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Trend FollowingAnalyticsPerformance Proof for theWorld’s Most Controversial& Successful Black SwanTrading StrategyMichael W. Covel
Vice President, Publisher: Tim MooreAssociate Publisher and Director of Marketing: Amy NeidlingerExecutive Editor: Jim BoydEditorial Assistant: Pamela BolandOperations Manager: Jodi KemperMarketing Manager: Megan GraueCover Designer: Chuti PrasertsithManaging Editor: Kristy HartProject Editor: Betsy HarrisCopy Editor: Paula LowellCompositor: Brad ChinnManufacturing Buyer: Dan Uhrig 2013 by Pearson Education, Inc.Publishing as FT PressUpper Saddle River, New Jersey 07458This book is sold with the understanding that neither the author nor the publisher is engaged in rendering legal, accounting, or other professional servicesor advice by publishing this book. Each individual situation is unique. Thus, iflegal or financial advice or other expert assistance is required in a specific situation, the services of a competent professional should be sought to ensure thatthe situation has been evaluated carefully and appropriately. The author and thepublisher disclaim any liability, loss, or risk resulting directly or indirectly, fromthe use or application of any of the contents of this book.FT Press offers excellent discounts on this book when ordered in quantity for bulkpurchases or special sales. For more information, please contact U.S. Corporateand Government Sales, 1-800-382-3419, corpsales@pearsontechgroup.com. Forsales outside the U.S., please contact International Sales at international@pearsoned.com.Company and product names mentioned herein are the trademarks or registered trademarks of their respective owners.All rights reserved. No part of this book may be reproduced, in any form or by any means,without permission in writing from the publisher.ISBN-10: 0-13-187564-7ISBN-13: onPearsonPearsonPearsonEducation LTD.Education Australia PTY, Limited.Education Singapore, Pte. Ltd.Education Asia, Ltd.Education Canada, Ltd.Educación de Mexico, S.A. de C.V.Education—JapanEducation Malaysia, Pte. Ltd.
AcknowledgementsSpecial thanks for their efforts and contributions: Michelle Sanks; Altegris Advisors;Barchart.com; dshort.com; DUNN Capital Management, LLC; IASG; and ISAMManagement.
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ContentsI. Professional Trend Following Performance Track Records by IASG3D Capital Management, LLC—Blend Program—ClientAbraham Investment Management—Diversified Trading Program (Proprietary)Abraham Investment Management—Global Diversified Trading (Proprietary)Abraham Trading Company—Diversified ProgramACE Investment Strategists—Energy Sector Hybrid Approach (ESHA)ACE Investment Strategists—Multi-Market Hybrid Approach (MMHA)Adalpha Asset Management, LLC—Adalpha Diversified Short-Term ProgramAdamah Capital, LLC—Diversified ProgramAdamah Capital, LLC—Global Macro ProgramAdamah Capital, LLC—Short-Term ProgramAIMhedge Management Ltd.—AIMhedge GDF Classic EUR (Institutional)AIMhedge Management Ltd.—AIMhedge GDF Opportunity EUR (Institutional)AIS Capital and AIS Futures MGT—MAAP (2x–4x) CompositeAIS Capital and AIS Futures MGT—MAAP (3x–6x) CompositeALFAKRAFT—ALFA Commodity FundALFAKRAFT—ALFA Energy FundAlgoMetrix Asset Management—Diversified Alpha1 Futures onlyAlis Capital Management—AAA FundAllMountain Capital AG—Mount Denali Global TrendsAlpina Investments—MOD2Altradis Capital AG—AlphAlgoAmati Global Investors Ltd—Systematic Trend FundAmplitude—Amplitude Klassik Fund A-ClassAmplitude—Amplitude Sinfonie Fund A-Classv
viT rend Followi ng A n a ly t icsAncile Capital Management—Global Markets ProgramAngle Capital Management, LLC—AIP ProgramAshley Capital—Global FinancialAuctos Capital Management—Global DiversifiedAuspice Capital Advisors Ltd—Auspice Broad Commodity Excess Return IndexAuspice Capital Advisors Ltd—Auspice Broad Commodity Total Return IndexAuspice Capital Advisors Ltd—Auspice Diversified ProgramAuspice Capital Advisors Ltd—Auspice Managed Futures Excess Return IndexAvaileth Capital—Small ProgramBalgac Capital Management—John Galt ProgramBayland Capital Management, LLC—The Bayland Trading Program (P)Bayside Pacific Advisors, LLC—Global Managed Futures AggressiveBayside Pacific Advisors, LLC—Global Managed Futures ProgramBeach Horizon LLP—Managed AccountBear Commodities Corporation—Bear Commodities Corporation Level 2 (Prop)Becker Asset Management, LLC—Program 1—ClientBecker Asset Management, LLC—Program 1—Proprietary ABecker Asset Management, LLC—Program 1—Proprietary BBlackheath Fund Management Inc.—Blackheath Futures Fund LP Class ABlackheath Fund Management Inc.—Blackheath Offshore Limited Class ABlackwater Capital Management—Global ProgramBlue Fin Capital Pty Ltd—Blue Fin Compact Omega ProgramBlue Fin Capital Pty Ltd—Blue Fin Omega ProgramBouchard Capital, LLC—Bouchard Short Term Multi Market (C)Bouchard Capital, LLC—Bouchard Short Term Multi Market (P)Brandywine Asset Management—Brandywine’s Symphony Program (Prop)Briarwood Capital Management, Inc.—Diversified 2XLBriarwood Capital Management, Inc.—Diversified Trading ProgramCamkay Capital Management, LLC—Stock Indices IntradayCandor Capital Advisors—CandorFX Series 1.1Capricorn Currency Management—Capricorn FXG10 EURCapricorn Currency Management—Capricorn FXG10 USDCapricorn Currency Management—Capricorn FXG10Capricorn Currency Management—Capricorn fxSTCapricorn Currency Management—Capricorn fxST (MAP)Capricorn Currency Management—Capricorn fxST (VOL )Cardwell Investment Technologies—Cardwell Investment TechnologiesGlobal FundChadwick Investment Group—Global Trend Following—Large AccountChesapeake Capital—DiversifiedCipher Investment Management—Cipher Diversified Trading ProgramCity Fund Management—DXF01 StrategyCity Fund Management—GST StrategyClarke Capital Management—FX Plus
C on te n tsviiClarke Capital Management—Global BasicClarke Capital Management—Global MagnumClarke Capital Management—JupiterClarke Capital Management—MillenniumClarke Capital Management—OrionClarke Capital Management—WorldwideClaughton Capital—Auto-Reactive PositioningClinamen Financial Group, LLC—VIX Portfolio Hedging (VXH)Program-ProprietaryCommodity Capital Inc.—Inflation Protector Trading Program (P)Concorde Finance S. A.—Concorde Diversified FuturesConquest Capital Group—Conquest MacroConquest Capital Group—Conquest Managed Futures SelectCorepoint Capital AG—EDGE—Tail Risk ProtectionCovenant Capital Management of Tennessee, LLC—Aggressive ProgramCovenant Capital Management of Tennessee, LLC—Long Commodity ProgramCovenant Capital Management of Tennessee, LLC—Original ProgramCrabel Capital Management—Crabel Multi-ProductCrabel Capital Management—Crabel Two Plus ProgramCypress Capital Management, LLC—Cypress Classic AG ProgramDiamond Capital Management—Enhanced S&P Program—ProprietaryDiamond Capital Management—Enhanced S&P ProgramDiamond Peak Capital, LLC—Northstar Aggressive (2x) ProgramDistrict Capital Management Inc—Diversified ProgramDix Hills Partners—Dynamic Term Structure StrategyDix Hills Partners—Alternative Treasury StrategyDixon Midland Company, LLC—Dixon Midland Managed Futures, LLCDQS—Absolute Return FundDreiss Research Corporation—Diversified ProgramDrury Capital—Diversified Trend-Following ProgramDUNN Capital Management—DUNN Combined Fund (DCF)DUNN Capital Management—World Monetary and Agriculture Program (WMA)Eckhardt Trading Company—Standard PlusEckhardt Trading Company—StandardEclipse Capital Management—Global MonetaryEndeavour Capital LLP—Endeavour PembrokeEquilibrium Asset Management ltd.—FTIA (Proprietary)Estlander & Partners—Alpha Trend II—Class PEstlander & Partners—Alpha TrendEstlander & Partners—FreedomEstlander & Partners—Global MarketsEstlander & Partners—Global XLEsulep LLC MAX—Esulep, LLC MAXeverTrend Global, LLC—everTrend Global, LLC
viiiT rend Followi ng A n a ly t icsFall River Capital—Global OpportunitiesFinancial Commodity Investments—FX Premium Program (Prop)FORT LP—Fort Global DiversifiedFour Capital GmbH—FX StrategyFour Capital GmbH—Global Macro StrategyFTC Capital GmbH—FTC Futures Fund ClassicFTC Capital GmbH—FTC Commodity Fund AlphaFTC Capital GmbH—FTC Futures Fund DynamicFTC Capital GmbH—FTC Systematic Macro EURFTC Capital GmbH—FTC Systematic Macro USDFuture Gate Capital Management—Future Gate Investment Fund, L.P.Gap Partners, LLC—GapGenesis Research & Asset Management—Genesis Multi Manager Futures FundGenuine Trading Solutions—Genuine USA IndexGlobal Advisors—Global Commodity DiscretionaryGlobal Edge Capital Management—Kondor EdgeGlobal Wealth Analytics, Inc.—ALPHA ProgramGreenwave Capital Management—GDS (Dollar Short) AlphaGreenwave Capital Management—GDS (Dollar Short) BetaGreenwave Capital Management—Greenwave Alpha PlusGreenwave Capital Management—Greenwave Flagship (Futures Only)Greenwave Capital Management—Greenwave FlagshipGT CAPITAL CTA—GT CAPITAL CTAGT CAPITAL CTA—GT Dynamic Day Trading ProgramHalion Capital Ltd.—Conservative StrategyHamer Trading—Diversified ProgramHawksbill Capital Management—Global DiversifiedHedgeForward, LLC—Directional Trading System (DTS)Heritage Ltd—High Frequency Options StrategyHeritage Ltd—Var5 FundHeyden & Steindl GmbH—TOMAC2IDS Capital—F&F Systematic Trading FundIncline Investment Management, LLC—The Tahoe StrategyInCube Capital—InCube Promoveo Fund CHFInCube Capital—InCube Promoveo Fund EURInsch Capital Management AG—Interbank Currency Program—3X LeverageInsignia Futures & Options, Inc.—MedallionIntegrated Managed Futures Corp—IMFC Global ConcentratedIntegrated Managed Futures Corp—IMFC Global Investment ProgramISAM—ISAM Systematic Fund Class A (USD)ISAM—ISAM Systematic GoldISATYS Advisory AG—SINGULARITY Managed Futures ProgramIssumboshi Assets Management—Issumboshi (Proprietary)iTTa Asset Management Ltd.—iTTa CTA
ixC on te n tsJames River Capital Corp.—James River Navigator Fund Ltd., Class 2XJames River Capital Corp.—James River Navigator Fund Ltd., Class AJames River Capital Corp.—James River Navigator Futures Fund LLC, Class 2XJames River Capital Corp.—James River Navigator Futures Fund LLC, Class AJKI-Futures, LLC—ETIRON AccessJKI-Futures, LLC—ETIRON Large 2xJLC Futures Management Company—JLC Managed Futures Fund I, LP.John Locke Investments—Cyril Systematic ProgramJohn Locke Investments—High Frequency ProgramJohn Locke Investments—JL Commodity Long Flat ProgramJohn W. Henry & Company—Global Analytics ProgramJPD Enterprises, Inc.—Global Diversified ProgramKeck Capital Management, LLC—The Keck ProgramKelly Angle Inc.—Genesis ProgramKeyQuant—Key TrendsKMJ Capital—KMJ Capital CurrencyLenapi Advisors, LLC—Lenapi Quantitative Long/Short Commodity 2XLexington Asset Management—Lexington Keystone Trading ProgramLiberty Funds Group, Inc—Liberty Diversified Option StrategyLiberty Funds Group, Inc—Liberty Global FundLiberty Funds Group, Inc—Liberty Wealth Protection FundLynx Asset Management AB—Lynx ProgramMacrotheme Capital Management, LLC—Commercial Hedge GrantorMalachi Capital Management—Malachi Red Deer ProgramMelissinos Trading—Eupatrid Commodity ProgramMERIT Alternative Investments GmbH—AWAMetolius Capital, LLC—Metolius DiversifiedMillburn Corporation—Commodity ProgramMillburn Corporation—Multi-Markets ProgramMKC Global Investments, LLC—MKC Global Fund, LPM.S. Capital Management—Global Diversified ProgramM.S. Capital Management—Proprietary ProgramMulvaney Capital Management—Global Diversified ProgramNeural Capital—Sentinel Trading ProgramNoho Capital Management Ltd—Managed Futures on Asian Equity IndicesOpes Capital Group, LLC—Opes Capital Group Trading ProgramOsmanov, Roman—UniversalPacific Capital Advisors—Vanguard ProgramPardo Capital Limited—XT-99 ProgramParizek Capital—Currency ProgramParizek Capital—Futures Trading ProgramPaskewitz Asset Management, LLC—Multi-strategy Futures ProgramPersistent Capital Management—Global Diversified 2X Program
xT rend Followi ng A n a ly t icsPoseidon Advisors Ltd.—Sea Express Futures FundPurple Valley Capital, Inc.—Diversified Trend 1Qbasis Fund Management—Qbasis Futures Fund BQbasis Fund Management—Qbasis Futures Fund AQbasis Fund Management—Qbasis MF Trend Plus (Proprietary)QTR Invest—QTR FundQuality Capital Management—DB Platinum IV QCM GDP UCITS Index FundQuality Capital Management—Enhanced Commodity Beta ProgrammeQuality Capital Management—Global Diversified ProgrammeQuality Capital Management—Global Natural Resources ProgrammeQuantam—Quantam GSA Multistrategy x1Quantica Capital AG—Quantica Diversified FXQuantica Capital AG—Quantica Managed FuturesQuantum Leap Capital Management—Managed Account ProgramQuest Partners, LLC—AlphaQuest Long Term ProgramQuicksilver Trading—Diversified ProgramRabar Market Research—Diversified ProgramRabar Market Research—Short-Term ProgramRafaello Investments Limited—SAFI2 ProgramRAM Management Group—MRTP AggressiveRAM Management Group—RAM MRTP 1X—ConservativeRed Rock Capital Management—Diversified ProgramReech AiM Partners LLP—Rochester MAPRehn Capital Management, LLC—ULTRENDRhicon Currency Management—Rhicon Systematic Currency ProgramRho Asset Management—Rho Altius 1XL Program (EUR)Rho Asset Management—Rho Citius 1XL Program (EUR)Rho Asset Management—Rho Fortius 1:2 Program (EUR)Robinson-Langley Capital Management, LLC—Managed Account ProgramRymer Wealth Management, LLC—Diversified Futures (Prop)Saxon Investment Corporation—Aggressive Diversified ProgramSaxon Investment Corporation—Diversified ProgramSchindler Trading—International Equity PlusSCT Capital Management—The Adaptive Quant Trading (AQT) ProgramSeneca Invest AG—Procyon Galaxy Trading (P)Seneca Invest AG—Vienna Global—Klimt Fund (P)Silicon Valley Quantitative Advisors—US Quantitative Portfolio (UQP)SMN Investment Services—smn Diversified Futures FundSnowbridge Asset Management, LLC—Projective Trend ProgramSomers Brothers Capital—Diversified Futures Program #1Sona Trading Strategies, LLC—Investment ProgramSouthwest Managed Investments, LLC—Global Divers
Chadwick Investment Group—Global Trend Following—Large Account Chesapeake Capital—Diversified Cipher Investment Management—Cipher Diversified Trading Program City Fund Management—DXF01 Strategy City Fund Management—GST Strategy Clarke Capital Management—FX Plus. Clarke Capital Management—Global Basic Clarke Capital Management—Global Magnum Clarke Capital
