely with Richard Dennis before starting his own fund management business.
Program tracked: Standard Program.

22 – Millburn Ridgefield have been trading Trend Following models since the early 1970’s.
Program tracked: Diversified Program.

23 – Mulvaney Capital Management was founded in 1999 by Paul Mulvaney and focuses on long-term trend following.
Program tracked: Mulvaney Global Markets

24 – Program tracked: Managed Futures Program
25 – Rabar Market Research is the company of Paul Rabar, a former Turtle.
Program tracked: Diversified Program.

26 – Saxon Investment was founded by Howard Seidler, a former Turtle.
Program tracked: Aggressive Diversified Program.

27 – Sunrise Capital is a CTA based in San Diego. Founded in 1980 by Gary Davis, it merged in 1995 with Commodity Commodity Monitors, Inc., founded by Rick Slaughter in 1977.
Program tracked: Sunrise Evolution

28 – Tactical Investment Management was founded by David Druz, student of Ed Seykota.
Program tracked: Institutional Commodity Program.

29 – Transtrend is a Trend follower CTA based in Netherlands.
Program tracked: DTP – Enhanced Risk (USD).

30 – Winton Capital is a London-based CTA founded by Dave Harding (also co-founder of AHL).
Program tracked: Diversified Program.
bb Resultados sistemas a Octubre 2.015
16 Nov 2015
Ya acabado el mes de octubre podemos ver los resultados de los sistemas (salvo error de anotación). Para tener una orientación, también publico los completos del año 2.014, 2.013 y 2.012 para cada uno de ellos. Los resultados en este mes no han mejorado y la cartera global disminuye un poco los beneficios este 2.015. Los resultados de la columna de cada mes reflejan el del periodo completo de los meses en conjunto, reflejando el periodo de 1/01/2.015 hasta el fin de mes correspondiente. Del sistema SPAG publico los resultados en sus dos versiones actuales, la SPAG y SPAGV2. He incluido en la tabla los resultados del último sistema publicado el IntraDiaFull (IDF) pero solo aplicado a 4 mercados, 2 europeos (Dax y CAC) y dos americanos (Mini SP y Mini Rusell ).  Este mes han habido 12 del total de sistemas que se salden con resultado positivo en su acumulado anual 2.015.
Lo que si queda claro, mes tras mes, que es  imprescindible una buena diversificación tanto de sistemas y estilos de operativa como en la operativa en distintos derivados para poder ser minimamente consistente en los resultados y tratar de minimizar las pérdidas.. Siempre podemos encontrarnos sistemas que deben apartarse de la operativa y deber ser sustituidos por otros que tengamos a disposición en reserva. Siempre hay que estar investigando en nuevos sistemas, derivados y estilos de operativa. Por muchos sistemas de que dispongamos, no tenemos asegurada rentabilidad alguna y si sufrimiento para conseguirla. Unos años unos sistemas fallan y al siguiente remontan el vuelo y vuelven a los beneficios, pero también sucede al revés. NO HAY NADA QUE FUNCIONE SIEMPRE Y EN TODOS LOS ESCENARIOS.
Tengo ya comercializándose y auditándose de forma externa nuevos sistemas automáticos de trading en la plataforma de TradingMotion. Si algún lector desea tener información de dichos sistemas pueden verlos alli bajo el nombre del desarrollador Esoftrading. Los sistemas alli comercializados no son ninguno de los publicados aqui en este blog. También pueden escribirme un mail solicitando información.
Veamos los resultados de todos los sistemas sin detalle de su drawdown actual en esta ocasión: (clica en la imagen para verla más grande y clara):


bb Resultados fondos cuantitativos Septiembre 2.015.
27 Oct 2015
En la tabla siguiente podemos ver los resultados hasta el mes de septiembre del año 2.015 de los principales fondos cuantitativos y su acumulado anual. La media de agosto como podrán ver es de un beneficio de un 2,52%, siendo en el acumulado del año de unas pérdidas de -0,55%14 de estos fondos (46,66%) tiene el año 2.015 con pérdidas. En mi cartera, el mes de septiembre ha sido un mes bueno. ¿ Cómo seguirá el mes que viene y como será el año ?. Para saberlo tendremos que esperar. Les recuerdo el enlace a mis últimos resultados publicados: Resultados mensuales acumulados. En la tabla siguiente tienen los resultados de los fondos cuantitativos (fuente: automated-trading-system.com): 

Organisation / FundReturnYTD *AUM **
Abraham Trading1
2.18%
-3.82%
$250M
Altis Partners2
2.93%
-1.29%
$242M
Aspect Capital3
3.27%
5.70%
$4,995M
Beach Horizon4
2.12%
7.55%
$100M
BlueTrend5
2.26%
4.11%
N/A
Campbell & Company6
1.04%
-3.36%
$4,658M
Chesapeake Capital7
0.75%
1.46%
$230M
Clarke Capital8
4.60%
3.47%
$15M
Covenant Cap. Mgt.9
1.56%
-19.34%
$61M
Drury Capital10
4.15%
-8.05%
$198M
Dunn Capital11
4.97%
13.54%
$526M
Eckhardt Trading12
3.07%
-2.55%
$307M
EMC Capital13
3.60%
3.90%
$105M
Estlander & Partners14
2.82%
6.60%
$282M
Graham Capital15
2.41%
1.46%
$2,898M
Hawksbill Capital16
-4.80%
-0.67%
$60M
Hyman Beck & Co.17
0.30%
3.90%
$182M
ISAM18
5.05%
11.97%
$350M
Lynx Asset Mgt19
2.26%
-6.19%
$5,710M
Man AHL Diversified20
3.68%
2.69%
$926M
Mark J. Walsh & Co.21
0.87%
-6.66%
$92M
Millburn Ridgefield22
3.28%
3.95%
$793M
Mulvaney Capital23
6.15%
0.38%
$200M
Quantica Capital24
3.00%
-10.29%
$631M
Rabar Market Research25
1.30%
-8.28%
$117M
Saxon Investment26
0.37%
-17.29%
$33M
Sunrise Capital27
1.52%
-4.09%
$700M
Tactical Investment Mgt28
2.27%
5.25%
$66M
Transtrend29
5.02%
-1.43%
$5,071M
Winton Capital30
3.54%
0.96%
$33,000M
Summary Figures***
2.52%
-0.55%
$62,798M

Notes
* YTD: Year-To-Date performance.
** AUM: Assets Under Management for the program reported here (not total firm AUM)
*** The summary numbers are the mean of the monthly return and the mean of the YTD, with the total sum of AUM, across all managers
 
Note that the figures referenced in the performance table are not provided directly by any of the funds/CTAs featured in this report, but are sourced from other publications such as hedge fund/CTA websites and databases.
  – Abraham Trading was founded by Salem Abraham, after he was introduced to Managed Futures and Trend Following by Jerry Parker. He is considered as a “second-generation” Turtle.
Program tracked: Diversified Program.
2 – Altis Partners started trading in 2001 and now manage over a $1B with their Altis Global Futures Portfolio. The figures referenced in the performance table are not provided by Altis Partners and no reliance should be taken as to their accuracy, and as a consequence the figures may not be in accordance with any CFTC / NFA performance reporting requirements.
Program tracked: Global Futures Portfolio.

3 – The four founders of Aspect (Eugene Lambert, Anthony Todd, Michael Adam and Martin Lueck) were significant members of one of the most successful funds in managed futures – AHL (Adam, Harding and Lueck).
Program tracked: Aspect Capital Diversified Program.

4 – Beach Horizon was created as a fully automated trend following subsidiary of Beach Capital Mgt, founded by David Beach. Two of the founders of Beach Horizon had early involvement in AHL.
Program Tracked: Managed Account.

5 – BlueTrend, from BlueCrest Capital, is one of the largest Trend Following funds – headed by Ms. Leda Braga.
Program tracked: BlueTrend Fund Limited (GBP).

6 – Campbell & Company is one of the oldest Trend Following firms, operating for around 4 decades.
Program tracked: Global Diversified Large.

7 – Chesapeake Capital was founded by Jerry Parker, a former Turtle.
Program tracked: Diversified Program.

8 – Clarke Capital was founded by Michael Clarke in 1993.
Program tracked: Millenium Program.

9 – Covenant Capital is a CTA from Nashville. Program tracked: Aggressive Program
10 – Drury Capital, Inc., was founded in Illinois in 1992 by Bernard Drury.
Program tracked: Diversified Trend-Following.

11 – Dunn Capital was founded by Bill Dunn.
Program tracked: World Monetary and Agriculture (WMA).

12 – Eckhardt Trading is the firm managed by William Eckhardt, who co-led the Turtle experiment with Richard Dennis.
Program tracked: Standard Program.

13 – EMC Capital was founded by Liz Cheval, a former Turtle.
Program tracked: EMC Classic Program.

14 – Estlander is a Finnish CTA, founded by Martin Estlander. Program tracked: Alpha Trend.
15 – Graham Capital was founded in 1994 by Ken Tropin, previously a Director of JWH.
Program tracked: K4-D10.

16 – Hawksbill Capital was founded by Tom Shanks, a former Turtle.
Program tracked: Global Diversified Program.

17 – Hyman Beck & Co. main principals are Alexander Hyman and Carl Beck.
Program tracked: Global Portfolio.

18 – ISAM’s main individuals are Larry Hite and Stanley Fink, both instrumental in the success of MAN AHL. Program tracked: ISAM Systematic Fund Class A
19 – Lynx Asset Management is a multi-billion CTA out of Sweden. Program tracked: Lynx Program
20 – Originally ED & F Man, a commodities broker business founded in 1783. Man became a succesful CTA starting in 1983, when partnering with Larry Hite’s Mint Investments. Subsequently Man gradually acquires AHL (1989-1994) to form Man AHL: the systematic trading division of the Man group.
Program tracked: Man AHL Diversified Plc

21 – Mark J. Walsh was not an official Turtle but trained and worked closely with Richard Dennis before starting his own fund management business.
Program tracked: Standard Program.

22 – Millburn Ridgefield have been trading Trend Following models since the early 1970’s.
Program tracked: Diversified Program.

23 – Mulvaney Capital Management was founded in 1999 by Paul Mulvaney and focuses on long-term trend following.
Program tracked: Mulvaney Global Markets

24 – Program tracked: Managed Futures Program
25 – Rabar Market Research is the company of Paul Rabar, a former Turtle.
Program tracked: Diversified Program.

26 – Saxon Investment was founded by Howard Seidler, a former Turtle.
Program tracked: Aggressive Diversified Program.

27 – Sunrise Capital is a CTA based in San Diego. Founded in 1980 by Gary Davis, it merged in 1995 with Commodity Commodity Monitors, Inc., founded by Rick Slaughter in 1977.
Program tracked: Sunrise Evolution

28 – Tactical Investment Management was founded by David Druz, student of Ed Seykota.
Program tracked: Institutional Commodity Program.

29 – Transtrend is a Trend follower CTA based in Netherlands.
Program tracked: DTP – Enhanced Risk (USD).

30 – Winton Capital is a London-based CTA founded by Dave Harding (also co-founder of AHL).
bb Resultados sistemas a Septiembre 2.015.
5 Oct 2015
Ya acabado el mes de septiembre podemos ver los resultados de los sistemas (salvo error de anotación). Para tener una orientación, también publico los completos del año 2.014, 2.013 y 2.012 para cada uno de ellos. Los resultados en este mes siguen mejorando y la cartera global incrementa los beneficios este 2.015. Los resultados de la columna de cada mes reflejan el del periodo completo de los meses en conjunto, reflejando el periodo de 1/01/2.015 hasta el fin de mes correspondiente. Del sistema SPAG publico los resultados en sus dos versiones actuales, la SPAG y SPAGV2. He incluido en la tabla los resultados del último sistema publicado el IntraDiaFull (IDF) pero solo aplicado a 4 mercados, 2 europeos (Dax y CAC) y dos americanos (Mini SP y Mini Rusell ).  Este mes han habido 12 del total de sistemas que se salden con resultado positivo en su acumulado anual 2.015.
Lo que si queda claro, mes tras mes, que es  imprescindible una buena diversificación tanto de sistemas y estilos de operativa como en la operativa en distintos derivados para poder ser minimamente consistente en los resultados y tratar de minimizar las pérdidas.. Siempre podemos encontrarnos sistemas que deben apartarse de la operativa y deber ser sustituidos por otros que tengamos a disposición en reserva. Siempre hay que estar investigando en nuevos sistemas, derivados y estilos de operativa. Por muchos sistemas de que dispongamos, no tenemos asegurada rentabilidad alguna y si sufrimiento para conseguirla. Unos años unos sistemas fallan y al siguiente remontan el vuelo y vuelven a los beneficios, pero también sucede al revés. NO HAY NADA QUE FUNCIONE SIEMPRE Y EN TODOS LOS ESCENARIOS.
Tengo ya comercializándose y auditándose de forma externa nuevos sistemas automáticos de trading en la plataforma de TradingMotion. Si algún lector desea tener información de dichos sistemas pueden verlos alli bajo el nombre del desarrollador Esoftrading. Los sistemas alli comercializados no son ninguno de los publicados aqui en este blog. También pueden escribirme un mail solicitando información.
Veamos los resultados de todos los sistemas sin detalle de su drawdown actual en esta ocasión: (clica en la imagen para verla más grande y clara):



Hemos sobrepasado la barrera psicológica de los 100.000 euros de beneficios, lo cual es un excelente resultado. la paciencia y la disciplina tienen su recompensa, pero no es todo oro lo que reluce. Hay varios sistemas que complican mucho la operativa y creo que habra que empezar a dejar de utilizar alguno de ellos e implantar alguno de los que tengo en la reserva esperando la titularidad.
bb Resultados fondos cuantitativos Agosto 2.015.
5 Oct 2015
En la tabla siguiente podemos ver los resultados hasta el mes de agosto del año 2.015 de los principales fondos cuantitativos y su acumulado anual. La media de agosto como podrán ver es de una pérdida de un -2,63%, siendo en el acumulado del año de unas pérdidas de -3,26%. 17 de estos fondos (56,66%) tiene el año 2.015 con pérdidas. En mi cartera, el mes de agosto ha sido un mes de transición, pues casi todos los sistemas están sin operar. ¿ Cómo seguirá el mes que viene y como será el año ?. Para saberlo tendremos que esperar. Les recuerdo el enlace a mis últimos resultados publicados: Resultados mensuales acumulados. En la tabla siguiente tienen los resultados de los fondos cuantitativos (fuente: automated-trading-system.com): 

Organisation / Fund Return YTD * AUM **
Abraham Trading1
-4.68%
-5.90%
$240M
Altis Partners2
-1.71%
-4.17%
$333M
Aspect Capital3
N/A
N/A
N/A
Beach Horizon4
5.16%
5.31%
$99M
BlueTrend5
0.31%
1.81%
N/A
Campbell & Company6
-0.30%
-4.40%
$4,635M
Chesapeake Capital7
-2.95%
0.70%
$226M
Clarke Capital8
-2.81%
-1.08%
$14M
Covenant Cap. Mgt.9
-3.04%
-20.30%
$60M
Drury Capital10
-4.63%
-11.71%
$189M
Dunn Capital11
-2.41%
8.16%
$466M
Eckhardt Trading12
-4.62%
-5.38%
$312M
EMC Capital13
-2.87%
0.10%
$104M
Estlander & Partners14
0.46%
3.67%
$253M
Graham Capital15
N/A
N/A
N/A
Hawksbill Capital16
3.36%
4.35%
$63M
Hyman Beck & Co.17
-3.10%
3.62%
$182M
ISAM18
-1.11%
6.61%
$350M
Lynx Asset Mgt19
-6.99%
-8.27%
$5,710M
Man AHL Diversified20
-0.29%
-0.96%
$900M
Mark J. Walsh & Co.21
-2.55%
-7.47%
$92M
Millburn Ridgefield22
-3.14%
0.68%
$770M
Mulvaney Capital23
-9.23%
-5.44%
$194M
Quantica Capital24
-8.90%
-12.91%
$660M
Rabar Market Research25
-4.79%
-9.44%
$115M
Saxon Investment26
-3.49%
-17.59%
$33M
Sunrise Capital27
-5.49%
-5.56%
$200M
Tactical Investment Mgt28
6.99%
2.91%
$66M
Transtrend29
-6.25%
-6.14%
$4,746M
Winton Capital30
-4.68%
-2.49%
$33,000M
Summary Figures***
-2.63%
-3.26%
$54,012M
 
Notes
* YTD: Year-To-Date performance.
** AUM: Assets Under Management for the program reported here (not total firm AUM)
*** The summary numbers are the mean of the monthly return and the mean of the YTD, with the total sum of AUM, across all managers

Note that the figures referenced in the performance table are not provided directly by any of the funds/CTAs featured in this report, but are sourced from other publications such as hedge fund/CTA websites and databases.

1 – Abraham Trading was founded by Salem Abraham, after he was introduced to Managed Futures and Trend Following by Jerry Parker. He is considered as a “second-generation” Turtle.
Program tracked: Diversified Program. 2 – Altis Partners started trading in 2001 and now manage over a $1B with their Altis Global Futures Portfolio. The figures referenced in the performance table are not provided by Altis Partners and no reliance should be taken as to their accuracy, and as a consequence the figures may not be in accordance with any CFTC / NFA performance reporting requirements.
Program tracked: Global Futures Portfolio.
3 – The four founders of Aspect (Eugene Lambert, Anthony Todd, Michael Adam and Martin Lueck) were significant members of one of the most successful funds in managed futures – AHL (Adam, Harding and Lueck).
Program tracked: Aspect Capital Diversified Program.
4 – Beach Horizon was created as a fully automated trend following subsidiary of Beach Capital Mgt, founded by David Beach. Two of the founders of Beach Horizon had early involvement in AHL.
Program Tracked: Managed Account.
5 – BlueTrend, from BlueCrest Capital, is one of the largest Trend Following funds – headed by Ms. Leda Braga.
Program tracked: BlueTrend Fund Limited (GBP).
6 – Campbell & Company is one of the oldest Trend Following firms, operating for around 4 decades.
Program tracked: Global Diversified Large.
7 – Chesapeake Capital was founded by Jerry Parker, a former Turtle.
Program tracked: Diversified Program.
8 – Clarke Capital was founded by Michael Clarke in 1993.
Program tracked: Millenium Program.
9 – Covenant Capital is a CTA from Nashville. Program tracked: Aggressive Program
10 – Drury Capital, Inc., was founded in Illinois in 1992 by Bernard Drury.
Program tracked: Diversified Trend-Following.
11 – Dunn Capital was founded by Bill Dunn.
Program tracked: World Monetary and Agriculture (WMA).
12 – Eckhardt Trading is the firm managed by William Eckhardt, who co-led the Turtle experiment with Richard Dennis.
Program tracked: Standard Program.
13 – EMC Capital was founded by Liz Cheval, a former Turtle.
Program tracked: EMC Classic Program.
14 – Estlander is a Finnish CTA, founded by Martin Estlander. Program tracked: Alpha Trend.
15 – Graham Capital was founded in 1994 by Ken Tropin, previously a Director of JWH.
Program tracked: K4-D10.
16 – Hawksbill Capital was founded by Tom Shanks, a former Turtle.
Program tracked: Global Diversified Program.
17 – Hyman Beck & Co. main principals are Alexander Hyman and Carl Beck.
Program tracked: Global Portfolio.
18 – ISAM’s main individuals are Larry Hite and Stanley Fink, both instrumental in the success of MAN AHL. Program tracked: ISAM Systematic Fund Class A
19 – Lynx Asset Management is a multi-billion CTA out of Sweden. Program tracked: Lynx Program
20 – Originally ED & F Man, a commodities broker business founded in 1783. Man became a succesful CTA starting in 1983, when partnering with Larry Hite’s Mint Investments. Subsequently Man gradually acquires AHL (1989-1994) to form Man AHL: the systematic trading division of the Man group.
Program tracked: Man AHL Diversified Plc
21 – Mark J. Walsh was not an official Turtle but trained and worked closely with Richard Dennis before starting his own fund management business.
Program tracked: Standard Program.
22 – Millburn Ridgefield have been trading Trend Following models since the early 1970’s.
Program tracked: Diversified Program.
23 – Mulvaney Capital Management was founded in 1999 by Paul Mulvaney and focuses on long-term trend following.
Program tracked: Mulvaney Global Markets
24 – Program tracked: Managed Futures Program
25 – Rabar Market Research is the company of Paul Rabar, a former Turtle.
Program tracked: Diversified Program.
26 – Saxon Investment was founded by Howard Seidler, a former Turtle.
Program tracked: Aggressive Diversified Program.
27 – Sunrise Capital is a CTA based in San Diego. Founded in 1980 by Gary Davis, it merged in 1995 with Commodity Commodity Monitors, Inc., founded by Rick Slaughter in 1977.
Program tracked: Sunrise Evolution
28 – Tactical Investment Management was founded by David Druz, student of Ed Seykota.
Program tracked: Institutional Commodity Program.
29 – Transtrend is a Trend follower CTA based in Netherlands.
Program tracked: DTP – Enhanced Risk (USD).
30 – Winton Capital is a London-based CTA founded by Dave Harding (also co-founder of AHL).
Program tracked: Diversified Program.
 
bb Resultados fondos cuantitativos Julio 2.015.
21 Sep 2015
En la tabla siguiente podemos ver los resultados hasta el mes de julio del año 2.015 de los principales fondos cuantitativos y su acumulado anual. La media de julio como podrán ver es de un beneficio de un 3,86%, siendo en el acumulado del año de unas pérdidas de -0,44%. 13 de estos fondos (43,33%) tiene el año 2.015 con pérdidas. En mi cartera, el mes de julio ha sido un buen mes, continuando y aumentando los resultados. ¿ Cómo seguirá el mes que viene y como será el año ?. Para saberlo tendremos que esperar. Les recuerdo el enlace a mis últimos resultados publicados: Resultados mensuales acumulados. En la tabla siguiente tienen los resultados de los fondos cuantitativos (fuente: automated-trading-system.com): 

Organisation / Fund Return YTD * AUM **
Abraham Trading1
1.50%
-1.04%
$262M
Altis Partners2
5.17%
-2.50%
$313M
Aspect Capital3
9.25%
1.31%
$4,810M
Beach Horizon4
5.23%
0.15%
$96M
BlueTrend5
6.01%
1.49%
N/A
Campbell & Company6
3.21%
-3.90%
$4,583M
Chesapeake Capital7
4.00%
3.76%
$247M
Clarke Capital8
3.33%
1.78%
$15M
Covenant Cap. Mgt.9
-9.56%
-17.71%
$64M
Drury Capital10
6.40%
-7.41%
$209M
Dunn Capital11
16.60%
10.84%
$500M
Eckhardt Trading12
0.25%
-0.77%
$321M
EMC Capital13
4.84%
3.20%
$107M
Estlander & Partners14
3.33%
3.20%
$259M
Graham Capital15
1.66%
3.25%
$2,913M
Hawksbill Capital16
4.30%
0.96%
$61M
Hyman Beck & Co.17
4.27%
6.91%
$182M
ISAM18
7.02%
7.81%
$350M
Lynx Asset Mgt19
3.92%
-1.37%
$5,710M
Man AHL Diversified20
6.23%
-0.66%
$911M
Mark J. Walsh & Co.21
-0.23%
-5.04%
$94M
Millburn Ridgefield22
5.45%
3.96%
$778M
Mulvaney Capital23
4.77%
4.18%
$185M
Quantica Capital24
-0.80%
-4.40%
$714M
Rabar Market Research25
0.09%
-4.88%
$124M
Saxon Investment26
-3.35%
-14.61%
$34M
Sunrise Capital27
-2.11%
0.08%
$200M
Tactical Investment Mgt28
4.38%
-3.81%
$64M
Transtrend29
7.84%
0.12%
$5,476M
Winton Capital30
3.87%
1.84%
$33,000M
Summary Figures***
3.56%
-0.44%
$62,582M
Notes
* YTD: Year-To-Date performance.
** AUM: Assets Under Management for the program reported here (not total firm AUM)
*** The summary numbers are the mean of the monthly return and the mean of the YTD, with the total sum of AUM, across all managers

Note that the figures referenced in the performance table are not provided directly by any of the funds/CTAs featured in this report, but are sourced from other publications such as hedge fund/CTA websites and databases.

1 – Abraham Trading was founded by Salem Abraham, after he was introduced to Managed Futures and Trend Following by Jerry Parker. He is considered as a “second-generation” Turtle.
Program tracked: Diversified Program. 2 – Altis Partners started trading in 2001 and now manage over a $1B with their Altis Global Futures Portfolio. The figures referenced in the performance table are not provided by Altis Partners and no reliance should be taken as to their accuracy, and as a consequence the figures may not be in accordance with any CFTC / NFA performance reporting requirements.
Program tracked: Global Futures Portfolio.
3 – The four founders of Aspect (Eugene Lambert, Anthony Todd, Michael Adam and Martin Lueck) were significant members of one of the most successful funds in managed futures – AHL (Adam, Harding and Lueck).
Program tracked: Aspect Capital Diversified Program.
4 – Beach Horizon was created as a fully automated trend following subsidiary of Beach Capital Mgt, founded by David Beach. Two of the founders of Beach Horizon had early involvement in AHL.
Program Tracked: Managed Account.
5 – BlueTrend, from BlueCrest Capital, is one of the largest Trend Following funds – headed by Ms. Leda Braga.
Program tracked: BlueTrend Fund Limited (GBP).
6 – Campbell & Company is one of the oldest Trend Following firms, operating for around 4 decades.
Program tracked: Global Diversified Large.
7 – Chesapeake Capital was founded by Jerry Parker, a former Turtle.
Program tracked: Diversified Program.
8 – Clarke Capital was founded by Michael Clarke in 1993.
Program tracked: Millenium Program.
9 – Covenant Capital is a CTA from Nashville. Program tracked: Aggressive Program
10 – Drury Capital, Inc., was founded in Illinois in 1992 by Bernard Drury.
Program tracked: Diversified Trend-Following.
11 – Dunn Capital was founded by Bill Dunn.
Program tracked: World Monetary and Agriculture (WMA).
12 – Eckhardt Trading is the firm managed by William Eckhardt, who co-led the Turtle experiment with Richard Dennis.
Program tracked: Standard Program.
13 – EMC Capital was founded by Liz Cheval, a former Turtle.
Program tracked: EMC Classic Program.
14 – Estlander is a Finnish CTA, founded by Martin Estlander. Program tracked: Alpha Trend.
15 – Graham Capital was founded in 1994 by Ken Tropin, previously a Director of JWH.
Program tracked: K4-D10.
16 – Hawksbill Capital was founded by Tom Shanks, a former Turtle.
Program tracked: Global Diversified Program.
17 – Hyman Beck & Co. main principals are Alexander Hyman and Carl Beck.
Program tracked: Global Portfolio.
18 – ISAM’s main individuals are Larry Hite and Stanley Fink, both instrumental in the success of MAN AHL. Program tracked: ISAM Systematic Fund Class A
19 – Lynx Asset Management is a multi-billion CTA out of Sweden. Program tracked: Lynx Program
20 – Originally ED & F Man, a commodities broker business founded in 1783. Man became a succesful CTA starting in 1983, when partnering with Larry Hite’s Mint Investments. Subsequently Man gradually acquires AHL (1989-1994) to form Man AHL: the systematic trading division of the Man group.
Program tracked: Man AHL Diversified Plc
21 – Mark J. Walsh was not an official Turtle but trained and worked closely with Richard Dennis before starting his own fund management business.
Program tracked: Standard Program.
22 – Millburn Ridgefield have been trading Trend Following models since the early 1970’s.
Program tracked: Diversified Program.
23 – Mulvaney Capital Management was founded in 1999 by Paul Mulvaney and focuses on long-term trend following.
Program tracked: Mulvaney Global Markets
24 – Program tracked: Managed Futures Program
25 – Rabar Market Research is the company of Paul Rabar, a former Turtle.
Program tracked: Diversified Program.
26 – Saxon Investment was founded by Howard Seidler, a former Turtle.
Program tracked: Aggressive Diversified Program.
27 – Sunrise Capital is a CTA based in San Diego. Founded in 1980 by Gary Davis, it merged in 1995 with Commodity Commodity Monitors, Inc., founded by Rick Slaughter in 1977.
Program tracked: Sunrise Evolution
28 – Tactical Investment Management was founded by David Druz, student of Ed Seykota.
Program tracked: Institutional Commodity Program.
29 – Transtrend is a Trend follower CTA based in Netherlands.
Program tracked: DTP – Enhanced Risk (USD).
30 – Winton Capital is a London-based CTA founded by Dave Harding (also co-founder of AHL).
Program tracked: Diversified Program.
 
bb Resultados sistemas a Agosto 2.015.
21 Sep 2015
Ya acabado el mes de julio y agosto podemos ver los resultados de los sistemas (salvo error de anotación). Para tener una orientación, también publico los completos del año 2.014, 2.013 y 2.012 para cada uno de ellos. Los resultados en este mes siguen mejorando y la cartera global incrementa los beneficios este 2.015. Los resultados de la columna de cada mes reflejan el del periodo completo de los meses en conjunto, reflejando el periodo de 1/01/2.015 hasta el fin de mes correspondiente. Del sistema SPAG publico los resultados en sus dos versiones actuales, la SPAG y SPAGV2. He incluido en la tabla los resultados del último sistema publicado el IntraDiaFull (IDF) pero solo aplicado a 4 mercados, 2 europeos (Dax y CAC) y dos americanos (Mini SP y Mini Rusell ).  Este mes han habido 12 del total de sistemas que se salden con resultado positivo en su acumulado anual 2.015.
Lo que si queda claro, mes tras mes, que es  imprescindible una buena diversificación tanto de sistemas y estilos de operativa como en la operativa en distintos derivados para poder ser minimamente consistente en los resultados y tratar de minimizar las pérdidas.. Siempre podemos encontrarnos sistemas que deben apartarse de la operativa y deber ser sustituidos por otros que tengamos a disposición en reserva. Siempre hay que estar investigando en nuevos sistemas, derivados y estilos de operativa. Por muchos sistemas de que dispongamos, no tenemos asegurada rentabilidad alguna y si sufrimiento para conseguirla. Unos años unos sistemas fallan y al siguiente remontan el vuelo y vuelven a los beneficios, pero también sucede al revés. NO HAY NADA QUE FUNCIONE SIEMPRE Y EN TODOS LOS ESCENARIOS.
Tengo ya comercializándose y auditándose de forma externa nuevos sistemas automáticos de trading en la plataforma de TradingMotion. Si algún lector desea tener información de dichos sistemas pueden verlos alli bajo el nombre del desarrollador Esoftrading. Los sistemas alli comercializados no son ninguno de os publicados aqui en este blog. También pueden escribirme un mail solicitando información.
Veamos los resultados de todos los sistemas sin detalle de su drawdown actual en esta ocasión: (clica en la imagen para verla más grande y clara):

Durante el mes ha habido momentos en que los resultados positivos de la cartera casi alcanzan los 100.000 euros, lo cual implica que con el resultados cerrado del mes a pesar de estar con beneficios por momentos ha tenido resultados excelentes. Esto también forma parte del trading y los resultados se han de ver a medio largo plazo y no en un momento determinado como si fueran una foto. Es mas bien una secuencia.Aunque no por eso deja de sufrirse. ¿ mejor para la operativa cuando se alcancen esos beneficios ? Tal vez, ya ha pasado varias veces. Sin embargo aunque no lo hagamos, la cartera va aumentando sus beneficios mes a mes tal como puede verse en la evolución, todo y sin aplicar una gestión monetaria activa.
bb Resultados fondos cuantitativos Junio 2.015.
23 Jul 2015
En la tabla siguiente podemos ver los resultados hasta el mes de junio del año 2.015 de los principales fondos cuantitativos y su acumulado anual. La media de junio como podrán ver es de una pérdida de un -4,70%, siendo en el acumulado del año de unas pérdidas de -3,85%. 26 de estos fondos (86,66%) tiene el año 2.015 con pérdidas. Curiosamente en mi cartera, el mes de junio ha sido un buen mes, continuando y aumentando los resultados. ¿ Cómo seguirá el mes que viene y como será el año ?. Para saberlo tendremos que esperar. Les recuerdo el enlace a mis últimos resultados publicados: Resultados mensuales acumulados. En la tabla siguiente tienen los resultados de los fondos cuantitativos (fuente: automated-trading-system.com): 

Organisation / Fund Return YTD * AUM **
Abraham Trading1
0.22%
-2.64%
$258M
Altis Partners2
-10.52%
-7.27%
$271M
Aspect Capital3
-4.59%
-7.26%
$4,464M
Beach Horizon4
-4.50%
-4.83%
$96M
BlueTrend5
-8.46%
-4.26%
N/A
Campbell & Company6
-9.27%
-6.91%
$4,421M
Chesapeake Capital7
-2.21%
-0.23%
$215M
Clarke Capital8
-1.48%
-1.50%
$14M
Covenant Cap. Mgt.9
0.98%
-9.02%
$71M
Drury Capital10
-9.26%
-12.98%
$196M
Dunn Capital11
-10.47%
-4.67%
$431M
Eckhardt Trading12
-4.51%
-0.70%
$313M
EMC Capital13
-4.62%
-1.64%
$101M
Estlander & Partners14
-1.39%
-0.16%
$237M
Graham Capital15
-3.37%
1.56%
$2,849M
Hawksbill Capital16
-7.01%
-3.17%
$58M
Hyman Beck & Co.17
-1.92%
2.53%
$181M
ISAM18
-5.36%
0.88%
$350M
Lynx Asset Mgt19
-6.18%
-5.10%
$5,710M
Man AHL Diversified20
-7.44%
-6.49%
$868M
Mark J. Walsh & Co.21
-1.60%
-4.69%
$94M
Millburn Ridgefield22
-3.04%
-1.32%
$778M
Mulvaney Capital23
-6.07%
-0.56%
$178M
Quantica Capital24
-4.00%
-3.62%
$738M
Rabar Market Research25
-3.35%
-4.95%
$128M
Saxon Investment26
-3.36%
-11.65%
$43M
Sunrise Capital27
-0.33%
2.07%
$200M
Tactical Investment Mgt28
-9.09%
-7.85%
$61M
Transtrend29
-5.63%
-7.16%
$5,011M
Winton Capital30
-3.22%
-1.96%
$30,000M
Summary Figures***
-4.70%
-3.85%
$58,335M

Notes
* YTD: Year-To-Date performance.
** AUM: Assets Under Management for the program reported here (not total firm AUM)
*** The summary numbers are the mean of the monthly return and the mean of the YTD, with the total sum of AUM, across all managers

Note that the figures referenced in the performance table are not provided directly by any of the funds/CTAs featured in this report, but are sourced from other publications such as hedge fund/CTA websites and databases.

1 – Abraham Trading was founded by Salem Abraham, after he was introduced to Managed Futures and Trend Following by Jerry Parker. He is considered as a “second-generation” Turtle.
Program tracked: Diversified Program.
2 – Altis Partners started trading in 2001 and now manage over a $1B with their Altis Global Futures Portfolio. The figures referenced in the performance table are not provided by Altis Partners and no reliance should be taken as to their accuracy, and as a consequence the figures may not be in accordance with any CFTC / NFA performance reporting requirements.
Program tracked: Global Futures Portfolio.
Program tracked: Aspect Capital Diversified Program.
4 – Beach Horizon was created as a fully automated trend following subsidiary of Beach Capital Mgt, founded by David Beach. Two of the founders of Beach Horizon had early involvement in AHL.

Program Tracked: Managed Account.
5 – BlueTrend, from BlueCrest Capital, is one of the largest Trend Following funds – headed by Ms. Leda Braga.

Program tracked: BlueTrend Fund Limited (GBP).
6 – Campbell & Company is one of the oldest Trend Following firms, operating for around 4 decades.

Program tracked: Global Diversified Large.
7 – Chesapeake Capital was founded by Jerry Parker, a former Turtle.

Program tracked: Diversified Program.
8 – Clarke Capital was founded by Michael Clarke in 1993.

Program tracked: Millenium Program.
9 – Covenant Capital is a CTA from Nashville. Program tracked: Aggressive Program
10 – Drury Capital, Inc., was founded in Illinois in 1992 by Bernard Drury.

Program tracked: Diversified Trend-Following.
11 – Dunn Capital was founded by Bill Dunn.

Program tracked: World Monetary and Agriculture (WMA).
12 – Eckhardt Trading is the firm managed by William Eckhardt, who co-led the Turtle experiment with Richard Dennis.

Program tracked: Standard Program.
13 – EMC Capital was founded by Liz Cheval, a former Turtle.

Program tracked: EMC Classic Program.
14 – Estlander is a Finnish CTA, founded by Martin Estlander. Program tracked: Alpha Trend.
15 – Graham Capital was founded in 1994 by Ken Tropin, previously a Director of JWH.

Program tracked: K4-D10.
16 – Hawksbill Capital was founded by Tom Shanks, a former Turtle.

Program tracked: Global Diversified Program.
17 – Hyman Beck & Co. main principals are Alexander Hyman and Carl Beck.

Program tracked: Global Portfolio.
18 – ISAM’s main individuals are Larry Hite and Stanley Fink, both instrumental in the success of MAN AHL. Program tracked: ISAM Systematic Fund Class A
19 – Lynx Asset Management is a multi-billion CTA out of Sweden. Program tracked: Lynx Program
20 – Originally ED & F Man, a commodities broker business founded in 1783. Man became a succesful CTA starting in 1983, when partnering with Larry Hite’s Mint Investments. Subsequently Man gradually acquires AHL (1989-1994) to form Man AHL: the systematic trading division of the Man group.

Program tracked: Man AHL Diversified Plc
21 – Mark J. Walsh was not an official Turtle but trained and worked closely with Richard Dennis before starting his own fund management business.

Program tracked: Standard Program.
22 – Millburn Ridgefield have been trading Trend Following models since the early 1970’s.

Program tracked: Diversified Program.
23 – Mulvaney Capital Management was founded in 1999 by Paul Mulvaney and focuses on long-term trend following.

Program tracked: Mulvaney Global Markets
24 – Program tracked: Managed Futures Program
25 – Rabar Market Research is the company of Paul Rabar, a former Turtle.

Program tracked: Diversified Program.
26 – Saxon Investment was founded by Howard Seidler, a former Turtle.

Program tracked: Aggressive Diversified Program.
27 – Sunrise Capital is a CTA based in San Diego. Founded in 1980 by Gary Davis, it merged in 1995 with Commodity Commodity Monitors, Inc., founded by Rick Slaughter in 1977.

Program tracked: Sunrise Evolution
28 – Tactical Investment Management was founded by David Druz, student of Ed Seykota.

Program tracked: Institutional Commodity Program.
29 – Transtrend is a Trend follower CTA based in Netherlands.

Program tracked: DTP – Enhanced Risk (USD).
30 – Winton Capital is a London-based CTA founded by Dave Harding (also co-founder of AHL).

Program tracked: Diversified Program.
bb Resultados sistemas a Junio 2.015.
5 Jul 2015
Ya acabado el mes de junio podemos ver los resultados de los sistemas (salvo error de anotación). Para tener una orientación, también publico los completos del año 2.014, 2.013 y 2.012 para cada uno de ellos. Los resultados en este mes siguen mejorando y la cartera global incrementa los beneficios este 2.015. Los resultados de la columna de cada mes reflejan el del periodo completo de los meses en conjunto, reflejando el periodo de 1/01/2.015 hasta el fin de mes correspondiente. Del sistema SPAG publico los resultados en sus dos versiones actuales, la SPAG y SPAGV2. He incluido en la tabla los resultados del último sistema publicado el IntraDiaFull (IDF) pero solo aplicado a 4 mercados, 2 europeos (Dax y CAC) y dos americanos (Mini SP y Mini Rusell ).  Este mes han habido 13 del total de sistemas que se salden con resultado positivo en su acumulado anual 2.015.
Lo que si queda claro, mes tras mes, que es  imprescindible una buena diversificación tanto de sistemas y estilos de operativa como en la operativa en distintos derivados para poder ser minimamente consistente en los resultados y tratar de minimizar las pérdidas.. Siempre podemos encontrarnos sistemas que deben apartarse de la operativa y deber ser sustituidos por otros que tengamos a disposición en reserva. Siempre hay que estar investigando en nuevos sistemas, derivados y estilos de operativa. Por muchos sistemas de que dispongamos, no tenemos asegurada rentabilidad alguna y si sufrimiento para conseguirla. Unos años unos sistemas fallan y al siguiente remontan el vuelo y vuelven a los beneficios, pero también sucede al revés. NO HAY NADA QUE FUNCIONE SIEMPRE Y EN TODOS LOS ESCENARIOS.
Tengo ya comercializándose y auditándose de forma externa nuevos sistemas automáticos de trading en la plataforma de TradingMotion. Si algún lector desea tener información de dichos sistemas pueden verlos alli bajo el nombre del desarrollador Esoftrading. Los sistemas alli comercializados no son ninguno de os publicados aqui en este blog. También pueden escribirme un mail solicitando información.
Veamos los resultados de todos los sistemas sin detalle de su drawdown actual en esta ocasión: (clica en la imagen para verla más grande y clara):

Durante el mes ha habido momentos en que los resultados positivos de la cartera casi alcanzan los 100.000 euros, lo cual implica que con el resultados cerrado del mes a pesar de estar con beneficios por momentos ha tenido resultados excelentes. Esto también forma parte del trading y los resultados se han de ver a medio largo plazo y no en un momento determinado como si fueran una foto. Es mas bien una secuencia.Aunque no por eso deja de sufrirse. ¿ mejor para la operativa cuando se alcancen esos beneficios ? Tal vez, ya ha pasado varias veces. Sin embargo aunque no lo hagamos, la cartera va aumentando sus beneficios mes a mes tal como puede verse en la evolución, todo y sin aplicar una gestión monetaria activa.
bb Resultados fondos cuantitativos Mayo 2.015.
17 Jun 2015
En la tabla siguiente podemos ver los resultados hasta el mes de mayo del año 2.015 de los principales fondos cuantitativos y su acumulado anual. La media de mayo como podrán ver es de una pérdida de un -0,54%, siendo en el acumulado del año de un beneficio de 0,94%. 10 de estos fondos (33%) tiene el año 2.015 con pérdidas. Curiosamente en mi cartera, el mes de mayo ha sido un buen mes, continuando y aumentando los resultados. ¿ Cómo seguirá el mes que viene y como será el año ?. Para saberlo tendremos que esperar. Les recuerdo el enlace a mis últimos resultados publicados: Resultados mensuales acumulados. En la tabla siguiente tienen los resultados de los fondos cuantitativos (fuente: automated-trading-system.com):

Organisation / Fund Return YTD * AUM **
Abraham Trading1
-2.45%
-2.92%
$246M
Altis Partners2
-2.43%
3.63%
$303M
Aspect Capital3
-0.34%
-2.80%
$4,756M
Beach Horizon4
-1.02%
-0.35%
$98M
BlueTrend5
-2.20%
4.58%
N/A
Campbell & Company6
-1.05%
2.55%
$4,827M
Chesapeake Capital7
1.30%
2.02%
$215M
Clarke Capital8
0.96%
-0.02%
$15M
Covenant Cap. Mgt.9
-3.91%
-9.88%
$71M
Drury Capital10
0.09%
-4.12%
$217M
Dunn Capital11
4.65%
6.47%
$513M
Eckhardt Trading12
2.10%
3.96%
$338M
EMC Capital13
0.66%
3.10%
$108M
Estlander & Partners14
-2.27%
1.24%
$278M
Graham Capital15
0.49%
5.11%
$2,964M
Hawksbill Capital16
-0.49%
4.17%
$63M
Hyman Beck & Co.17
-0.36%
4.58%
$182M
ISAM18
-1.53%
6.68%
$350M
Lynx Asset Mgt19
-1.69%
1.15%
$5,710M
Man AHL Diversified20
-2.67%
1.03%
$920M
Mark J. Walsh & Co.21
0.50%
-3.14%
$95M
Millburn Ridgefield22
-0.84%
1.77%
$807M
Mulvaney Capital23
4.13%
5.86%
$186M
Quantica Capital24
-0.10%
0.40%
$739M
Rabar Market Research25
0.48%
-1.65%
$134M
Saxon Investment26
-5.24%
-8.55%
$45M
Sunrise Capital27
0.24%
2.41%
$200M
Tactical Investment Mgt28
-0.13%
1.37%
$67M
Transtrend29
-3.01%
-1.62%
$5,273M
Winton Capital30
-0.02%
1.31%
$30,059M
Summary Figures***
-0.54%
0.94%
$59,779M
Notes
* YTD: Year-To-Date performance.
** AUM: Assets Under Management for the program reported here (not total firm AUM)
*** The summary numbers are the mean of the monthly return and the mean of the YTD, with the total sum of AUM, across all managers

Note that the figures referenced in the performance table are not provided directly by any of the funds/CTAs featured in this report, but are sourced from other publications such as hedge fund/CTA websites and databases.

1 – Abraham Trading was founded by Salem Abraham, after he was introduced to Managed Futures and Trend Following by Jerry Parker. He is considered as a “second-generation” Turtle.
Program tracked: Diversified Program. 2 – Altis Partners started trading in 2001 and now manage over a $1B with their Altis Global Futures Portfolio. The figures referenced in the performance table are not provided by Altis Partners and no reliance should be taken as to their accuracy, and as a consequence the figures may not be in accordance with any CFTC / NFA performance reporting requirements.
Program tracked: Global Futures Portfolio.
3 – The four founders of Aspect (Eugene Lambert, Anthony Todd, Michael Adam and Martin Lueck) were significant members of one of the most successful funds in managed futures – AHL (Adam, Harding and Lueck).
Program tracked: Aspect Capital Diversified Program.
4 – Beach Horizon was created as a fully automated trend following subsidiary of Beach Capital Mgt, founded by David Beach. Two of the founders of Beach Horizon had early involvement in AHL.
Program Tracked: Managed Account.
5 – BlueTrend, from BlueCrest Capital, is one of the largest Trend Following funds – headed by Ms. Leda Braga.
Program tracked: BlueTrend Fund Limited (GBP).
6 – Campbell & Company is one of the oldest Trend Following firms, operating for around 4 decades.
Program tracked: Global Diversified Large.
7 – Chesapeake Capital was founded by Jerry Parker, a former Turtle.
Program tracked: Diversified Program.
8 – Clarke Capital was founded by Michael Clarke in 1993.
Program tracked: Millenium Program.
9 – Covenant Capital is a CTA from Nashville. Program tracked: Aggressive Program
10 – Drury Capital, Inc., was founded in Illinois in 1992 by Bernard Drury.
Program tracked: Diversified Trend-Following.
11 – Dunn Capital was founded by Bill Dunn.
Program tracked: World Monetary and Agriculture (WMA).
12 – Eckhardt Trading is the firm managed by William Eckhardt, who co-led the Turtle experiment with Richard Dennis.
Program tracked: Standard Program.
13 – EMC Capital was founded by Liz Cheval, a former Turtle.
Program tracked: EMC Classic Program.
14 – Estlander is a Finnish CTA, founded by Martin Estlander. Program tracked: Alpha Trend.
15 – Graham Capital was founded in 1994 by Ken Tropin, previously a Director of JWH.
Program tracked: K4-D10.
16 – Hawksbill Capital was founded by Tom Shanks, a former Turtle.
Program tracked: Global Diversified Program.
17 – Hyman Beck & Co. main principals are Alexander Hyman and Carl Beck.
Program tracked: Global Portfolio.
18 – ISAM’s main individuals are Larry Hite and Stanley Fink, both instrumental in the success of MAN AHL. Program tracked: ISAM Systematic Fund Class A
19 – Lynx Asset Management is a multi-billion CTA out of Sweden. Program tracked: Lynx Program
20 – Originally ED & F Man, a commodities broker business founded in 1783. Man became a succesful CTA starting in 1983, when partnering with Larry Hite’s Mint Investments. Subsequently Man gradually acquires AHL (1989-1994) to form Man AHL: the systematic trading division of the Man group.
Program tracked: Man AHL Diversified Plc
21 – Mark J. Walsh was not an official Turtle but trained and worked closely with Richard Dennis before starting his own fund management business.
Program tracked: Standard Program.
22 – Millburn Ridgefield have been trading Trend Following models since the early 1970’s.
Program tracked: Diversified Program.
23 – Mulvaney Capital Management was founded in 1999 by Paul Mulvaney and focuses on long-term trend following.
Program tracked: Mulvaney Global Markets
24 – Program tracked: Managed Futures Program
25 – Rabar Market Research is the company of Paul Rabar, a former Turtle.
Program tracked: Diversified Program.
26 – Saxon Investment was founded by Howard Seidler, a former Turtle.
Program tracked: Aggressive Diversified Program.
27 – Sunrise Capital is a CTA based in San Diego. Founded in 1980 by Gary Davis, it merged in 1995 with Commodity Commodity Monitors, Inc., founded by Rick Slaughter in 1977.
Program tracked: Sunrise Evolution
28 – Tactical Investment Management was founded by David Druz, student of Ed Seykota.
Program tracked: Institutional Commodity Program.
29 – Transtrend is a Trend follower CTA based in Netherlands.
Program tracked: DTP – Enhanced Risk (USD).
30 – Winton Capital is a London-based CTA founded by Dave Harding (also co-founder of AHL).
Program tracked: Diversified Program.
 
bb Resultados sistemas a Mayo 2.015.
2 Jun 2015
Ya acabado el mes de mayo podemos ver los resultados de los sistemas (salvo error de anotación). Para tener una orientación, también publico los completos del año 2.014, 2.013 y 2.012 para cada uno de ellos. Los resultados en este mes han sido siguen mejorando y la cartera global incrementa los beneficios este 2.015. Los resultados de la columna de cada mes reflejan el del periodo completo de los meses en conjunto, reflejando el periodo de 1/01/2.015 hasta el fin de mes correspondiente. Del sistema SPAG publico los resultados en sus dos versiones actuales, la SPAG y SPAGV2. He incluido en la tabla los resultados del último sistema publicado el IntraDiaFull (IDF) pero solo aplicado a 4 mercados, 2 europeos (Dax y CAC) y dos americanos (Mini SP y Mini Rusell ).  Este mes han habido 12 del total de sistemas que se salden con resultado positivo en su acumulado anual 2.015.
Lo que si queda claro, mes tras mes, que es  imprescindible una buena diversificación tanto de sistemas y estilos de operativa como en la operativa en distintos derivados para poder ser minimamente consistente en los resultados y tratar de minimizar las pérdidas.. Siempre podemos encontrarnos sistemas que deben apartarse de la operativa y deber ser sustituidos por otros que tengamos a disposición en reserva. Siempre hay que estar investigando en nuevos sistemas, derivados y estilos de operativa. Por muchos sistemas de que dispongamos, no tenemos asegurada rentabilidad alguna y si sufrimiento para conseguirla. Unos años unos sistemas fallan y al siguiente remontan el vuelo y vuelven a los beneficios, pero también sucede al revés. NO HAY NADA QUE FUNCIONE SIEMPRE Y EN TODOS LOS ESCENARIOS.
Tengo ya comercializándose y auditándose de forma externa nuevos sistemas automáticos de trading en la plataforma de TradingMotion. Si algún lector desea tener información de dichos sistemas pueden verlos alli bajo el nombre del desarrollador Esoftrading. Los sistemas alli comercializados no son ninguno de os publicados aqui en este blog. También pueden escribirme un mail solicitando información.
Veamos los resultados de todos los sistemas sin detalle de su drawdown actual en esta ocasión: (clica en la imagen para verla más grande y clara):

Durante el mes ha habido momentos en que los resultados positivos de la cartera casi alcanzan los 80.000 euros, lo cual implica que con el resultados cerrado del mes a pesar de estar con beneficios por momentos ha tenido resultados excelentes. Esto también forma parte del trading y los resultados se han de ver a medio largo plazo y no en un momento determinado como si fueran una foto. Es mas bien una secuencia.
bb Resultados fondos cuantitativos Abril 2.015.
21 May 2015
En la tabla siguiente podemos ver los resultados hasta el mes de abril del año 2.015 de los principales fondos cuantitativos y su acumulado anual. La media de abril como podrán ver es de una pérdida de un -4,23%, siendo en el acumulado del año de un beneficio de 1,33%. 8 de estos fondos tiene el año 2.015 con pérdidas. Curiosamente en mi cartera, el mes de abril ha sido un buen mes, pasando la cartera a positivo. ¿ Cómo seguirá el mes que viene y como será el año ?. Para saberlo tendremos que esperar. Les recuerdo el enlace a mis últimos resultados publicados: Resultados mensuales acumulados. En la tabla siguiente tienen los resultados de los fondos cuantitativos (fuente: automated-trading-system.com): 

Organisation / Fund Return YTD * AUM **
Abraham Trading1
-5.19%
-0.50%
$278M
Altis Partners2
-3.87%
6.18%
$306M
Aspect Capital3
-12.40%
-5.39%
$5,150M
Beach Horizon4
-5.48%
0.68%
$101M
BlueTrend5
-3.32%
6.94%
N/A
Campbell & Company6
-3.85%
3.69%
$4,646M
Chesapeake Capital7
-3.81%
0.73%
$282M
Clarke Capital8
-3.44%
-0.97%
$15M
Covenant Cap. Mgt.9
-2.82%
-6.21%
$71M
Drury Capital10
-4.50%
-4.20%
$218M
Dunn Capital11
-10.78%
1.73%
$500M
Eckhardt Trading12
-1.49%
2.00%
$332M
EMC Capital13
-0.20%
2.10%
$104M
Estlander & Partners14
-2.35%
3.59%
$322M
Graham Capital15
-1.07%
4.59%
$2,931M
Hawksbill Capital16
-3.34%
4.73%
$62M
Hyman Beck & Co.17
-6.72%
4.97%
$182M
ISAM18
-7.47%
6.53%
$350M
Lynx Asset Mgt19
-6.30%
2.89%
$5,710M
Man AHL Diversified20
-4.17%
3.80%
$983M
Mark J. Walsh & Co.21
-4.94%
-3.59%
$94M
Millburn Ridgefield22
-3.01%
2.60%
$821M
Mulvaney Capital23
-7.98%
1.66%
$207M
Quantica Capital24
-2.90%
0.50%
$685M
Rabar Market Research25
-3.24%
-2.09%
$137M
Saxon Investment26
1.05%
-3.50%
$49M
Sunrise Capital27
-2.57%
2.18%
$200M
Tactical Investment Mgt28
-3.84%
1.50%
$66M
Transtrend29
-3.53%
1.43%
$5,195M
Winton Capital30
-3.29%
1.33%
$29,173M
Summary Figures***
-4.23%
1.33%
$59,170M


Notes
* YTD: Year-To-Date performance.
** AUM: Assets Under Management for the program reported here (not total firm AUM)
*** The summary numbers are the mean of the monthly return and the mean of the YTD, with the total sum of AUM, across all managers

Note that the figures referenced in the performance table are not provided directly by any of the funds/CTAs featured in this report, but are sourced from other publications such as hedge fund/CTA websites and databases.

1 – Abraham Trading was founded by Salem Abraham, after he was introduced to Managed Futures and Trend Following by Jerry Parker. He is considered as a “second-generation” Turtle.
Program tracked: Diversified Program.
2 – Altis Partners started trading in 2001 and now manage over a $1B with their Altis Global Futures Portfolio. The figures referenced in the performance table are not provided by Altis Partners and no reliance should be taken as to their accuracy, and as a consequence the figures may not be in accordance with any CFTC / NFA performance reporting requirements.
Program tracked: Global Futures Portfolio.
– The four founders of Aspect (Eugene Lambert, Anthony Todd, Michael Adam and Martin Lueck) were significant members of one of the most successful funds in managed futures – AHL (Adam, Harding and Lueck).
Program tracked: Aspect Capital Diversified Program.
4 – Beach Horizon was created as a fully automated trend following subsidiary of Beach Capital Mgt, founded by David Beach. Two of the founders of Beach Horizon had early involvement in AHL.
Program Tracked: Managed Account.
5 – BlueTrend, from BlueCrest Capital, is one of the largest Trend Following funds – headed by Ms. Leda Braga.
Program tracked: BlueTrend Fund Limited (GBP).
6 – Campbell & Company is one of the oldest Trend Following firms, operating for around 4 decades.
Program tracked: Global Diversified Large.
7 – Chesapeake Capital was founded by Jerry Parker, a former Turtle.
Program tracked: Diversified Program.
8 – Clarke Capital was founded by Michael Clarke in 1993.
Program tracked: Millenium Program.
9 – Covenant Capital is a CTA from Nashville. Program tracked: Aggressive Program
10 – Drury Capital, Inc., was founded in Illinois in 1992 by Bernard Drury.
Program tracked: Diversified Trend-Following.
11 – Dunn Capital was founded by Bill Dunn.
Program tracked: World Monetary and Agriculture (WMA).
12 – Eckhardt Trading is the firm managed by William Eckhardt, who co-led the Turtle experiment with Richard Dennis.
Program tracked: Standard Program.
13 – EMC Capital was founded by Liz Cheval, a former Turtle.
Program tracked: EMC Classic Program.
14 – Estlander is a Finnish CTA, founded by Martin Estlander. Program tracked: Alpha Trend.
15 – Graham Capital was founded in 1994 by Ken Tropin, previously a Director of JWH.
Program tracked: K4-D10.
16 – Hawksbill Capital was founded by Tom Shanks, a former Turtle.
Program tracked: Global Diversified Program.
17 – Hyman Beck & Co. main principals are Alexander Hyman and Carl Beck.
Program tracked: Global Portfolio.
18 – ISAM’s main individuals are Larry Hite and Stanley Fink, both instrumental in the success of MAN AHL. Program tracked: ISAM Systematic Fund Class A
19 – Lynx Asset Management is a multi-billion CTA out of Sweden. Program tracked: Lynx Program
20 – Originally ED & F Man, a commodities broker business founded in 1783. Man became a succesful CTA starting in 1983, when partnering with Larry Hite’s Mint Investments. Subsequently Man gradually acquires AHL (1989-1994) to form Man AHL: the systematic trading division of the Man group.
Program tracked: Man AHL Diversified Plc
21 – Mark J. Walsh was not an official Turtle but trained and worked closely with Richard Dennis before starting his own fund management business.
Program tracked: Standard Program.
22 – Millburn Ridgefield have been trading Trend Following models since the early 1970’s.
Program tracked: Diversified Program.
23 – Mulvaney Capital Management was founded in 1999 by Paul Mulvaney and focuses on long-term trend following.
Program tracked: Mulvaney Global Markets
24 – Program tracked: Managed Futures Program
25 – Rabar Market Research is the company of Paul Rabar, a former Turtle.
Program tracked: Diversified Program.
26 – Saxon Investment was founded by Howard Seidler, a former Turtle.
Program tracked: Aggressive Diversified Program.
27 – Sunrise Capital is a CTA based in San Diego. Founded in 1980 by Gary Davis, it merged in 1995 with Commodity Commodity Monitors, Inc., founded by Rick Slaughter in 1977.
Program tracked: Sunrise Evolution
28 – Tactical Investment Management was founded by David Druz, student of Ed Seykota.
Program tracked: Institutional Commodity Program.
29 – Transtrend is a Trend follower CTA based in Netherlands.
Program tracked: DTP – Enhanced Risk (USD).
30 – Winton Capital is a London-based CTA founded by Dave Harding (also co-founder of AHL).
bb Resultados sistemas a Abril 2.015.
5 May 2015
Ya acabado el mes de abril podemos ver los resultados de los sistemas (salvo error de anotación). Para tener una orientación, también publico los completos del año 2.014, 2.013 y 2.012 para cada uno de ellos. Los resultados en este mes han sido ya bastante arreglados y la cartera global acaba con las pérdidas y entra en beneficios este 2.015, como también sucedió el año pasado, donde estuvimos los 8 primeros meses del año con pérdidas. Los resultados de la columna de cada mes reflejan el del periodo completo de los meses en conjunto, reflejando el periodo de 1/01/2.015 hasta el fin de mes correspondiente. Del sistema SPAG publico los resultados en sus dos versiones actuales, la SPAG y SPAGV2. He incluido en la tabla los resultados del último sistema publicado el IntraDiaFull (IDF) pero solo aplicado a 4 mercados, 2 europeos (Dax y CAC) y dos americanos (Mini SP y Mini Rusell ).  Este mes han habido 12 del total de sistemas que se salden con resultado positivo en su acumulado anual 2.015.
Lo que si queda claro, mes tras mes, que es  imprescindible una buena diversificación tanto de sistemas y estilos de operativa como en la operativa en distintos derivados para poder ser minimamente consistente en los resultados y tratar de minimizar las pérdidas.. Siempre podemos encontrarnos sistemas que deben apartarse de la operativa y deber ser sustituidos por otros que tengamos a disposición en reserva. Siempre hay que estar investigando en nuevos sistemas, derivados y estilos de operativa. Por muchos sistemas de que dispongamos, no tenemos asegurada rentabilidad alguna y si sufrimiento para conseguirla. Unos años unos sistemas fallan y al siguiente remontan el vuelo y vuelven a los beneficios, pero también sucede al revés. NO HAY NADA QUE FUNCIONE SIEMPRE Y EN TODOS LOS ESCENARIOS.
Tengo ya comercializándose y auditándose de forma externa nuevos sistemas automáticos de trading en la plataforma de TradingMotion. Si algún lector desea tener información de dichos sistemas pueden verlos alli bajo el nombre del desarrollador Esoftrading. Los sistemas alli comercializados no son ninguno de os publicados aqui en este blog. También pueden escribirme un mail solicitando información.
Veamos los resultados de todos los sistemas sin detalle de su drawdown actual en esta ocasión: (clica en la imagen para verla más grande y clara):


bb Resultados fondos cuantitativos Marzo 2.015.
29 Apr 2015
En la tabla siguiente podemos ver los resultados hasta el mes de marzo del año 2.015 de los principales fondos cuantitativos y su acumulado anual. La media de marzo como podrán ver es de un beneficio de un 1,32%, siendo en el acumulado del año de un beneficio de 5,75%. 2 de estos fondos continúa el año 2.015 con pérdidas. ¿ Cómo seguirá el mes que viene y como será el año ?. Para saberlo tendremos que esperar. Les recuerdo el enlace a mis últimos resultados publicados: Resultados mensuales acumulados. En la tabla siguiente tienen los resultados de los fondos cuantitativos (fuente: automated-trading-system.com):

Organisation / Fund Return YTD * AUM **
Abraham Trading1
1.26%
5.00%
$275M
Altis Partners2
5.95%
10.42%
$325M
Aspect Capital3
3.70%
7.99%
$5,150M
Beach Horizon4
0.80%
6.26%
$107M
BlueTrend5
-0.35%
10.19%
N/A
Campbell & Company6
-0.50%
4.39%
$4,735M
Chesapeake Capital7
1.67%
4.74%
$294M
Clarke Capital8
-1.57%
2.56%
$15M
Covenant Cap. Mgt.9
-2.27%
-3.51%
$74M
Drury Capital10
1.20%
0.31%
$228M
Dunn Capital11
9.30%
14.02%
$602M
Eckhardt Trading12
-0.68%
3.53%
$337M
EMC Capital13
0.57%
2.30%
$105M
Estlander & Partners14
-0.90%
6.08%
$346M
Graham Capital15
0.12%
5.72%
$2,980M
Hawksbill Capital16
0.09%
8.39%
$65M
Hyman Beck & Co.17
5.22%
12.61%
$182M
ISAM18
3.79%
15.22%
$345M
Lynx Asset Mgt19
3.36%
9.81%
$5,710M
Man AHL Diversified20
1.84%
8.32%
$1,039M
Mark J. Walsh & Co.21
-1.65%
1.42%
$99M
Millburn Ridgefield22
3.87%
5.80%
$837M
Mulvaney Capital23
3.84%
10.48%
$221M
Quantica Capital24
1.21%
3.50%
$680M
Rabar Market Research25
-1.89%
1.19%
$143M
Saxon Investment26
-2.93%
-4.50%
$48M
Sunrise Capital27
0.19%
4.87%
$207M
Tactical Investment Mgt28
0.56%
5.55%
$68M
Transtrend29
2.03%
5.14%
$5,411M
Winton Capital30
1.91%
4.77%
$31,100M
Summary Figures***
1.32%
5.75%
$61,728M

Notes
* YTD: Year-To-Date performance.
** AUM: Assets Under Management for the program reported here (not total firm AUM)
*** The summary numbers are the mean of the monthly return and the mean of the YTD, with the total sum of AUM, across all managers

Note that the figures referenced in the performance table are not provided directly by any of the funds/CTAs featured in this report, but are sourced from other publications such as hedge fund/CTA websites and databases.

1 – Abraham Trading was founded by Salem Abraham, after he was introduced to Managed Futures and Trend Following by Jerry Parker. He is considered as a “second-generation” Turtle.
Program tracked: Diversified Program. 2 – Altis Partners started trading in 2001 and now manage over a $1B with their Altis Global Futures Portfolio. The figures referenced in the performance table are not provided by Altis Partners and no reliance should be taken as to their accuracy, and as a consequence the figures may not be in accordance with any CFTC / NFA performance reporting requirements.
Program tracked: Global Futures Portfolio.
3 – The four founders of Aspect (Eugene Lambert, Anthony Todd, Michael Adam and Martin Lueck) were significant members of one of the most successful funds in managed futures – AHL (Adam, Harding and Lueck).
Program tracked: Aspect Capital Diversified Program.
4 – Beach Horizon was created as a fully automated trend following subsidiary of Beach Capital Mgt, founded by David Beach. Two of the founders of Beach Horizon had early involvement in AHL.
Program Tracked: Managed Account.
5 – BlueTrend, from BlueCrest Capital, is one of the largest Trend Following funds – headed by Ms. Leda Braga.
Program tracked: BlueTrend Fund Limited (GBP).
6 – Campbell & Company is one of the oldest Trend Following firms, operating for around 4 decades.
Program tracked: Global Diversified Large.
7 – Chesapeake Capital was founded by Jerry Parker, a former Turtle.
Program tracked: Diversified Program.
8 – Clarke Capital was founded by Michael Clarke in 1993.
Program tracked: Millenium Program.
9 – Covenant Capital is a CTA from Nashville. Program tracked: Aggressive Program
10 – Drury Capital, Inc., was founded in Illinois in 1992 by Bernard Drury.
Program tracked: Diversified Trend-Following.
11 – Dunn Capital was founded by Bill Dunn.
Program tracked: World Monetary and Agriculture (WMA).
12 – Eckhardt Trading is the firm managed by William Eckhardt, who co-led the Turtle experiment with Richard Dennis.
Program tracked: Standard Program.
13 – EMC Capital was founded by Liz Cheval, a former Turtle.
Program tracked: EMC Classic Program.
14 – Estlander is a Finnish CTA, founded by Martin Estlander. Program tracked: Alpha Trend.
15 – Graham Capital was founded in 1994 by Ken Tropin, previously a Director of JWH.
Program tracked: K4-D10.
16 – Hawksbill Capital was founded by Tom Shanks, a former Turtle.
Program tracked: Global Diversified Program.
17 – Hyman Beck & Co. main principals are Alexander Hyman and Carl Beck.
Program tracked: Global Portfolio.
18 – ISAM’s main individuals are Larry Hite and Stanley Fink, both instrumental in the success of MAN AHL. Program tracked: ISAM Systematic Fund Class A
19 – Lynx Asset Management is a multi-billion CTA out of Sweden. Program tracked: Lynx Program
20 – Originally ED & F Man, a commodities broker business founded in 1783. Man became a succesful CTA starting in 1983, when partnering with Larry Hite’s Mint Investments. Subsequently Man gradually acquires AHL (1989-1994) to form Man AHL: the systematic trading division of the Man group.
Program tracked: Man AHL Diversified Plc
21 – Mark J. Walsh was not an official Turtle but trained and worked closely with Richard Dennis before starting his own fund management business.
Program tracked: Standard Program.
22 – Millburn Ridgefield have been trading Trend Following models since the early 1970’s.
Program tracked: Diversified Program.
23 – Mulvaney Capital Management was founded in 1999 by Paul Mulvaney and focuses on long-term trend following.
Program tracked: Mulvaney Global Markets
24 – Program tracked: Managed Futures Program
25 – Rabar Market Research is the company of Paul Rabar, a former Turtle.
Program tracked: Diversified Program.
26 – Saxon Investment was founded by Howard Seidler, a former Turtle.
Program tracked: Aggressive Diversified Program.
27 – Sunrise Capital is a CTA based in San Diego. Founded in 1980 by Gary Davis, it merged in 1995 with Commodity Commodity Monitors, Inc., founded by Rick Slaughter in 1977.
Program tracked: Sunrise Evolution
28 – Tactical Investment Management was founded by David Druz, student of Ed Seykota.
Program tracked: Institutional Commodity Program.
29 – Transtrend is a Trend follower CTA based in Netherlands.
Program tracked: DTP – Enhanced Risk (USD).
30 – Winton Capital is a London-based CTA founded by Dave Harding (also co-founder of AHL).
Program tracked: Diversified Program.
bb Resultados fondos cuantitativos Febrero 2.015.
20 Apr 2015
En la tabla siguiente podemos ver los resultados hasta el mes de febrero del año 2.015 de los principales fondos cuantitativos y su acumulado anual. La media de febrero como podrán ver es de una pérdida de un -1,21%, siendo en el acumulado del año de un beneficio de 4,29%. 3 de estos fondos empieza el año 2.015 con pérdidas. ¿ Cómo seguirá el mes que viene y como será el año ?. Para saberlo tendremos que esperar. Les recuerdo el enlace a mis últimos resultados publicados: Resultados mensuales acumulados. En la tabla siguiente tienen los resultados de los fondos cuantitativos (fuente: automated-trading-system.com): 

Organisation / Fund Return YTD * AUM **
Abraham Trading1
-1.12%
3.77%
$269M
Altis Partners2
-4.97%
4.19%
$308M
Aspect Capital3
-0.44%
4.14%
$5,080M
Beach Horizon4
1.95%
5.42%
$103M
BlueTrend5
0.04%
8.56%
N/A
Campbell & Company6
-0.50%
4.82%
$4,485M
Chesapeake Capital7
-0.17%
3.03%
$275M
Clarke Capital8
-4.16%
4.19%
$15M
Covenant Cap. Mgt.9
-2.01%
-1.25%
$74M
Drury Capital10
-3.14%
-0.89%
$225M
Dunn Capital11
-3.87%
4.32%
$535M
Eckhardt Trading12
-0.46%
4.24%
$347M
EMC Capital13
-1.63%
1.72%
$103M
Estlander & Partners14
0.20%
7.04%
$354M
Graham Capital15
0.15%
5.60%
$2,970M
Hawksbill Capital16
-2.47%
8.29%
$64M
Hyman Beck & Co.17
1.60%
6.99%
$182M
ISAM18
-3.11%
11.25%
$770M
Lynx Asset Mgt19
0.27%
6.24%
$5,710M
Man AHL Diversified20
-0.75%
6.37%
$1,042M
Mark J. Walsh & Co.21
-4.81%
3.12%
$100M
Millburn Ridgefield22
0.39%
1.90%
$795M
Mulvaney Capital23
-0.50%
6.40%
$215M
Quantica Capital24
-1.10%
2.26%
$651M
Rabar Market Research25
0.20%
3.12%
$144M
Saxon Investment26
-1.24%
-1.62%
$49M
Sunrise Capital27
0.51%
4.68%
$200M
Tactical Investment Mgt28
-4.17%
4.96%
$67M
Transtrend29
-1.01%
3.05%
$5,276M
Winton Capital30
0.02%
2.81%
$30,300M
Summary Figures***
-1.21%
4.29%
$60,708M

Notes
* YTD: Year-To-Date performance.
** AUM: Assets Under Management for the program reported here (not total firm AUM)
*** The summary numbers are the mean of the monthly return and the mean of the YTD, with the total sum of AUM, across all managers

Note that the figures referenced in the performance table are not provided directly by any of the funds/CTAs featured in this report, but are sourced from other publications such as hedge fund/CTA websites and databases.

1 – Abraham Trading was founded by Salem Abraham, after he was introduced to Managed Futures and Trend Following by Jerry Parker. He is considered as a “second-generation” Turtle.
Program tracked: Diversified Program. 2 – Altis Partners started trading in 2001 and now manage over a $1B with their Altis Global Futures Portfolio. The figures referenced in the performance table are not provided by Altis Partners and no reliance should be taken as to their accuracy, and as a consequence the figures may not be in accordance with any CFTC / NFA performance reporting requirements.
Program tracked: Global Futures Portfolio.
3 – The four founders of Aspect (Eugene Lambert, Anthony Todd, Michael Adam and Martin Lueck) were significant members of one of the most successful funds in managed futures – AHL (Adam, Harding and Lueck).
Program tracked: Aspect Capital Diversified Program.
4 – Beach Horizon was created as a fully automated trend following subsidiary of Beach Capital Mgt, founded by David Beach. Two of the founders of Beach Horizon had early involvement in AHL.
Program Tracked: Managed Account.
5 – BlueTrend, from BlueCrest Capital, is one of the largest Trend Following funds – headed by Ms. Leda Braga.
Program tracked: BlueTrend Fund Limited (GBP).
6 – Campbell & Company is one of the oldest Trend Following firms, operating for around 4 decades.
Program tracked: Global Diversified Large.
7 – Chesapeake Capital was founded by Jerry Parker, a former Turtle.
Program tracked: Diversified Program.
8 – Clarke Capital was founded by Michael Clarke in 1993.
Program tracked: Millenium Program.
9 – Covenant Capital is a CTA from Nashville. Program tracked: Aggressive Program
10 – Drury Capital, Inc., was founded in Illinois in 1992 by Bernard Drury.
Program tracked: Diversified Trend-Following.
11 – Dunn Capital was founded by Bill Dunn.
Program tracked: World Monetary and Agriculture (WMA).
12 – Eckhardt Trading is the firm managed by William Eckhardt, who co-led the Turtle experiment with Richard Dennis.
Program tracked: Standard Program.
13 – EMC Capital was founded by Liz Cheval, a former Turtle.
Program tracked: EMC Classic Program.
14 – Estlander is a Finnish CTA, founded by Martin Estlander. Program tracked: Alpha Trend.
15 – Graham Capital was founded in 1994 by Ken Tropin, previously a Director of JWH.
Program tracked: K4-D10.
16 – Hawksbill Capital was founded by Tom Shanks, a former Turtle.
Program tracked: Global Diversified Program.
17 – Hyman Beck & Co. main principals are Alexander Hyman and Carl Beck.
Program tracked: Global Portfolio.
18 – ISAM’s main individuals are Larry Hite and Stanley Fink, both instrumental in the success of MAN AHL. Program tracked: ISAM Systematic Fund Class A
19 – Lynx Asset Management is a multi-billion CTA out of Sweden. Program tracked: Lynx Program
20 – Originally ED & F Man, a commodities broker business founded in 1783. Man became a succesful CTA starting in 1983, when partnering with Larry Hite’s Mint Investments. Subsequently Man gradually acquires AHL (1989-1994) to form Man AHL: the systematic trading division of the Man group.
Program tracked: Man AHL Diversified Plc
21 – Mark J. Walsh was not an official Turtle but trained and worked closely with Richard Dennis before starting his own fund management business.
Program tracked: Standard Program.
22 – Millburn Ridgefield have been trading Trend Following models since the early 1970’s.
Program tracked: Diversified Program.
23 – Mulvaney Capital Management was founded in 1999 by Paul Mulvaney and focuses on long-term trend following.
Program tracked: Mulvaney Global Markets
24 – Program tracked: Managed Futures Program
25 – Rabar Market Research is the company of Paul Rabar, a former Turtle.
Program tracked: Diversified Program.
26 – Saxon Investment was founded by Howard Seidler, a former Turtle.
Program tracked: Aggressive Diversified Program.
27 – Sunrise Capital is a CTA based in San Diego. Founded in 1980 by Gary Davis, it merged in 1995 with Commodity Commodity Monitors, Inc., founded by Rick Slaughter in 1977.
Program tracked: Sunrise Evolution
28 – Tactical Investment Management was founded by David Druz, student of Ed Seykota.
Program tracked: Institutional Commodity Program.
29 – Transtrend is a Trend follower CTA based in Netherlands.
Program tracked: DTP – Enhanced Risk (USD).
30 – Winton Capital is a London-based CTA founded by Dave Harding (also co-founder of AHL).
Program tracked: Diversified Program.

bb Resultados sistemas a marzo 2.015.
20 Apr 2015
Ya acabado el mes de marzo podemos ver los resultados de los sistemas (salvo error de anotación). Para tener una orientación, también publico los completos del año 2.014, 2.013 y 2.012 para cada uno de ellos. Los resultados en este mes han sido menos malos y la cartera global sigue con pérdidas este 2.015, como también sucedió el año pasado, donde estuvimos los 8 primeros meses del año con pérdidas. Eso sí, las pérdidas se han reducido mucho. Los resultados de la columna de cada mes reflejan el del periodo completo de los meses en conjunto, reflejando el periodo de 1/01/2.015 hasta el fin de mes correspondiente. Del sistema SPAG publico los resultados en sus dos versiones actuales, la SPAG y SPAGV2. He incluido en la tabla los resultados del último sistema publicado el IntraDiaFull (IDF) pero solo aplicado a 4 mercados, 2 europeos (Dax y CAC) y dos americanos (Mini SP y Mini Rusell ).  Este mes han habido 12 del total de sistemas que se salden con resultado positivo en su acumulado anual 2.015.
Lo que si queda claro, mes tras mes, que es  imprescindible una buena diversificación tanto de sistemas y estilos de operativa como en la operativa en distintos derivados para poder ser minimamente consistente en los resultados y tratar de minimizar las pérdidas.. Siempre podemos encontrarnos sistemas que deben apartarse de la operativa y deber ser sustituidos por otros que tengamos a disposición en reserva. Siempre hay que estar investigando en nuevos sistemas, derivados y estilos de operativa. Por muchos sistemas de que dispongamos, no tenemos asegurada rentabilidad alguna y si sufrimiento para conseguirla. Unos años unos sistemas fallan y al siguiente remontan el vuelo y vuelven a los beneficios, pero también sucede al revés. NO HAY NADA QUE FUNCIONE SIEMPRE Y EN TODOS LOS ESCENARIOS.
Tengo ya comercializándose y auditándose de forma externa nuevos sistemas automáticos de trading en la plataforma de TradingMotion y en ClickSistemas. Si algún lector desea tener información de dichos sistemas pueden verlos alli bajo el nombre del desarrollador Esoftrading. Los sistemas alli comercializados no son ninguno de os publicados aqui en este blog. También pueden escribirme un mail solicitando información.
Veamos los resultados de todos los sistemas sin detalle de su drawdown actual en esta ocasión: (clica en la imagen para verla más grande y clara):

bb Resultados fondos cuantitativos Enero 2.015.
11 Mar 2015
En la tabla siguiente podemos ver los resultados hasta el mes de enero del año 2.015 de los principales fondos cuantitativos y su acumulado anual. La media de enero como podrán ver es de un beneficio de un 5,63%, siendo en el acumulado del año de un beneficio de 5,63%. Solo 1 de estos fondos empieza el año 2.015 con pérdidas. ¿ Cómo seguirá el mes que viene y como será el año ?. Para saberlo tendremos que esperar. Les recuerdo el enlace a mis últimos resultados publicados: Resultados mensuales acumulados. En la tabla siguiente tienen los resultados de los fondos cuantitativos (fuente: automated-trading-system.com):

Organisation / Fund Return YTD * AUM **
Abraham Trading1
4.93%
4.93%
$272M
Altis Partners2
9.67%
9.67%
$335M
Aspect Capital3
4.60%
4.60%
$5,105M
Beach Horizon4
3.40%
3.40%
$103M
BlueTrend5
8.51%
8.51%
N/A
Campbell & Company6
5.55%
5.55%
$4,384M
Chesapeake Capital7
3.22%
3.22%
$272M
Clarke Capital8
8.71%
8.71%
$16M
Covenant Cap. Mgt.9
0.76%
0.76%
$76M
Drury Capital10
2.34%
2.34%
$232M
Dunn Capital11
8.52%
8.52%
$565M
Eckhardt Trading12
5.27%
5.27%
$352M
EMC Capital13
3.72%
3.72%
$99M
Estlander & Partners14
6.83%
6.83%
$356M
Graham Capital15
5.44%
5.44%
$2,936M
Hawksbill Capital16
11.22%
11.22%
$66M
Hyman Beck & Co.17
5.32%
5.32%
$182M
ISAM18
14.58%
14.58%
$400M
Lynx Asset Mgt19
5.94%
5.94%
$5,710M
Man AHL Diversified20
7.17%
7.17%
$1,031M
Mark J. Walsh & Co.21
8.33%
8.33%
$106M
Millburn Ridgefield22
1.52%
1.52%
$795M
Mulvaney Capital23
6.93%
6.93%
$233M
Quantica Capital24
3.40%
3.40%
$638M
Rabar Market Research25
2.89%
2.89%
$133M
Saxon Investment26
-0.38%
-0.38%
$50M
Sunrise Capital27
4.17%
4.17%
$400M
Tactical Investment Mgt28
9.53%
9.53%
$71M
Transtrend29
4.10%
4.10%
$4,966M
Winton Capital30
2.79%
2.79%
$27,400M
Summary Figures***
5.63%
5.63%
$57,284M
 

Notes
* YTD: Year-To-Date performance.
** AUM: Assets Under Management for the program reported here (not total firm AUM)
*** The summary numbers are the mean of the monthly return and the mean of the YTD, with the total sum of AUM, across all managers

Note that the figures referenced in the performance table are not provided directly by any of the funds/CTAs featured in this report, but are sourced from other publications such as hedge fund/CTA websites and databases.

1 – Abraham Trading was founded by Salem Abraham, after he was introduced to Managed Futures and Trend Following by Jerry Parker. He is considered as a “second-generation” Turtle.
Program tracked: Diversified Program. 2 – Altis Partners started trading in 2001 and now manage over a $1B with their Altis Global Futures Portfolio. The figures referenced in the performance table are not provided by Altis Partners and no reliance should be taken as to their accuracy, and as a consequence the figures may not be in accordance with any CFTC / NFA performance reporting requirements.
Program tracked: Global Futures Portfolio.
3 – The four founders of Aspect (Eugene Lambert, Anthony Todd, Michael Adam and Martin Lueck) were significant members of one of the most successful funds in managed futures – AHL (Adam, Harding and Lueck).
Program tracked: Aspect Capital Diversified Program.
4 – Beach Horizon was created as a fully automated trend following subsidiary of Beach Capital Mgt, founded by David Beach. Two of the founders of Beach Horizon had early involvement in AHL.
Program Tracked: Managed Account.
5 – BlueTrend, from BlueCrest Capital, is one of the largest Trend Following funds – headed by Ms. Leda Braga.
Program tracked: BlueTrend Fund Limited (GBP).
6 – Campbell & Company is one of the oldest Trend Following firms, operating for around 4 decades.
Program tracked: Global Diversified Large.
7 – Chesapeake Capital was founded by Jerry Parker, a former Turtle.
Program tracked: Diversified Program.
8 – Clarke Capital was founded by Michael Clarke in 1993.
Program tracked: Millenium Program.
9 – Covenant Capital is a CTA from Nashville. Program tracked: Aggressive Program
10 – Drury Capital, Inc., was founded in Illinois in 1992 by Bernard Drury.
Program tracked: Diversified Trend-Following.
11 – Dunn Capital was founded by Bill Dunn.
Program tracked: World Monetary and Agriculture (WMA).
12 – Eckhardt Trading is the firm managed by William Eckhardt, who co-led the Turtle experiment with Richard Dennis.
Program tracked: Standard Program.
13 – EMC Capital was founded by Liz Cheval, a former Turtle.
Program tracked: EMC Classic Program.
14 – Estlander is a Finnish CTA, founded by Martin Estlander. Program tracked: Alpha Trend.
15 – Graham Capital was founded in 1994 by Ken Tropin, previously a Director of JWH.
Program tracked: K4-D10.
16 – Hawksbill Capital was founded by Tom Shanks, a former Turtle.
Program tracked: Global Diversified Program.
17 – Hyman Beck & Co. main principals are Alexander Hyman and Carl Beck.
Program tracked: Global Portfolio.
18 – ISAM’s main individuals are Larry Hite and Stanley Fink, both instrumental in the success of MAN AHL. Program tracked: ISAM Systematic Fund Class A
19 – Lynx Asset Management is a multi-billion CTA out of Sweden. Program tracked: Lynx Program
20 – Originally ED & F Man, a commodities broker business founded in 1783. Man became a succesful CTA starting in 1983, when partnering with Larry Hite’s Mint Investments. Subsequently Man gradually acquires AHL (1989-1994) to form Man AHL: the systematic trading division of the Man group.
Program tracked: Man AHL Diversified Plc
21 – Mark J. Walsh was not an official Turtle but trained and worked closely with Richard Dennis before starting his own fund management business.
Program tracked: Standard Program.
22 – Millburn Ridgefield have been trading Trend Following models since the early 1970’s.
Program tracked: Diversified Program.
23 – Mulvaney Capital Management was founded in 1999 by Paul Mulvaney and focuses on long-term trend following.
Program tracked: Mulvaney Global Markets
24 – Program tracked: Managed Futures Program
25 – Rabar Market Research is the company of Paul Rabar, a former Turtle.
Program tracked: Diversified Program.
26 – Saxon Investment was founded by Howard Seidler, a former Turtle.
Program tracked: Aggressive Diversified Program.
27 – Sunrise Capital is a CTA based in San Diego. Founded in 1980 by Gary Davis, it merged in 1995 with Commodity Commodity Monitors, Inc., founded by Rick Slaughter in 1977.
Program tracked: Sunrise Evolution
28 – Tactical Investment Management was founded by David Druz, student of Ed Seykota.
Program tracked: Institutional Commodity Program.
29 – Transtrend is a Trend follower CTA based in Netherlands.
Program tracked: DTP – Enhanced Risk (USD).
30 – Winton Capital is a London-based CTA founded by Dave Harding (also co-founder of AHL).
Program tracked: Diversified Program.
 
Este RSS ha sido visto veces
Pagina procesada en 6.53 segundos.
Social Links para este blog
meneame
delicious
technorati add
digg
facebook
co.mments
magnolia

 
 
Vota el blog
(1 voto-diar IP)
visitas recibidas visitas
votos recibidos votos
fecha de alta
Tematica

Añade a tu lector de Blogs

ADD BLOGLINES add bloglines
ADD GOOGLE add google
ADD YAHOO add yahoo
ADD GATOR newsgator
ADD NETVIVES add netvives
add newsblog
add free dict
add rojo
add myaol
add myMSN
add NB


  En blogsdebolsa.com tienes:
Directorio de Blogs de Bolsa y Finanzas
 
- Blogs de Bolsa
- Blogs de Forex
- Blogs de Finanzas Personales
- Blogs de Warrants
- Blogs de Otros
Top Sites de Blogs de Bolsa y Finanzas
   
 
twitter
 


directorio de blogs - blogs de bolsa pon tu icon y gana visitas en tu blog
blogs de bolsa pon tu icon y gana visitas en tu blog

Zona RSS
Seguir la feed RSS por mail:

   Subscribe in a reader

Seguir la feed RSS por mail:

- by FeedBurner

 

 

 

 

 

 

 

 

Directorio de Blogs y sites financieros Top Blogs Tool RSS feeds Recursos para bloggers
Directorio-Portada
Blogs de Bolsa
Blogs de CFD´s
Blogs de ETF´s
Blogs de Divisas Forex
Blogs Finanzas Personales
Foros de Bolsa
Blogs de Warrants
Blogs de Otros
 
inscribirse en el directorio de Blogs
 
Ir a top de Blogs
Inscribirse en el TOP de Blogs
 
Portada de Directorio de RSS
inscribirse en el directorio RSS
 
Blogs de Recursos para Webmasters
 
 
s5Blogs de Bolsa