This report closes the year 2011 for the Trend Following Wizards, which ended up – not so surprisingly – on the negative side.

The performance for December was virtually nil, leaving the composite index at -7.5% for the year. Apart from a handful of managers, most funds were in the red for 2011.

Interestingly, the funds “jockeying” for top position have quite different profiles, between “old-school” Dunn Capital, “new generation, sophisticated” Winton Capital and former Turtle Saxon Investment, who stopped trading in the last few months.

Please find below the full results:
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Last report before the year comes to a close, and it seems that 2011 will end in the red for the Wizards.

November was marginally positive, leaving the YTD result well anchored in negative territory. Please find the detailed results below:

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A strong negative return for the month, taking the average YTD return further in the red – with a few funds now in negative double-digit territory.

Not a good October for the Trend Following Wizards.

The old adage “Sell in May and go away [, stay away till St. Leger Day]” rings true for Trend Followers this year. Since the month of May, five out of the last six have been losing months.

We are now past Halloween (and St Leger Stakes) — does this mean that the next 6 months will provide nice trending markets for the Wizards? Only time will tell.

Please find the results as of end October 2011 below: [Read more →]