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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:
Entries from December 19th, 2011
Trend Following Wizards – November 2011
December 19th, 2011 · 3 Comments · Trend Following, Trend Following Wizards
State of Trend Following in November
December 5th, 2011 · 7 Comments · the State of Trend Following, Trend Following
A wide disparity in the individual system returns in this month’s edition of the State of Trend Following report, but globally a slightly positive month for the report index. This does not change the YTD situation very much, still deep in the red. Unless a dramatic Christmas reversal occurs, 2011 will most likely be [...]
Tags: report
Trend Following Wizards – October
November 17th, 2011 · 22 Comments · Trend Following, Trend Following Wizards
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 [...]
State of Trend Following Report in Oct-11
November 7th, 2011 · 5 Comments · the State of Trend Following, Trend Following
October has not been kind to Trend Followers. If the debacle at MF Global was not enough, it also seems that the markets handed a “double whammy” with a strong down month from a performance point of view. The index is now clearly back in the red for 2011. Please check below for more [...]
Tags: report
Trend Following Wizards in September ’11
October 18th, 2011 · 6 Comments · Trend Following, Trend Following Wizards
Here is another Trend Following Wizard report, which comes with some volatility again – mostly on the down side. The average return for September is -1.31%, with the YTD reading about equal at -1.54%. Unlike in 2008, Trend Following Wizards did not seem to be able to capitalize on the “crisis mode” seen in the [...]
State of Trend Following Report – September ’11
October 3rd, 2011 · 2 Comments · the State of Trend Following, Trend Following
This month of September has been quite similar to that of August, in terms of the increased nervousness of financial markets in general. In parallel, the state of Trend Following also shows characteristics similar to that of last month: strong but volatile returns. The index is now in the black for the year. Please [...]
Tags: report
Trend Following Wizards in August ’11
September 19th, 2011 · 12 Comments · Trend Following Wizards
This month’s report comes a bit later and less complete than usual. Some of the websites used to retrieve the performance figures seemed to have had some delays or technical problems, and as a result three of the usually tracked Wizards have missing performance results. The rest of the pack shows varying levels of performance [...]
Tags: report
State of Trend Following in August
September 5th, 2011 · 5 Comments · the State of Trend Following
August – What a volatile month! Instead of the more usual quiet Summer market lull, markets got really nervous. And this also shows in the results of the State of Trend Following – albeit with a positive outcome, completely opposite to “traditional investments”. Let’s cut to the chase with this month’s results: August return: [...]
Tags: report
Summer Reading by Covel – Take II: The Little Book of Trading
August 29th, 2011 · 5 Comments · Books
Trend Following Strategy for Big Winnings is the subtitle of Michael Covel’s latest book (link on Amazon), an addition to the “Little Book of…” series (“Trading” in this instance). I find it quite surprising for an author to come out with two books roughly at the same time but this book is fairly different from [...]
Tags: michael covel
Trend Following Wizards in July ’11
August 17th, 2011 · 2 Comments · Trend Following, Trend Following Wizards
All positive performances for the Wizards in July… CTAs seem to have enjoyed the high-volatility ride. A strong month (+5.27% on average, with a few double-digit returns) which brings the YTD performance to nearly flat (-0.98%). Below are the full results for July 2011:
Tags: wizards
S&P make the news… with a Trend Following Index
August 10th, 2011 · 34 Comments · Equities, Fund Review, Futures, Trend Following
They say any publicity is good publicity… If that’s the case, Standard and Poor’s might have achieved the “marketing coup” of the year/decade/century (time will tell) with their downgrade of US credit rating last Friday (possibly thanks to a $2 Trillion Mistake). SGMI: a new Trend Following Index But this is not the piece of [...]
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Summer Read: Trend Commandments by M. Covel
August 8th, 2011 · 2 Comments · Books, Trend Following
You want confidence and inspiration? It’s here. Michael Covel’s Trend Commandments is a new book on Trend Following, which focuses mostly on the psychological and philosophical aspects of this trading strategy. You want a “how-to” book, including a “turn-key” Trend Following system? It is not there (The Complete Turtle Trader did this with [...]
Tags: covel
State of Trend Following in July
August 1st, 2011 · 5 Comments · the State of Trend Following, Trend Following
After the rather dramatic May-June move to the downside, the State of TF index is registering a small uptick for July. A Summer respite amongst the chaos in the financial markets that the US debt latest development seems to have created. One thing for sure is that this all strongly reinforces the point of [...]
Tags: report
Execution: Benefits of Algorithmic Trading for CTAs
July 25th, 2011 · No Comments · Software
Recently, Man AHL, a “Trend Following Wizard”, announced in this press release some of the benefits from their “hard work to increase trade efficiency”: In the past two years, the Asia desk has reduced Asian trading costs by more than 20%, and 98 per cent of regional trading can now be processed electronically […]. We [...]
Trend Following Wizards: Red June
July 19th, 2011 · 10 Comments · Trend Following, Trend Following Wizards
Another monthly results column full of red for the Wizards in June: the Summer did not start all “sunny” for the CTAs tracked in this report. To keep with last month’s analogy, the yo-yo’s string seems to have now broken, with no bounce back up from last month’s negative results (after several months of strong [...]
Tags: wizards
Futures Trading and Small Account
July 12th, 2011 · 17 Comments · Futures, Money Management, Strategies
I recently spent more time doing “reading research” rather than “testing research”. As result, this post resembles a collection of links on ideas seen on the web of how to trade futures with a small account – one of the topics I have been interested in. The Issue: Diversification with Small Account A small account [...]
Tags: diversification
State of Trend Following: sharply down
July 4th, 2011 · No Comments · the State of Trend Following, Trend Following
As there was no report last month, this month’s edition is a combined version for May and June. The Trend Following Wizards had a strong down month in May, and so did the index used for this State of Trend Following report. However the up-and-down “yo-yo” pattern seen every month from the beginning of [...]
Tags: report
May for Trend Following Wizards: Yo-yo back down
June 29th, 2011 · 4 Comments · Trend Following, Trend Following Wizards
+3.64% in February, -3.70% in March, 6.11% in April… And now -6.11% in May. The up-and-down performance of the Wizards for 2011 creates volatility but not much return with the YTD number currently standing at -1.46%. The month of May was strongly down with only negative postings, with the most aggressive ones in “red” double-digit [...]
Tags: wizards
Back Online
June 28th, 2011 · 4 Comments · Blog
Hibernation over – I am back from my “self-imposed” off-the-grid isolation. I will gradually resume posting on the blog, starting with an overdue update on Trend Following Wizards performance tomorrow (covering the results from May). It is so late in the month that there is not much point running a May edition of the State [...]
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Off-The-Grid
May 26th, 2011 · 2 Comments · Blog
Just a quick post to let you know that the blog will go into “hibernation mode” for roughly a month, as I am going travelling to very remote places for the next 4-5 weeks, most of which will be without internet access or even electricity… It will be an interesting “jump” into a “disconnected” world, [...]
Tags: correlation
