Campbell & Company Managed Futures Portfolio

Campbell believes that the key to navigating the ever changing markets is through diversification not only on strategies but also on time horizons. Through diversification, there is a greater opportunity to generate returns since there is independence. Instead of only one market, strategy and macroeconomic environment, dependency is eliminated.

The systematic approach to diversification allows Campbell to find and exploit the potentials for return from various classes of assets. The Campbell research team utilizes techniques that are sophisticated and makes use of market experience in understanding current conditions. With these systems in place, Campbell can implement strategies that can monitor changes in the conditions.

Both trend and non-trend following models are used for the portfolios that are traded in different parts of the world, from North America, Europe to Asia using multiple time horizons. Instead of only one set of conditions, strategy diversification has a goal to perform in a wide range of conditions and volatilities in the market.

Campbell uses a systematic and multi-strategic program. It was founded on January 1988. As of December 31, 2014, the firm’s AUM is $3.82 billion. It is located in Baltimore, MD. Principals are William Andrews, Michael Harris and Xiaohua Hu.

Company Background

In 1972, Campbell was founded by D. Keith Campbell, Principal. It is based in Baltimore, MD.

Goals in Investment

The goal of Campbell is to generate risk adjusted returns that are attractive and crossing a wide range of market conditions using a process of investment that is systematic.

Markets Traded

Global asset classes include interest rates, currencies, commodities and stock indices.

Strategy

The aim of Campbell is to generate risk adjusted returns that are attractive and crossing a wide range of market conditions using a process of investment that is systematic. The diversified portfolio includes interest rates, currencies, commodities and stock indices. The portfolio has strategies that are trend and non-trend following. The aims are low correlation and diversified by investment style, holding period, source of information and instrument.

For trend following techniques, Campbell applies both traditional and alternative trend following methods. This is to exploit systematically the moves of futures market by using information on prices. Some of these techniques trade on all or on specific sectors or factors in the market.

For non-trend following techniques, Campbell uses relative value and fundamental themes. These are developed to exploit mis-pricings by using directional, carry and spread methods. These non-trend following techniques are applied to specific sectors only and make use of methodologies that are global and tactical in asset allocation. Other strategies are also used to augment trend following, these are those based on statistical indicators, lookback and holding periods for mis-pricings.

Key Personnel

William Andrews

William Andrews is the CEO of Campbell & Company. In 1997, he joined Campbell and in 2012, he became part of the Board of Directors as CEO. Prior to his position as CEO, from 2011 to 2012, he was the Co-Director of Research, from 2010 to 2012 he was COO and from 2007 to 2010 he was VP and Director of Operations. From 2006 to 2007, he was VP & Director of Research Operations and from 1997 to 2006 he was a Research Assistant. In 2010, he was part of the Investment Committee.

Before Campbell, he was a Research Analyst at Legg Mason from 1995 to 1997. Prior to his immigration to the US, he was an employee of the Department of Education of Japan based in Fujumi, Nagano prefecture. He has a M.B.A. in Finance from the Loyola College in Marlyand and a BA in Social Science from the Waikato University in New Zealand.

Michael Harris

Michael Harris is the President of Campbell & Company. In 2000 and 2012, he was part of the Board of Directors and President respectively. Prior to his position, from 2004 h he was Deputy Manager of Trading and from 2006 he was the Director of Trading. In 2010, he was appointed in the Investment Committee.

Before Campbell, he was a broker for futures and options for Refco Inc. from 1999 to 2000. He worked in the Sales and Product Development team at Morgan Stanley Managed Futures from 1997to 1999. He received his B.A. in Economics, with honors, from the Gettysburg College in Pennsylvania. He also studied Japanese Studies at the Kansai Gaidai University in Osaka, Japan. He contributes on NBC and on other publications.

Xiaohua Hu

Dr. Hu is the Chief Research Officer of Campbell & Company. He joined Campbell in 1994 and was Director of Research until 2012. Prior to his position, he was Co-Director of Research from 2011 to 2012. His role in Campbell is the continuous development and research of the firm’s algorithms, models and systems. In 2012, he was Co-Chair of the Investment Committee and in 2010, Director of Research in charge of management of the process of investment and research.

He graduated with a B.A. in Manufacturing Engineering from the Changsha Institute of Technology in China and a holder of a Ph. D. in Systems and Information Engineering from the Toyohashi University of Technology in Japan. He was a Visiting Research in Computer Science and Operations Research. He published papers in the Journal of Society of Instrument and Control Engineers of Japan.

1988 to 2014 Performance Statistics

Campbell has a cumulative total return of 2401.27%. Annualized compound return is at 12.66%. Annualized standard deviation is at 15.62%. Monthly correlation to S&P 500 TRI is at 0. Annualized sharpe ratio (0%) is at 0.84. On May 1990 monthly maximum loss is at -11.18%. From July 1993 to January 1995, there is a maximum drawdown of -29.32%.