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

Trend Following Wizards – June 2014

July 21st, 2014 · No Comments · 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:

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Trend Following Wizards – May 2014

June 20th, 2014 · No Comments · 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 […]

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Trend Following Wizards – April 2014

May 21st, 2014 · No Comments · 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:

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Trend Following Wizards – March 2014

April 24th, 2014 · No Comments · 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 […]

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Trend Following Wizards – February 2014

March 18th, 2014 · No Comments · 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:

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Trend Following Wizards: Difficult start of the year

February 21st, 2014 · No Comments · 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 […]

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Trend Following Wizards – December 2013

January 20th, 2014 · 2 Comments · 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%, […]

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Trend Following Wizards

January 20th, 2014 · 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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Trend Following Wizards – November

December 18th, 2013 · 1 Comment · Trend Following, Trend Following Wizards

November saw the Wizards post a fairly strong positive result and coming close to break-even on a Year-To-Date basis. One month left to finish the year in the black… Unfortunately, it does not look like it’s headed that way. Peeking into the “future” by checking the current value of the Newedge Trend index, which is […]

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Trend Following Wizards – October ’13

November 18th, 2013 · No Comments · Trend Following, Trend Following Wizards

A positive October for the Trend Following Wizards. Still in the red year-to-date though. See full results below:

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Trend Following Wizards – September 2013

October 18th, 2013 · 2 Comments · Trend Following, Trend Following Wizards

Another month (unsurprisingly) dominated by the colour red (unsurprising as the State of Trend Following reports, both on this site and Wisdom Trading’s site, indicated a down trend relatively clearly). Please check the full results below, with a few funds still managing to post positive results for the year.

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Trend Following Wizards – August

September 19th, 2013 · 14 Comments · Trend Following, Trend Following Wizards

+0.66% is the only positive return for this month’s report. The rest of the Wizards are down, as illustrated by the near-uniform shade of red in the August return column in the table below (the YTD column is not that much better). The composite return of the index is -2.13% for the month and -3.17% […]

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Trend Following Wizards – July 2013

August 26th, 2013 · 5 Comments · Trend Following, Trend Following Wizards

Back in the red overall for 2013 (only slightly) with a negative month of July for the Trend Following Wizards. Please find the full results further below.

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Trend Following Wizards – June ’13

July 18th, 2013 · 2 Comments · Trend Following, Trend Following Wizards

After a mostly positive start of the year, June brings the second consecutive negative month for the Trend Following Wizards. The YTD performance for the aggregate index is now also in the red at the half-year mark. Also just a reminder that I rely on various free third-party sources to publish these numbers and I […]

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Trend Following Wizards – May

June 24th, 2013 · 6 Comments · Trend Following, Trend Following Wizards

Sharp reversal in this past month of May for the Trend Following Wizards. Quite a few funds posted strong negative figures to reverse all of this year’s gains. The aggregate figure is still in the black year-to-date, standing at +1.73% but the collective figure for the month of May is sharply down at -3.52%. Please […]

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Trend Following Wizards – April 2013

June 4th, 2013 · No Comments · Trend Following, Trend Following Wizards

It’s already June and May’s already closed; but this report is for the performance of the Trend Following Wizards in April. Sorry for the confusion (and delay). Please find the full results further below. It was a good month, with the large majority posting positive monthly performances; and very similar for the YTD situation. May […]

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Trend Following Wizards – March

April 22nd, 2013 · 2 Comments · Trend Following, Trend Following Wizards

A very decent month for the Wizards: Only 6 negative returns with only one at less than -1%. The rest of the group posted positive results up to +3.22% for an average of 1.36% for the month of March. Only a handful of managers are in the red so far in 2013. Please find the […]

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Trend Following Wizards – February

March 20th, 2013 · 1 Comment · Trend Following, Trend Following Wizards

Unfortunately, this month’s (negative) results are overshadowed by the sad news of Liz Cheval’s recent passing. A former turtle trader, she had a very successful trading career with an extraordinary performance track record. While I did not know Liz Cheval personally, I had the chance to communicate with her via email and this was enough […]

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Trend Following Wizards – beginning of 2013

February 28th, 2013 · 2 Comments · Trend Following, Trend Following Wizards

Apologies for the later-than-usual timing of this report. A busy schedule with lot of traveling and other projects have forced me to delay this until now. Here it is, and we can see that the Wizards are having a good start of the year with mostly positive performance. A nice change from 2012 – for […]

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Trend Following Wizards – Close of 2012

January 16th, 2013 · 7 Comments · Trend Following, Trend Following Wizards

To avoid a negative 2012 year, it would have taken the trend following Wizards a “December home-run” (or rather – from the cricket equivalent – “hitting for six“; quite litteraly as six is amount of percentage points by which the virtual index is in the red). Instead the performance for the last month of the […]

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