Aussie Turtles Cocktails
Aussie Turtles Cocktails An evening with, Jerry Parker, Moritz Seibert & Adam Havryliv with special guest Michael Covel At our Inaugural Aussie Turtles Event we will introduce you to: The most successful Turtle, Jerry Parker from Chesapeake Capital The 2 Quants, Moritz Seibert and Moritz Heiden from Takahe Capital Australian trend following manager, Adam Havryliv from East Coast Capital Management *** UPDATE: We are pleased to also have special guest, Michael Covel, join us for this event via live video link. Michael is a world renowned author best known for popularising the trend following trading strategy in his best selling books, Trend Following and Turtle Trader. *** Time: 6:00pm to 8.30pm Date: Thursday 16 November 2023 Location: Bibo Wine Bar, 7 Bay Street, Double Bay, Sydney Dress: Business Casual A 45-minute panel discussion will be held with Jerry Parker from Chesapeake Capital, Moritz Seibert from Takahe Capital and Adam Havryliv from East Coast Capital Management moderated by Richard Brennan from Aussie Turtles. The panel will discuss the systematic trend following investment style, and Jerry will describe the fascinating Turtle Experiment. The panel will then be available to chat with attendees for the remainder of the event. About Jerry Parker & Chesapeake Capital Corporation Jerry Parker is the founder and Chairman of Chesapeake Capital Corporation, a global investment firm that has been managing client capital for over 30 years. Chesapeake provides investors uncorrelated returns through consistency in approach across a broad range of global markets and variable market conditions. Jerry is a highly respected investor in the industry and is known for his unique trading style, which he developed after years of studying the markets. He is also a strong advocate for risk management and believes that it is essential for any successful investor. Under Jerry’s leadership, Chesapeake Capital has grown to become one of the most successful investment firms in the world. The firm has a long track record of success and has generated significant returns for its investors over the years. Jerry is also a philanthropist and is actively involved in supporting a number of charitable causes. He is a member of the board of directors of the Chesapeake Bay Foundation and the Johns Hopkins University School of Medicine. In addition to his work at Chesapeake Capital, Parker is also a frequent speaker and writer on investing topics. Jerry has been featured in numerous publications, including The Wall Street Journal, The New York Times, and Forbes. Chesapeake Capital Corporation’s trading methodology is long term trend following utilizing robust trading systems across a broadly diversified set of markets; put simply: Classic Trend Following. It is a systematic (i.e. rules-based) investment approach that focuses on capital preservation while attempting to provide positive annual returns. Utilizing diversification and robust systems, our goal is to maximize the profit in each trade by following the system entries and exits regardless of market conditions or temptations. More information on Chesapeake Capital Corporation: https://chesapeakecapital.com/ About The 2 Quants from Takahē Capital Moritz Seibert is the CEO/CIO of Takahē Capital. Moritz started investing in 1998 and began his professional career as a derivatives trader at HSBC in Germany. Later, he worked for RBS in the UK as well as in the USA, where he was responsible for the bank’s equity derivatives structuring business. Subsequent to RBS, Moritz co-founded Aquantum, a Munich-based systematic CTA focused on short-term trend following and commodity spread trading strategies. Between 2017 and 2022, Moritz was the CEO/CIO of Munich Re Investment Partners, a quantitative asset management company serving institutional clients globally. More recently, he was the CIO at Exponential Age Asset Management, a large digital asset fund of hedge funds. Moritz lives south of Munich, close to the mountains, with his wife and two kids. Next to trading he likes reading a good book and enjoys playing tennis. Moritz Heiden is Head of Quantitative Research at Takahē Capital. Moritz had his first glimpse at the investment world at the start of the GFC and quickly decided to return to university to pursue a PhD in statistics. Subsequent to grinding through the academic machine and publishing several papers on machine learning and volatility modelling, he completed his thesis on “asymmetry and nonlinearity in forecasting multivariate stock market volatility.” He started his non-academic career at a large German Asset Manager and moved on to Scalable Capital, Europe’s largest digital wealth manager to spend more time coding and implementing asset allocation strategies and trading algorithms for ETF-based retail portfolios. After Scalable, Moritz served as the Head of Quant Research at Munich Re Investment Partners and where he worked alongside the other Moritz on all research and trading related tasks. Moritz lives in Augsburg, close to one of the oldest private German breweries, with his wife. Takahē Capital offers 3 Programs which includes the Systematic Trend Program, the Spread Momentum Program and a consolidation of these programs into a single portfolio called the Global Quantitative Fund Program. The philosophy of ‘Classic Trend Following’ lies at the heart of all of these Programs. More information about Takahē Capital: https://takahe.capital/ About Adam and Richard from East Coast Capital Management (ECCM) Adam Havryliv is the founder and CIO of East Coast Capital Management (ECCM) where he is responsible for management and investment. Adam personally developed ECCM’s quantitative trading strategies. Prior to founding ECCM, Adam worked with Citi from 2007 to 2008 in the Investment Banking division where he was responsible for corporate derivatives and structured solutions. From 2005 to 2007, Adam was a Trader at Shell Cove Capital Management, executing global macro trading strategies. From 2004 to 2005, Adam worked at Goldman Sachs JBWere in the Equities Trading division.Adam holds a Bachelor of Commerce (Finance) degree from the University of New South Wales (UNSW), a Master of Business Administration (MBA) from the Macquarie Graduate School of Management (MGSM), and a Graduate Diploma of Psychology from the University of Sydney.In his spare time Adam can be found engaged with his passion for sailing on Sydney Harbour. Richard undertakes quantitative analysis for ECCM and works alongside Adam to market the ECCM systematic rules-based investment
Battle of the Trend Following Indexes: December 2024
Battle of the Trend Following Indexes: December 2024 In the Battle of the Trend Following Indexes, we present a monthly update on some of the most respected trend-following benchmarks. In the Battle of the Trend Following Indexes, we present a monthly update on some of the most respected trend-following benchmarks. This report includes a VAMI (Value Added Monthly Index) performance chart and a comprehensive statistical table, allowing readers to stay informed on the performance of popular trend-following indexes and identify standout performers. December 2024 Result December delivered mixed results across trend-following indexes, reflecting diverse market environments. The Classic Trend Index continued to shine, closing the year as the standout performer for 2024. Its traditional trend-following principles, focused on robust risk management and outlier capture, propelled it to outperform its peers significantly. Performance Highlights Classic Trend Index: With a 0.8% return for December and a stellar YTD performance of 18.8%, the Classic Trend Index remains the benchmark for consistent and superior risk-adjusted returns. Its MAR ratio of 1.98 and Sharpe ratio of 0.70 further highlight its efficient use of risk. SG Trend Index: December’s 1.5% gain contributed to a 2.6% YTD return, reflecting stability but lagging behind the top performers. A CAGR of 7.7% since January 2020 remains respectable for this broad-based index. Barclay BTOP50 Index: Delivered a 1.2% gain in December, bringing its YTD return to 4.4%. While solid, it underperformed compared to the Classic Trend Index. TTU Trend Following Index: Recorded a 0.9% gain in December, resulting in a YTD return of 4.4%. Its lower MAR ratio of 0.51 suggests higher relative drawdowns. IASG TF Index: With a 1.7% gain in December and a YTD return of 6.5%, this index showed resilience, supported by notable contributions from diversified asset classes. Eurekahedge TF Index: Posted a 1.7% gain in December, contributing to an impressive YTD return of 16.4%. Its Sharpe ratio of 0.68 and Sortino ratio of 1.52 reflect its focus on risk-adjusted performance. Systematic Momentum CTA Index: Achieved a 0.4% return in December, bringing its YTD return to 2.5%. While lagging behind, it provides a purist view of momentum-focused strategies. Performance Snapshot The VAMI chart showcases the Classic Trend Index’s sustained outperformance, reaching new highs despite the challenging environments faced by its peers. Its cumulative return since January 2020 remains unmatched, underscoring the strength of its systematic and diversified approach to trend following. Statistical Table The Classic Trend Index stands out as the top performer, boasting a 17.3% CAGR and minimal drawdowns, cementing its reputation for superior risk-adjusted returns. Its consistent success is rooted in its adherence to traditional trend-following principles, which emphasize systematic strategies without reliance on volatility adjustments or dynamic position sizing. By maintaining a steadfast focus on capturing market outliers, the Classic Trend Index has demonstrated resilience and efficiency, outperforming peers and setting the standard for effective trend-following methodologies. December concluded a strong year for the Classic Trend Index, solidifying its place as the benchmark for excellence in trend-following strategies. Its ability to consistently capture market outliers while minimizing risk highlights the enduring value of traditional systematic approaches. As we enter 2025, the Classic Trend Index sets a high standard for the trend-following landscape, proving that discipline and adherence to proven methodologies remain key drivers of success in an ever-changing market environment. About the Indexes SG Trend IndexCreated by Société Générale, the SG Trend Index represents the largest trend-following CTA programs, focusing on systematic strategies with significant AUM. It captures broad market movements across various assets. More on SG Trend Index Barclay BTOP50 IndexManaged by BarclayHedge, this index follows the largest investable CTAs, emphasizing diversification across major futures markets. It’s a widely referenced benchmark for managed futures. More on BTOP50 Index TTU Trend Following IndexDeveloped by Top Traders Unplugged, the TTU TF Index includes programs with a 15-year track record, emphasizing resilience through experience and diversification across a large ensemble of programs. More on TTU TF Index SG CTA IndexAnother index by Société Générale, the SG CTA Index covers a broader array of CTA strategies, providing insight into the managed futures landscape beyond trend following alone. More on SG CTA Index IASG Trend Following IndexThis index, managed by IASG, tracks CTAs that primarily use trend-following strategies, offering a focused benchmark within the managed futures space. More on IASG TF Index Eurekahedge Trend Following IndexCurated by Eurekahedge, this index includes hedge funds specializing in trend-following across multiple asset classes, highlighting alternative approaches within trend following. More on Eurekahedge Trend Following Index Classic Trend IndexThe Classic Trend Index, curated by the Aussie Turtles, is a benchmark for traditional trend-following strategies, focusing on consistent, systematic approaches across diversified asset classes. More on Classic Trend Index Systematic Momentum CTA IndexManaged by NilssonHedge, this index tracks CTAs focused on momentum-based strategies, providing a purist view of momentum trading within managed futures. More on Systematic Momentum CTA Index Stay tuned for next month’s Battle of the Trend Following Indexes to see which benchmarks emerge as the top performers in the trend-following landscape.
Battle of the Trend Following Indexes: November 2024
Battle of the Trend Following Indexes: November 2024 In the Battle of the Trend Following Indexes, we present a monthly update on some of the most respected trend-following benchmarks. In the Battle of the Trend Following Indexes, we present a monthly update on some of the most respected trend-following benchmarks. This report includes a VAMI (Value Added Monthly Index) performance chart and a comprehensive statistical table, allowing readers to stay informed on the performance of popular trend-following indexes and identify standout performers. November 2024 Result November saw a dramatic turnaround for trend-following strategies, rebounding strongly after October’s challenging environment. This resurgence was fuelled by pronounced trends in soft commodities, US Equities and Bitcoin, the latter gaining momentum after Trump’s public announcement of support. These favourable conditions provided a fertile backdrop for strong gains across all the indexes reviewed. The Classic Trend Index led the pack, delivering a standout 4.0% return, further cementing its position as the benchmark for consistent, risk-adjusted performance rooted in traditional trend-following principles. Performance Highlights Classic Trend Index: Once again emerged as the top performer, posting a 4.0% gain for November. Its superior MAR ratio of 2.05 highlights the efficiency of its risk-adjusted returns, significantly outpacing peers. This consistency reflects the enduring strength of its diversified systematic approach. SG Trend Index: Achieved a robust 3.3% return, benefiting from broad market participation, though its MAR ratio of 1.52 underscored slightly higher drawdowns relative to the Classic Trend Index. Barclay BTOP50 Index: Delivered a steady 2.4% return, demonstrating resilience but underperforming the leading benchmarks. IASG TF Index: Gained 3.4%, with notable contributions from soft commodities and equities, supported by a MAR ratio of 1.65. Eurekahedge TF Index: Added 3.2%, reflecting strength in alternative strategies, though variability remains higher compared to other benchmarks. Performance Snapshot The VAMI chart showcases the Classic Trend Index’s sustained outperformance, with cumulative returns rebased to January 2020. In November, the index reached a new high watermark, reflecting its ability to capture trends effectively while maintaining robust risk management. Unlike its peers, the Classic Trend Index adheres to traditional trend-following principles, avoiding volatility adjustments or dynamic position sizing methods that could dilute the impact of market outliers. The MAR ratio in the accompanying Statistical Table underscores its efficiency as a benchmark for risk-adjusted returns, delivering exceptional cumulative performance with minimal drawdowns since January 2020. While the market regime post-2020 has been particularly favourable for the Classic methodology—owing to its strict mitigation of adverse risk while capitalizing on beneficial volatility—the approach’s significant lifting power relative to its peers gives us confidence in its potential to deliver strong performance over the long term. Statistical Table Our comprehensive statistical table evaluates each index using key metrics, including monthly returns, Sharpe ratios, maximum drawdowns, and more. This data allows readers to track the performance and risk management effectiveness of each index. November’s results highlight the resilience and adaptability of traditional trend-following approaches. The Classic Trend Index, with its emphasis on systematic, diversified strategies that exploit market Outliers, continues to demonstrate why it is the preferred benchmark for trend-following excellence. As we approach year-end, it remains well-positioned to deliver a solid annual performance, outshining its peers across key metrics. About the Indexes SG Trend IndexCreated by Société Générale, the SG Trend Index represents the largest trend-following CTA programs, focusing on systematic strategies with significant AUM. It captures broad market movements across various assets. More on SG Trend Index Barclay BTOP50 IndexManaged by BarclayHedge, this index follows the largest investable CTAs, emphasizing diversification across major futures markets. It’s a widely referenced benchmark for managed futures. More on BTOP50 Index TTU Trend Following IndexDeveloped by Top Traders Unplugged, the TTU TF Index includes programs with a 15-year track record, emphasizing resilience through experience and diversification across a large ensemble of programs. More on TTU TF Index SG CTA IndexAnother index by Société Générale, the SG CTA Index covers a broader array of CTA strategies, providing insight into the managed futures landscape beyond trend following alone. More on SG CTA Index IASG Trend Following IndexThis index, managed by IASG, tracks CTAs that primarily use trend-following strategies, offering a focused benchmark within the managed futures space. More on IASG TF Index Eurekahedge Trend Following IndexCurated by Eurekahedge, this index includes hedge funds specializing in trend-following across multiple asset classes, highlighting alternative approaches within trend following. More on Eurekahedge Trend Following Index Classic Trend IndexThe Classic Trend Index, curated by the Aussie Turtles, is a benchmark for traditional trend-following strategies, focusing on consistent, systematic approaches across diversified asset classes. More on Classic Trend Index Systematic Momentum CTA IndexManaged by NilssonHedge, this index tracks CTAs focused on momentum-based strategies, providing a purist view of momentum trading within managed futures. More on Systematic Momentum CTA Index Stay tuned for next month’s Battle of the Trend Following Indexes to see which benchmarks emerge as the top performers in the trend-following landscape.
Battle of the Trend Following Indexes: October 2024
Battle of the Trend Following Indexes: October 2024 In the Battle of the Trend Following Indexes, we present a monthly update on some of the most respected trend-following benchmarks. In the Battle of the Trend Following Indexes, we present a monthly update on some of the most respected trend-following benchmarks. This report includes a VAMI (Value Added Monthly Index) performance chart and a comprehensive statistical table, allowing readers to stay informed on the performance of popular trend-following indexes and identify standout performers. October 2024 Result October was a challenging month for trend-following strategies across the board, with most benchmarks facing headwinds in navigating volatile market conditions. Despite the turbulence, the Classic Trend Index demonstrated its resilience, retaining its leading position across key performance metrics. This consistency highlights the strength of its systematic approach, which remains rooted in traditional trend-following principles. Compared to its peers, the Classic Trend Index outperformed in several critical areas. While other benchmarks, such as the SG Trend Index and Barclay BTOP50 Index, also delivered robust long-term returns, they struggled more visibly in October. The SG Trend Index, representative of large-scale CTAs, experienced notable drawdowns, reflecting the broader challenges in capturing trends across diverse asset classes. Similarly, the Barclay BTOP50 Index, often regarded as a standard for managed futures, showed moderate resilience but fell short of the Classic Trend Index’s risk-adjusted performance. Among the niche indexes, the Eurekahedge Trend Following Index and IASG Trend Following Index exhibited higher variability. These benchmarks, which include funds employing alternative or specialized strategies, faced greater challenges in maintaining consistency. By contrast, the Classic Trend Index’s focus on systematic, diversified strategies allowed it to better weather the month’s market turbulence. The Systematic Momentum CTA Index, with its emphasis on pure momentum strategies, experienced heightened volatility, underscoring the challenges of a single-factor approach in turbulent markets. The TTU Trend Following Index, known for its emphasis on programs with a long-term track record, demonstrated resilience but did not outperform the Classic Trend Index on cumulative returns or Sharpe ratios. The Classic Trend Index’s ability to balance performance with risk management was a standout feature in October. With a smaller drawdown compared to most other benchmarks, it solidified its reputation as a benchmark for traditional trend-following excellence. This performance underscores the efficacy of its methodical approach in capitalizing on trends while effectively managing risk during challenging periods. Performance Snapshot The VAMI performance chart below displays cumulative returns since January 2020, providing a visual comparison of how each index has navigated varying market conditions over the past few years. Statistical Table Our comprehensive statistical table evaluates each index using key metrics, including monthly returns, Sharpe ratios, maximum drawdowns, and more. This data allows readers to track the performance and risk management effectiveness of each index. About the Indexes SG Trend IndexCreated by Société Générale, the SG Trend Index represents the largest trend-following CTA programs, focusing on systematic strategies with significant AUM. It captures broad market movements across various assets. More on SG Trend Index Barclay BTOP50 IndexManaged by BarclayHedge, this index follows the largest investable CTAs, emphasizing diversification across major futures markets. It’s a widely referenced benchmark for managed futures. More on BTOP50 Index TTU Trend Following IndexDeveloped by Top Traders Unplugged, the TTU TF Index includes programs with a 15-year track record, emphasizing resilience through experience and diversification across a large ensemble of programs. More on TTU TF Index SG CTA IndexAnother index by Société Générale, the SG CTA Index covers a broader array of CTA strategies, providing insight into the managed futures landscape beyond trend following alone. More on SG CTA Index IASG Trend Following IndexThis index, managed by IASG, tracks CTAs that primarily use trend-following strategies, offering a focused benchmark within the managed futures space. More on IASG TF Index Eurekahedge Trend Following IndexCurated by Eurekahedge, this index includes hedge funds specializing in trend-following across multiple asset classes, highlighting alternative approaches within trend following. More on Eurekahedge Trend Following Index Classic Trend IndexThe Classic Trend Index, curated by the Aussie Turtles, is a benchmark for traditional trend-following strategies, focusing on consistent, systematic approaches across diversified asset classes. More on Classic Trend Index Systematic Momentum CTA IndexManaged by NilssonHedge, this index tracks CTAs focused on momentum-based strategies, providing a purist view of momentum trading within managed futures. More on Systematic Momentum CTA Index Stay tuned for next month’s Battle of the Trend Following Indexes to see which benchmarks emerge as the top performers in the trend-following landscape.
Battle of the Trend Following Indexes: September 2024
Battle of the Trend Following Indexes: September 2024 In the Battle of the Trend Following Indexes, we present a monthly update on some of the most respected trend-following benchmarks. In the Battle of the Trend Following Indexes, we present a monthly update on some of the most respected trend-following benchmarks. This report includes a VAMI (Value Added Monthly Index) performance chart and a comprehensive statistical table, allowing readers to stay informed on the performance of popular trend-following indexes and identify standout performers. Performance Snapshot The VAMI performance chart below displays cumulative returns since January 2020, providing a visual comparison of how each index has navigated varying market conditions over the past few years. Statistical Table Our comprehensive statistical table evaluates each index using key metrics, including monthly returns, Sharpe ratios, maximum drawdowns, and more. This data allows readers to track the performance and risk management effectiveness of each index. About the Indexes SG Trend IndexCreated by Société Générale, the SG Trend Index represents the largest trend-following CTA programs, focusing on systematic strategies with significant AUM. It captures broad market movements across various assets. More on SG Trend Index Barclay BTOP50 IndexManaged by BarclayHedge, this index follows the largest investable CTAs, emphasizing diversification across major futures markets. It’s a widely referenced benchmark for managed futures. More on BTOP50 Index TTU Trend Following IndexDeveloped by Top Traders Unplugged, the TTU TF Index includes programs with a 15-year track record, emphasizing resilience through experience and diversification across a large ensemble of programs. More on TTU TF Index SG CTA IndexAnother index by Société Générale, the SG CTA Index covers a broader array of CTA strategies, providing insight into the managed futures landscape beyond trend following alone. More on SG CTA Index IASG Trend Following IndexThis index, managed by IASG, tracks CTAs that primarily use trend-following strategies, offering a focused benchmark within the managed futures space. More on IASG TF Index Eurekahedge Trend Following IndexCurated by Eurekahedge, this index includes hedge funds specializing in trend-following across multiple asset classes, highlighting alternative approaches within trend following. More on Eurekahedge Trend Following Index Classic Trend IndexThe Classic Trend Index, curated by the Aussie Turtles, is a benchmark for traditional trend-following strategies, focusing on consistent, systematic approaches across diversified asset classes. More on Classic Trend Index Systematic Momentum CTA IndexManaged by NilssonHedge, this index tracks CTAs focused on momentum-based strategies, providing a purist view of momentum trading within managed futures. More on Systematic Momentum CTA Index Stay tuned for next month’s Battle of the Trend Following Indexes to see which benchmarks emerge as the top performers in the trend-following landscape.
