Systematic Trading research and development, with a flavour of Trend Following
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State of Trend Following in February

March 5th, 2015 · the State of Trend Following, Trend Following

State of TF
 
After a strong string of positive performances, the State of TF index pulled back last month to post a negative return, still leaving 2015 in positive territory.

Please check below for more details. [Read more →]

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Trend Following Wizards: Good January Start

February 20th, 2015 · Trend Following, Trend Following Wizards

Good start of the year for the Wizards, who started the year with a collective +5.63% in January.

Please see below for full individual results. [Read more →]

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State of Trend Following in January

February 4th, 2015 · the State of Trend Following, Trend Following

State of TF
 

The year is starting as it ended for trend following: Very strong. The index posted a first good month (over +6%). Trend Following keeps on trending up!

Please check below for more details. [Read more →]

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Trend Following Wizards close 2014 on a High

January 16th, 2015 · Trend Following, Trend Following Wizards

Collectively, the Wizards added another good month to an already very good 2014 (the come-back year for trend following). A near-100% of positive results for the year, with an average just shy of +25% and a handful of strong performers.
Average return for December: +3.56%
Full results below:

[Read more →]

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State of Trend Following in December 2014

January 6th, 2015 · the State of Trend Following, Trend Following

State of TF
 

Happy New Year to all readers!

The first post of the year looks back at the performance of the State of Trend Following index in 2014… And it’s been a great year! Trend Following really started to shine in the second half of the year and closed the year with a gain over 50%. Clearly the best performance since the great 2008 results – and there was no big crash (yet?) to trigger it. Conditions might well be turning for trend following.

December was no exception, with the index posting another very strong month.

Wishing all of you continued or new success in 2015, in your trading and other endeavours.

Please check below for more details. [Read more →]

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Trend Following Wizards – Strong November, Strong 2014

December 18th, 2014 · Trend Following, Trend Following Wizards

One of the best months of the year for our Trend Following Wizards. Not so surprisingly after the strong performance of the State of Trend Following Index (nearing +10% return for November).

The overall return for the Wizards was +6.80% for the month with the YTD performance just a fraction off the typical 20% threshold for “bull market” definition. With some big moves in commodities, the weighing of these markets in the CTAs’ portfolios might be the main source of difference between “good” and “very good” performances.

Full table further below, with an overwhelming number of black numbers — only one spot of red preventing a perfect 100%. [Read more →]

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State of Trend Following in November 2014

December 3rd, 2014 · the State of Trend Following, Trend Following

State of TF
 

The State of TF index closed the month with a big spike up, courtesy of large crude oil/energy moves to the downside. Most of the systems in the index had been short for a few months and benefited from this large move in the direction of the main trend.

Unsurprisingly, the index registered a new high and now stands close to +50% for the year, narrowly missing a double-digit return in November.

Please check below for more details. [Read more →]

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Trend Following Wizards – October 14

November 18th, 2014 · Trend Following, Trend Following Wizards

A mixed set of results for the Wizards in October. Slightly positive overall, the performance for the year is still quite strong.

[Read more →]

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State of Trend Following – October 2014

November 3rd, 2014 · the State of Trend Following, Trend Following

State of TF
 

The good streak shown by trend following and this index over the last few months did not persist in October. It actually started the month very well, registering over +5% by the 15th, but then quickly turned back down to reverse all of its gains and finish slightly negative for the month. The “trend” still looks healthy and up.

Please check below for more details. [Read more →]

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Trend Following Wizards – September 2014

October 20th, 2014 · Trend Following, Trend Following Wizards

We suspected that the Trend Following Wizards would have a good month of September after seeing the State of Trend Following reports post their best performance of the year.

The Wizards did not disappoint with an average return of 6.07% for the month and 11.64% YTD.

Some of the more aggressive managers are now showing juicy YTD performance (38% or 45% for Paul Mulvaney or David Druz — with half the list being in double-digit territory).

Also of interest is that only a couple of managers are in the red for the month. This includes Winton, often considered as the “darling” of the CTAs/Managed Futures funds. Many people have wondered how much of a trend following strategy Winton actually employ… A negative return in a bad month for stocks and great one for trend following might bring part of the answer.

Please see below for the full results: [Read more →]

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State of Trend Following in September

October 2nd, 2014 · the State of Trend Following, Trend Following

State of TF
 
September is the strongest month of the year so far with the first double-digit return and a very healthy YTD performance over 30%. After a slow start, it seems that 2014 is the year of Trend Following return (from the grave? as we remember some people were bringing up the old “Trend Following is dead” theme a few months back).

It will be interesting to check the Wizards performance later on during the month. Early indications seem to point to a good month too.

Please check below for more details. [Read more →]

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Trend Following Wizards – August 2014

September 17th, 2014 · Trend Following, Trend Following Wizards

Strong results for the Trend Following Wizards in August with 100% of positive returns. The index consolidates its positive performance for the year with the YTD result now at +5.36%.
August average return: +4.30%

Full results below: [Read more →]

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State of Trend Following in August

September 3rd, 2014 · the State of Trend Following, Trend Following

State of TF
 
Another good month takes the index further up for the year, firmly in positive territory.
Please check below for more details. [Read more →]

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Trend Following Wizards in July

August 22nd, 2014 · Trend Following, Trend Following Wizards

Summer Holiday season means the report is here a bit later than usual. I hope you all had a nice Summer (for those in the Northern hemisphere anyway). Autumn is quickly gaining the (early) fight over Summer here in London.

The report for the Trend Following Wizards is mixed this month. July is overall positive at +0.47%, partly thanks to the large return posted by one “outlier” small fund. The index is not AUM-weighted so smaller funds have as much impact on performance than very large ones. The YTD performance is also positive at +1.07%.

Full results below. [Read more →]

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State of Trend Following in July

August 6th, 2014 · the State of Trend Following, Trend Following

State of TF
 
The index is showing positive performance for the third month in a row, taking it to new highs for the year. This is confirmed by the other State of Trend Following report I write, over at the Wisdom Trading blog, so it seems that trend following has “turned a corner”. Is it going to last?

Please check below for more details. [Read more →]

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Trend Following Wizards – June 2014

July 21st, 2014 · Trend Following, Trend Following Wizards

The Wizards index moves back into positive territory for the year, with a month of June that was positive overall – showing an average gain of +1.46% and only a handful of funds in the red. YTD performance just breaking above water at +0.41%.

Please see full results below: [Read more →]

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State of Trend Following in June

July 2nd, 2014 · the State of Trend Following, Trend Following

State of TF
 

A good month of June takes the State of Trend Following index to new highs for the year so far. With the trending activity picking up in the markets, this “breakout” could be a turning point for trend following. To be followed…

Please check below for more details. [Read more →]

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Trend Following Wizards – May 2014

June 20th, 2014 · Trend Following, Trend Following Wizards

A mixed bag for the Wizards last month. The index was positive overall last month but still slightly in the red for the year. Full results below:

Organisation / Fund Return YTD * AUM **
Abraham Trading1
-0.34%
2.46%
$160M
Altis Partners2
-1.78%
-10.40%
$350M
Aspect Capital3
2.39%
-1.83%
$4,824M
Beach Horizon4
2.78%
5.35%
$43M
BlueTrend5
6.25%
3.45%
N/A
Campbell & Company6
2.35%
-8.81%
$2,977M
Chesapeake Capital7
0.89%
-1.45%
$170M
Clarke Capital8
-7.36%
-2.32%
$22M
Covenant Cap. Mgt.9
-0.20%
-5.61%
$65M
Drury Capital10
5.71%
-5.95%
$201M
Dunn Capital11
-2.33%
-7.97%
$296M
Eckhardt Trading12
1.77%
1.79%
$332M
EMC Capital13
0.60%
-7.28%
$86M
Estlander & Partners14
2.43%
-2.49%
$289M
Graham Capital15
2.62%
-2.98%
$2,249M
Hawksbill Capital16
-0.32%
-2.56%
$44M
Hyman Beck & Co.17
-2.55%
-11.67%
$183M
ISAM18
3.86%
3.25%
$535M
Lynx Asset Mgt19
3.09%
-0.58%
$4,903M
Man AHL Diversified20
6.60%
4.40%
$888M
Mark J. Walsh & Co.21
-0.53%
-7.13%
$75M
Millburn Ridgefield22
3.21%
8.56%
$733M
Mulvaney Capital23
-4.47%
2.52%
$148M
Quantica Capital24
1.30%
2.25%
$531M
Rabar Market Research25
0.52%
5.40%
$113M
Saxon Investment26
-0.04%
-0.97%
$67M
Sunrise Capital27
1.02%
-1.14%
$150M
Tactical Investment Mgt28
-3.16%
3.53%
$51M
Transtrend29
3.33%
3.16%
$5,327M
Winton Capital30
1.90%
3.25%
$24,500M
Summary Figures***
0.98%
-1.06%
$50,312M

 

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Notes

* YTD: Year-To-Date performance.
** AUM: Assets Under Management for the program reported here (not total firm AUM)
*** The summary numbers are the mean of the monthly return and the mean of the YTD, with the total sum of AUM, across all managers
 
Note that the figures referenced in the performance table are not provided directly by any of the funds/CTAs featured in this report, but are sourced from other publications such as hedge fund/CTA websites and databases.
  [Read more →]

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State of Trend Following in May 2014

June 3rd, 2014 · the State of Trend Following, Trend Following

State of TF
 
A positive month for the State of Trend Following Index. The two-and-a-held percent gain in May pushes the index to +6% year-to-date.

Please check below for more details. [Read more →]

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Trend Following Wizards – April 2014

May 21st, 2014 · Trend Following, Trend Following Wizards

Positive month but negative year to date. In a few words, this is the status for the Trend Following Wizards four month into 2014.
Please see full results below: [Read more →]

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