Elizabeth Cheval, EMC Capital Chairman, Dies of Aneurysm at 56

Elizabeth Cheval, the founding chairman of Illinois-based investment firm EMC Capital Management Inc. and a breakout star of a 1980s experiment in whether successful trading can be taught, has died. She was 56.

She died on March 9 at Beijing United Family Hospital, three days after suffering a brain aneurysm during a business trip to China, according to her sister, Susan Mack. She lived in Lake Forest, Illinois.

With average annual returns of 107 percent, Cheval was the top futures money manager for the five-year period ending in 1990, Crain’s Chicago Business reported. From the time Cheval began trading in 1985, through last month, she and her firm posted average annual returns of 21.1 percent, compared with 10.7 percent for the Standard & Poor’s 500 Index.

“She was legendary in this industry and extremely generous and kind to everyone,” John Krautsack, Cheval’s successor as chairman, said yesterday in an interview. “I worked for Liz side by side for 18 years, and not only was she a mentor to me, she was a true friend. She was just a remarkable woman.”

The firm, based in Bannockburn, Illinois, about 30 miles (48 kilometers) north of Chicago, has about $100 million under management. Investors in managed futures seek returns that don’t correlate to other types of investments.

The holder of a mathematics degree, Cheval was among 20 apprentices chosen from thousands of applicants to be trained in 1983 and 1984 by veteran commodities traders Richard J. Dennis and William Eckhardt. Their goal was to determine whether successful trading -- when to buy and sell, based on trends -- could be taught.

Market Challenge

Once trained, the apprentices were given as much as $1 million to trade for Dennis’s firm, C&D Commodities.

“I simply couldn’t believe that a world renowned trader would teach us his methods and give us his private capital to trade,” Cheval recalled, according to an interview she did in 2011 for a blog maintained by Chicago-based Attain Capital Management. “I assumed that there would be a catch, another story revealed at the interview.”

The blog identified Cheval as the only woman among the 20 trainees. In a 2007 book about the program, “The Complete TurtleTrader,” author Michael W. Covel said she was one of two female trainees.

Dennis called his students “turtles,” likening them to the “huge vat with thousands of squirming turtles” he had viewed during a visit to a farm in Singapore.

About Prices

In his book, Covel said one example of the Turtle training in action came when Cheval, in July 1990, bought 350 oil contracts for less than $20 a barrel and held them as prices topped $40. In October, she started selling at $38 a barrel and liquidated her holdings with an average exit price of $34.80, Covel wrote.

“There was no discussion about OPEC, government reports or other fundamental factors used in Cheval’s decision-making,” he wrote. “It was all about the price action telling her to enter and exit.”

Elizabeth Ann Cheval was born on Nov. 1, 1956, in Wheaton, Illinois, the fourth of five children of Joseph W. and Ann Mack.

In 1978, she graduated from Lawrence University in Appleton, Wisconsin. Following work in film editing, she took a job as a desk clerk at the Chicago Board of Trade and was in that job when she responded to a three-line advertisement that Dennis and Eckhardt placed in the Wall Street Journal.

She founded EMC Capital in 1988.

In her interview with the Attain Capital blog, Cheval said the CBOT’s open-outcry trading pit gave an advantage to men, with their “larger, heavier” frames.

With so much trading done electronically now, she said money-management is a good field for women: “No one can dispute your contribution based on gender in investment management. Your performance is there in black and white in the P&L report.”

Cheval was married and divorced. Survivors include her mother, Ann Mack, and siblings Michael Mack, Joan Mack, Susan Mack and Joe Mack, according to Wenban Funeral Home in Lake Forest.

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