Systematic Trading research and development, with a flavour of Trend Following
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Trend Following Wizards – April

June 12th, 2019 · Trend Following, Trend Following Wizards

This post had been sitting in my drafts ready to be published… But it somehow never went live. Apologies for the delay. Here it is now.

Positive month for the Wizards in April, with some strong results on the monthly and YTD bases (YTD nicely positive on aggregate too).
Below are the full results as of end April 2019: [Read more →]

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State of Trend Following in May

June 10th, 2019 · the State of Trend Following, Trend Following

State of TF
 

Strong result in May for the Trend Following index, taking the Year-to-Date performance in positive territory.

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

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State of Trend Following in April

May 10th, 2019 · the State of Trend Following, Trend Following

State of TF
 

Positive month for the State of Trend Following index. YTD fighting back to the zero line…

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

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Trend Following Wizards – March

April 29th, 2019 · Trend Following, Trend Following Wizards

Positive month for the Wizards, taking the Year-To-Date number into positive territory.

Below are the full results as of end March 2019: [Read more →]

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State of Trend Following in March

April 5th, 2019 · the State of Trend Following, Trend Following

State of TF
 

Slightly negative result for the State of Trend Following last month, leaving the YTD number in slight positive territory.

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

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Trend Following Wizards – February

March 29th, 2019 · Trend Following, Trend Following Wizards

A late report, waiting for some funds to report, but here it is. February was positive overall but not enough to yield a positive 2019 YTD. Note that Beach Horizon is now Wimmer Horizon (still listed as #5 in the table below for now). You can read more about the change on their website, linked to below.

Below are the full results as of end February 2019: [Read more →]

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State of Trend Following in February

March 13th, 2019 · the State of Trend Following, Trend Following

State of TF
 

A fairly late and flat report for our State of Trend Following Index. Not the greatest start of the year.

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

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Trend Following Wizards – January 2019

February 22nd, 2019 · Trend Following, Trend Following Wizards

Negative start of the year for the Trend Following Wizards.
Below are the full results as of end January 2019: [Read more →]

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State of Trend Following in January

February 18th, 2019 · the State of Trend Following, Trend Following

State of TF
 

Not the greatest start of the year for the Trend of Following report, including a delay on my part publishing it.

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

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Trend Following Wizards – December 2018

January 29th, 2019 · Trend Following, Trend Following Wizards

A late report to close the year 2018 in the red. I was awaiting for a couple of funds that have not reported yet. December marked a small positive uptick that did not stop the yearly performance to be clearly negative.

Below are the full results as of end December 2018: [Read more →]

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State of Trend Following in December

January 4th, 2019 · the State of Trend Following, Trend Following

State of TF
 

The State of Trend Following Index closes the year on a strong month and a positive 2018.

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

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Trend Following Wizards – November

December 27th, 2018 · Trend Following, Trend Following Wizards

Slightly positive month for the Trend Following Wizards index, but with the YTD number clearly in the red.

This month sees a couple changes in the Trend Following Wizards constituents. A few funds were removed, mostly because they stopped trading / reporting.

Altruid Systems was added to the list. A couple of funds also didn’t have their performance updates available until now, hence the late publishing of this month’s report.

Altruid were founded over 15 years ago and have recently launched a Professional Investment Fund offering a managed futures / trend following quantitative systematic strategy that aims to achieve an excellent long-term yield/risk ratio and to target a two digit net return for the investor. The new fund directly benchmarks against the Top 20 CTA´s (SG CTA Index) and is running the Altruid Hybrid strategy. It should markedly outperform (targeting double the return) the award-winning UCITS fund Altruid have been running using the same strategy – with a 9-year track record – thanks to better diversification and lower fees.

The Altruid Hybrid strategy is a combination of short-term, medium-term and long-term systems traded over a diversified portfolio. One of the most interesting and key aspects of the overall strategy is the master allocator strategy, which leverages the expertise Altruid have developed since their inception, to implement market adaptability. The master strategy constantly monitors the changing market conditions to dynamically allocate to sub-systems/strategies that are statistically more likely to generate higher reward/risk trades. This has been a significant source of profit in the track record for the manager.

Since launching the new fund, Altruid have slightly outperformed the SG CTA Index.

The fund is exchange-listed, well-regulated, liquid investment class. It benefits from the “small fund effect” (typically has the potential to outperform large funds), and as a managed future strategy is optimal for portfolio diversification, with almost no correlation to traditional investment forms. Check the Altruid website (www.altruid-hybrid.com or www.altruid.com) for more information.

As part of the launch, Altruid offer potential investors that are readers of the blog reduced fees on the subscription charge and direct management contact. Contact me for more details.

Below are the full results as of end November 2018: [Read more →]

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State of Trend Following in November

December 6th, 2018 · the State of Trend Following, Trend Following

State of TF
 

A positive November brings the State of Trend Following in the black for the year. One more month to go.

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

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Trend Following Wizards – October 2018

November 20th, 2018 · Trend Following, Trend Following Wizards

Latest Results (October 2018)

Pretty clearly negative set of results for the Wizards last month, with a few results missing/funds not having reported yet.
Below are the full results as of end October 2018: [Read more →]

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State of Trend Following in October

November 8th, 2018 · the State of Trend Following, Trend Following

State of TF
 

A negative October for the State of Trend Following, which sends the YTD performance just in the red.

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

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Trend Following Wizards – September

October 24th, 2018 · Trend Following, Trend Following Wizards

A fairly negative month of September for the Wizards, with the 2018 performance so far just negative.
Below are the full results as of end September 2018: [Read more →]

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State of Trend Following in September

October 12th, 2018 · the State of Trend Following, Trend Following

State of TF
 

Negative month for the State of Trend Following, closing the YTD performance just above break-even.

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

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Trend Following Wizards – August

September 20th, 2018 · Trend Following, Trend Following Wizards

The last month of Summer was quite positive across the board for the Wizards, bringing the YTD performance close to break-even.

Below are the full results as of end August 2018: [Read more →]

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State of Trend Following in August

September 17th, 2018 · the State of Trend Following, Trend Following

State of TF
 

A late edition of the State of Trend Following report, showing a strong return for August and a YTD figure back in the black.

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

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Trend Following Wizards – July

August 20th, 2018 · Trend Following, Trend Following Wizards

A slight negative month for the Wizards in July, leaving 2018 in slight negative mode also.
Below are the full results as of end July 2018: [Read more →]

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