Just wondering where Millburn Ridgefield fall in respect to the major trend followers in the industry? Are they a large and respected name? They have an extremely long track record but don't seem to boast the AUM of AHL, Winton etc. It looks like their track record is as good as anyone's but the AUM isn't up with the big guys.
Are they considered one of the elites or just below?
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Millburn is one of the oldest firms in the space and the diversified program has one of the best long term track records as well. Not elite, in fact few CTAs can claim to be 'elite', but no doubt a top trend follower. Redemptions kicked in starting 2009 due to mediocre performance on count of choppy markets, but they seem to be back on track again. AHL and Winton are better at marketing with the 'scientific' bent that they persistently espouse, coupled with the fact that trend following funds are quite popular in Europe.
Thanks - I just stumbled across their performance and an annualized return of 16% since 1977 is pretty handy as well as a -0.02% correlation to the S&P during the period. Not a firm that you ever hear too much of in the space but that track record would be right up there with AHL or Winton's I'd assume?
Definitely better than AHL and a bit more volatile than Winton. They're actually very well known in the CTA world.
Macro - Just wondering, are there any top trend followers or CTAs in the US aside from Millburn? It seems that all the top ones are in Europe; Winton, AHL, Bluetrend, Transtrend, Aspect.
Just wanted to add that I forgot Graham on here but aside from them and Millburn I can't think of too many others. Crabel but they also seem to be in a different space.
Also, if Europe is indeed the center of this style of investing why is this? Obviously this was pioneered in the US as well with Commodities Corp. It's always struck me that in Europe there seems to be a bit more of a sort of stuffy intellectual sort of vibe to it with a lot of Phd's etc who obviously gravitate to this area. The US it seems has had a bit more of a culture of the star macro trader or the star stock picker so maybe CTAs have not been en vogue and have sort of been background noise. Maybe I'm just imagining this.
Other big US trend followers would be Sunrise Chesapeake Abraham Eckhardt Dunn Campbell
Some people put Paul jones and ray Dalio in the "semi-trend follower" category.
You're definitely right that the mega AUM for trend following is Europe. BlueTrend, Transtrend, too.
There are several large CTAs that I would not categorize as trend followers...crabel (not sure but I doubt really trend following) and a big relatively new firm called Quantitative Investment Management ( definitely not trend following).
Thanks - QIM and Crabel are both definitely short term systematic traders. It's interesting though as all those mentioned above would be pretty much sub $1bn AUM.
QIM and Crabel are about $3b and $2b I think.
Aside from the ones mentioned, I would add Tudor's Tensor, Caxton's HAWK, Drury, BEAM, Rabar, Welton, Two Sigma (they have a TF fund), AQR (launched a TF fund post 08) and FX Concepts (they have a TF program as well).
As I had mentioned in a prior post, systematic trading strategies haven't been well as of late, and short term CTAs are among the worst performers. Another short term fund that (was) worth looking at: Conquest Capital.
Tudor and Bridgewater are not Trend Followers, although Tudor does have such a fund, as indicated above.
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