Transtrend is 100% systematic in its strategies for trading. A variety of markets are studied using quantitative analysis of their prices and its behavior. Direction is unbiased. Short or long term time horizons are chosen based on signals provided by the strategies. Risk management is applied and data management and technical infrastructure are in place.
Transtrend is a program that is systematic and quantitative. It started on January 1995. As of December 31, 2014, the firm’s AUM is at $5.9 billion. It is located in Rotterdam, Netherlands. QM principals are Johannes P.A. van den Broek and Harold M. de Boer.
Transtrend Company Background
Founded in 1991, the firm is Dutch Limited Liability Company. In 1994, it was registered as a CTA and a member of the NFA.
Markets Traded
Around 50 markets covering 30 countries are part of the portfolio. Metals, energy, agricultural, single stocks, equity indices, currency, short and long term interests, forward and swap contracts and futures are being traded.
Strategy
Using quantitative analysis on the behavior of prices, the firm is able to develop, implement and manage systematic trading strategies. Risks are in place in every strategy.
Key Personnel
Johannes P.A. van den Broek
Johannes P.A. van den Broek is the Managing Director of the firm. In 1995, he became part of the firm as a trader. Two years later, he became Deputy Director of Trading and consequently a part of the management team. As of 1999, he occupied his current position. On 1998, he was registered as an Associated Person and the next year as a Principal. Since 1998, he has been an Associate Member of the NFA.
In 2003 he was the Director of Fund Alliance and 2007 of the Equity Strategies. These are funds from Luxembourg that kept the firm as advisor in trades. Since 2009, he is a Board Member of KenTyde B.V., a future trader in Rotterdam. In 2013, he became swap associated person.
He received his Master’s degree in Business Economics from Erasmus University Rotterdam in the Netherlands.
Harold de Boer
Harold de Boer is also a principal of the firm. In 1989, he worked in Nidera Handelscompagnie B.V., the predecessor of the current Transtrend, as part of his thesis, the Cointegration in Commodity Futures Markets. In 1990, he became a research analyst and after 2 years, was given charge of the research department. In 1997, he became Deputy Director of Research and consequently a part of the management team. By 1999, he became Director. By 2007, he became Managing Director.
His role for the firm is the development of products and the conduct of research. Since 1999, he is listed as a principal. Since 2009, he is a Board Member of KenTyde and a swap associated person since 2013.
1995 to 2014 Performance Statistics
Transtrend reched an all-time high in 2014 after a strong year for trend-following CTAs.
Transtrend has a cumulative total return of 1163.40%. Annualized compound return is at 13.52%. Annualized standard deviation is at 13.70%. Monthly correlation to S&P 500 TRI is at -0.04. Annualized sharpe ratio is at 1.00. October 1997 monthly maximum loss is at -8.58% From February 2009 to January 2010, there is a maximum drawdown of -15.15%.