Dutch fund among hardest hit by commodities rout

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Chelonia
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Dutch fund among hardest hit by commodities rout

Post by Chelonia » Thu May 12, 2011 4:25 am

By David Sheppard

LONDON | Tue May 10, 2011 5:35am EDT

LONDON (Reuters) - Dutch Transtrend, a trend-following hedge fund owned by Rabobank NV, was one of the biggest losers in last week's commodities slide, losing more than $500 million (305 million pounds), an investor in the fund told Reuters on Monday.

One individual at the firm who would not give his name did confirm by telephone that "the fund had a very bad week" but declined further comment. The head of the fund, Andre Honig, did not immediately respond to requests for comment.

The fund's $6 billion flagship portfolio suffered a loss of around 9 to 9.5 percent, according to the investor, who had seen a performance report. Employees of Transtrend contacted by Reuters questioned that figure, but declined to be specific and did not dispute that the fund had been caught out by the sudden drop.

The large but little-known hedge-fund, which invests primarily in commodity futures and tries to latch onto long-running trends in the market, is owned by Robeco, the asset management arm of Rabobank.

Oil prices dropped by almost 13 percent last week in one of the largest and most puzzling sell-offs on record. Commodity markets as a whole, including metals and grains, were down almost 9 percent, the biggest weekly drop since 2008.

Transtrend has averaged returns of around 14 percent per year over the last decade. Traders say big trend-following funds can be caught out by sudden price moves, but believe they do better in the long-run by focusing on underlying trends.

A record slide in oil prices on Thursday was the catalyst for major losses at many directional funds, with some losing as much as 10-20 percent in one week, according to several fund managers who invest in other hedge funds.

A host of other major commodity investors were similarly caught out by the drop, although those who held onto their positions got some reprieve on Monday as Brent crude jumped by more than $7, its second-biggest gain ever.

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Post by svquant » Fri May 13, 2011 1:40 pm

From what I have heard from "reliable sources" the MTD performance of the enhanced risk program is -5.8% with a YTD performance of -4.2% as of today.

This is about average for large program trend followers.

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Post by Chris67 » Sat May 14, 2011 6:12 am

surprised thats all they lost - good for them
the media love a good story - they just dont get it do they but once again the media feed out stories that confus investors

If Transtrend had been operating under Richard Dennis they would have probably been fired this week for not losing enough money i.e. they cannot be aggressively trend following if they only lose 9% in a 10 day period

Tulip trend fund now has a 17 year track record of 30.5 CAGR and a MAR of about 2 - they are trul exceptional

The media - like most of these "investor" types are pretty cluless

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Post by svquant » Mon May 16, 2011 12:53 am

Chris,

The Tulip Trend Fund I have seen only has a record back to 2003 so not 17 years. There are simulated returns back to 1993 but not actual trading results. Yes it is built off of a fund that has a real 17 year record - but Tulip itself does not have that long of a record of leveraging, timing, and managing investments in the underlying Transtrend fund.

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Post by absret111 » Mon May 16, 2011 2:11 am

What source for performance data and ratios like MAR do you have for this fund? At IASG they are not listed unfortunately.

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Post by Chris67 » Tue May 17, 2011 3:33 am

TRY www.autumngold.com or do as i have done which is register with them - i get their weekly returns sent directly to me
the funds that seem to have done really well over the last few years are the ones that trade the big portfolios as has been discussed on this forum many times
blutrend run by leda braga (im convinced she sounds like she is straight out of a bond movie !!) and transtrend tulip

I keep all data on a monthly basis for over 100 tf's to inception - let me know if you need anything in particular
c

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Post by Chris67 » Tue May 17, 2011 3:46 am

Shock Horror - when you look at Tulip since its actual inception the returns are just dreadfull !!!!!!!!!
CAGR = 20.95

$100 INVESTED WIth them on day 1 is now worth $487.93 - so only approx 5 times your initial money in 8 years !!! compared to the sp500 or average mutual fund - probably losing 10% of initial capital

Max d/d = 34.43 giving an MAR of 0.61

Most "a-typical" investors would look at these numbers and , IMHO , say well a 34.43 % d/d is just too big isnt it !!!!
sp500 max d/d over same period = 50.95% with no returns

Here in lies the absolute problem of trying to sell TF's - in the words of Gekko - investors are like sheep and sheep get slaughtered
the average man in the street - trust me - feels a lot more comfortable losing 10% over 8 years with the crowd - than investing in TF where for example he could have made 3/4/5/6/7 times his initial investment

something is very wrong (right for us of course) with the average investor mentality

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Post by svquant » Tue May 17, 2011 12:23 pm

Chris,

Yes the Tulip fund looks very good on their live record and in fact perhaps they are much smarter in how they approach the business. While you beat your head trying to convince people your TF fund is a good addition to people like BlueTrend, Winton, Transtrend etc the Tulip people just said - heck I'll just leverage one of the trusted big players, add some fancy talk of timing the leverage ratio, and sell it in smaller increments to people.

If you look at the numbers just leveraging the underlying fund by 2.2x and adding a 1% extra fee pretty much gives you Tulip. Now if you 2.2x leverage an equal mix of Transtrend, Winton, BlueTrend you get even better results...

Perhaps collecting a FoF fee and living off the big TF houses is better than keeping all of a 2/20 fee and justifying why you are different and deserving an allocation? Not to say raising $ as a FoF is easy either!

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Post by Chris67 » Tue May 17, 2011 12:40 pm

dont think the FOF business is a good one - many are working them out - i.e. they do sod all for extra fees
I think if you are a smaller TF there are huge advantages over the Wintons and Bluetrends of this World - when I say small I mean anything under 250 AUM - Not only in terms of markets you can trade but also in tems of risk in the business structure - i.e. if you have 5 employees its a much smaller risk than 100 employees - this is just one example 1/20th of teh Nick Leeson factor !!!
I still maintain a basket of TF's is not as volatile or correlated investment as many believe - if you pick teh right 10-15 you can get quite uncorrelated returns - quite surprising really

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Post by AFJ Garner » Tue May 17, 2011 12:47 pm

svquant wrote:Chris,
Not to say raising $ as a FoF is easy either!
No, its just the same grind although logically an easier sell. My colleague and I advise/manage just such a FoF as you describe. It would be nice to be able to distribute it through a UCITS or other retail structure but one is faced with much the same sort of regulatory hurdle as with a stand alone futures fund.
Chris67 wrote:if you pick teh right 10-15 you can get quite uncorrelated returns - quite surprising really
Correlation on our portfolio is 0.5

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Post by Chris67 » Wed May 18, 2011 3:54 am

Anthony - we should chat at some point - I am working with a few people at present to discuss the retail distribution side of this - the first person who comes along with a basket of TF's that Mum and Dads can stick 5k into or 1k per month - is going to make a fortune - theres prob hundreds of billions out there in this mkt - as you so correctly say - the regulation surrounding all of this is a nitemare
C

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Post by AFJ Garner » Wed May 18, 2011 5:16 am

Chris67 wrote:Anthony - we should chat at some point
C
Give me a call when you are in London. I sent you my telephone number etc by pm. Distribution isn't really my "thing" to put it mildly. The trick (in my mind) is to get others to distribute - IFAs, brokers, stockbrokers and so forth.
A

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Post by LeviF » Thu Jun 16, 2011 1:30 pm

This just appeared on my radar.

http://www.wisdomtree.com/etfs/fund-det ... p?etfid=76

I'm sure there are other companies doing the same?...

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Post by LeviF » Thu Jun 16, 2011 2:08 pm

Nevermind, I see its just an S&P DTI index tracker.

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