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

Trend Following Wizards in September 2010

October 18th, 2010 · 2 Comments · Trend Following, Trend Following Wizards

Another good month for the Trend Following Wizards with mostly positive performances and an average monthly performance of +4.39%. The average YTD gain is now 6.48%, and a wizard is standing out with +43.70% so far, at the back of a few strong months. Note that I have added a new Wizard to this list: [...]

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Trend Following Wizards – August 2010

September 13th, 2010 · 3 Comments · Trend Following, Trend Following Wizards

Except for a “tiny speck of red” (BlueTrend with -0.01%!), August was unambiguously in the black for all Trend Following Wizards. This is in line with the State of Trend Following report from earlier this month, which showed a monthly performance of just over 8%. This month’s average performance for the wizards is 5.71% (after [...]

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Trend Following Wizards – July 2010 (RED)

August 16th, 2010 · No Comments · Trend Following, Trend Following Wizards

Negative pretty much across the board for the Trend Following Wizards in July, with an average monthly return of -1.55%, pushing a bit further in the red the average YTD return, at -2.90%. Please find below all individual results for July 2010: Organisation / Fund Return YTD * AUM ** Abraham Trading1 -1.95% -9.61% $457M [...]

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Super Trend Following Index?

July 28th, 2010 · 8 Comments · Trend Following, Trend Following Wizards

I am firm believer in diversification, and so are most of the Trend Following Wizards tracked on the AuTraSy blog. How about applying diversification to the Trend Following Wizard funds themselves? Instead of trying to see which funds performed best (as I did previously with the Geometric Information Ratio ranking), I wanted to see what [...]

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Trend Following Wizards – June 2010

July 21st, 2010 · 2 Comments · Trend Following, Trend Following Wizards

June was a bit of a mixed bag in terms of performance for Trend Following Wizards. The average monthly return is 0.29%, taking the average YTD figure to -1.48%, with a few Wizards being in the double-digit figures on both ends of the scale. Note that three major players were added to the report this [...]

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Trend Following Wizards: negative month (May), 2010 now in the red…

June 16th, 2010 · 5 Comments · Trend Following, Trend Following Wizards

Not as volatile as some might have expected, the performances of the Trend Following Wizards are fairly heterogenous but mostly on the negative side with an average return of -3.99% and a couple of double-digit losses. This brings the average Year-To-Date to -0.66%. This contrasts with the +35% result found in some of the strategies [...]

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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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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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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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