Systematic Trading research and development, with a flavour of Trend Following
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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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State of Trend Following in April 2014

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

State of TF
 

A fairly flat month overall for the State of Trend Following index, with a slight positive return, both for the month and the year to date.
Please check below for more details. [Read more →]

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Trend Following Wizards – March 2014

April 24th, 2014 · Trend Following, Trend Following Wizards

A late report of the Trend Following Wizards performance for March shows a lot of red, both for the month and the year-to-date. Not a first good quarter for trend followers. The monthly aggregate return is -1.51% and less than a third of the Wizards are in the black for 2014, with an aggregate YTD return of -3.10%.

See the full results below.

[Read more →]

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State of Trend Following in March

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

State of TF
 
Negative result for the month of March. The index stays positive over the first three months of the year.
Please check below for more details. [Read more →]

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Trend Following Wizards – February 2014

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

A globally positive month of February for the Wizards. Not enough to make up for the bad start in January: the YTD performance stays in the red.

February average return: +1.76%
YTD return: -1.61%

Full results below: [Read more →]

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State of Trend Following in February

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

State of TF
 
The month of February was a tale of two halves: a fairly clear leg down, followed by an even stronger leg back up. This closed the month in positive territory – the second time in as many months this year. Additionally, some markets have been showing some strong moves (coffee being the one that naturally comes to mind). Is it a real lasting bounce or just another “zag”? That is the $64,000 question.

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

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Trend Following Wizards: Difficult start of the year

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

Tough start of the year for the trend following Wizards, with just two of them posting positive results.. As a result, lots of red in the table.

Additions: New Wizards

Thanks to all the readers who submitted suggestions for additions into the list. I added four new managers, taking the list to 30 constituents:

  • Covenant Capital Management
  • Estlander & Partners
  • Lynx Asset Management
  • Quantica Asset Management

For each of these, I picked the most “trend-following” oriented program. I received several more suggestions that I checked; some were too “emerging” to be on the list but a good part of the established managers showed too little an allocation to trend following strategies. Some of the big ones having less than 50% allocated to trend following (it could be argued that this is the case for Lynx above, with an advertised allocation to trend following at 50% only, but I still decided to include them because of their very large size, and for a bit of “geographical diversification”).

Checking back the managers already on the list, I could see that this “trend” of adding extra strategies to a core trend following one has been growing and not all of the Wizards have a “good old” traditional 100% allocation to trend following like the Dunn, Chesapeake, Campbell, Mulvaney, etc. (for example, Abraham only lists trend following as 45% of their program – coincidentally they are one of the managers being up last month). As a reader was pointing out, this is probably a reason for the increased divergence in the Wizards performance. Something worth investigating when going over past performance of the Wizards.

Please find the full results for January 2014 below:
[Read more →]

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State of Trend Following in January

February 4th, 2014 · the State of Trend Following, Trend Following

State of TF
 
The slow bounce from October last year seems to continue with the index registering a small gain in January (+1.17%). Interesting to note that there was a bit less uniformity in the results of different systems/timeframes combinations, with notably the short Donchian showing strong performance.

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

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AuTraSy vs Wisdom States of Trend Following

January 30th, 2014 · the State of Trend Following, Trend Following

2013′s over… Time for some reflection.

Last year, I started producing the Wisdom State of Trend Following report. The concept is very similar to the State of Trend Following report, which I’ve been running on this blog for a few years: take a diversified portfolio of futures markets, and run it through a mix of classic trend following systems over different timeframes to obtain a trend following composite index.

I worked with Shane at Wisdom Trading to make sure that the new index was closer to “real trading” than the index on this blog. In effect, we added trade friction parameters (slippage and commissions) and made sure that all products could be traded by US citizens/entities (Wisdom cover a very good range of markets but CFTC regulations prevent trading of markets such as Turkish Lira or OMX Helsinki 25).

In terms of sector balancing, my initial pick for the State of TF report was more “random”, so I made sure to have a more even split in the list of around 40 markets selected (details of individual markets and sectors can be found on Wisdom State of TF report posts, like the latest one from December and on the State of TF reports like this one for the AuTraSy version).

The end result was an index that reflected historical trend following performance fairly well in comparison to well-known benchmark indexes, but also to the actual real-life trading performance of trend following systems traded/executed by Wisdom Trading for their clients over the last one or two decades.

The Wisdom report was launched in August, but one thing puzzled me (along with some readers): despite applying very similar concepts, the YTD performance for both “State of TF” indexes showed a substantial difference. That difference lasted until the end of the year, as shown by these two charts:

StateTF YTD [Read more →]

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Trend Following Wizards – December 2013

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

We can say that 2013 was flat for our Trend Following Wizards: they closed the year by posting a minuscule collective yearly gain of +0.04% (with a December return of 0.64%). However, a closer inspection reveals a greater disparity than usual in the results. The standard deviation in the 2013 yearly performance is over 15%, with 4 double-digit gains and 6 double-digit losses. A good illustration that trend following is not just “one big trade” as some people are sometimes led to believe.

I’m looking at updating the list of Wizards for 2014, so please forward any suggestions you have. I do not have set criteria for CTA inclusion, just well-established trend following CTAs (and for which I can access performance information). I need to go back to a few reader emails to review their suggestions over the last year and I might borrow some ideas from this list from Andreas Clenow, author of Following the Trend (good book I still have to review on the blog).

So please send your ideas to improve the list for 2014. I already added Mulvaney Capital to the list this month. I believe they were on my initial list but I just could not find a reliable performance update for them at the time. Note that they were one of the most successful Trend Following Wizards in 2013, posting 43% for the year. The collective results above did not include Mulvaney’s results in order not to skew the results for 2013 (you can see the difference it makes on the summary in the table below). [Read more →]

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