Systematic Trading research and development, with a flavour of Trend Following
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Entries Tagged as 'Fund Review'

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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Trend Following Wizards – April 2010

May 12th, 2010 · 2 Comments · Fund Review, Trend Following Wizards

Follow the Trend Following Wizards updates with the dedicated monthly feed. You can either access it via RSS or by subscribing by email The recent turmoils developing in the markets will give us interesting times to monitor how the Trend Following Wizard performances fare. If 2008 is any indication, and if we return to large [...]

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Geometric Information Ratio

April 26th, 2010 · 25 Comments · Fund Review

Following the previous post where we ranked CTA performance using the Geometric Information Ratio, a couple of readers have requested clarification/more information on it. So I thought a reference post dedicated to the Geometric Information Ratio might be a good idea. This post contains a spreadsheet used to calculate the Geometric Information Ratio, and expanded [...]

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Which CTAs REALLY provide alpha (and HOW do you calculate it)?

April 22nd, 2010 · 13 Comments · Fund Review, Trend Following Wizards

The idea of having a true benchmark for Trend Following (a.k.a. Managed Futures/CTAs), independent from the performance of the existing funds, could shake up the industry and have serious implications (increased competition and fees reduction resulting from commoditization of Trend Following). The Beta of Managed Futures paper (PDF) by Conquest Group and their claim to [...]

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Trend Following Wizards – March 2010

April 14th, 2010 · 4 Comments · Fund Review, Trend Following Wizards

Follow the Trend Following Wizards updates with the dedicated monthly feed. You can either access it via RSS or by subscribing by email A bit of a happier month for Trend Followers with an average gain of 3.7% and even a double-digit return for Superfund (enhanced return/leveraged fund). Once again, the results are in line [...]

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Betafication of Alpha: towards a Commoditization of Trend Following?

March 29th, 2010 · 8 Comments · Fund Review, Trend Following

Above is a diagram by Andy Lo, illustrating how alpha morphs into beta over time, as the initial strategy becomes more common/popular. Could the phenomenon affect Trend Following? And could the 2/20 fee structure charged by CTAs now be inappropriate? This Beta of Managed Futures paper (PDF) from the Conquest Group hints that Yes, the [...]

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Wizard Bill Dunn Video Interview

March 24th, 2010 · 2 Comments · Fund Review

Bill Dunn is one of the earliest Trend Following Wizard that we track on this website. He started in 1974 and is famous for having trading the “same” model ever since. He now manages $183M in his WMA program – from his

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Trend Following Wizards – February 2010

March 15th, 2010 · No Comments · Fund Review, Trend Following Wizards

Follow the Trend Following Wizards updates with the dedicated monthly feed. You can either access it via RSS or by subscribing by email Quite a diversified set of results this month for the wizards with a median and average return around +0.5%. YTD performance still in the red at an a median/average around -3%. This [...]

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Trend Following Wizards – January 2010

February 10th, 2010 · 3 Comments · Fund Review, Trend Following Wizards

- - -  Note: Starting this month, I have created a dedicated feed solely for the Trend Following Wizards monthly updates. You can either access it via RSS or by subscribing by email. - - -  Not a good start of the year for Trend Followers – starting 2010 in the same way as 2009 closed: by very negative [...]

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Trend Following Wizards – December 09

January 18th, 2010 · 4 Comments · Fund Review, Trend Following, Trend Following Wizards

Not a good year for Trend Followers! Closing December with a performance of -4.37% on average, most funds we follow “saw red” in 2009 (-7.3% on average). Well, this is part of the game: you have to risk (and lose) some to make some… Even the “mammoth” funds that are Man or Transtrend finished the [...]

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Trend Following Wizards – November 09

December 15th, 2009 · 3 Comments · Fund Review, Trend Following, Trend Following Wizards

Excellent month for Trend Following Wizards: all are in the black with a 6.75% monthly gain on average! It has been two months in a row that the Trend Following wizards exhibit very strong correlated results, which tends to reinforce the opinion that all trend following CTAs are not so different – except in terms [...]

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Trend Following Wizards – October 09

November 17th, 2009 · No Comments · Fund Review, Trend Following, Trend Following Wizards

First of all, apologies for the lateness of this report. All funds reported below publish their results at different times of the month so I have to wait for all of them to publish. We can see that there is still a “red sea” of negative performance in October, both for the monthly and YTD [...]

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Trend Following Wizards

October 15th, 2009 · No Comments · Fund Review, Trend Following, Trend Following Wizards

—- Latest Results further below —- On this page I track the monthly results of the top CTAs/Managed Futures funds in the Trend Following space: Decades of successful track records (some managers approaching half a century such as Millburn or Campbell, founded in 1971 and 1972 respectively, with other pioneers following suit a few years [...]

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