Au.Tra.Sy blog – Automated Trading System

Systematic Trading research and development, with a flavour of Trend Following

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Entries Tagged as 'Trend Following Wizards performance'

Trend Following Wizards – July 2010 (RED)

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

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

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Super Trend Following Index?

July 28th, 2010 · 3 Comments · Trend Following, Trend Following Wizards performance

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 sort [...]

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Trend Following Wizards – June 2010

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

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 month: [...]

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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 performance

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 in [...]

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Trend Following Wizards – April 2010

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

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 moves [...]

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

April 22nd, 2010 · 7 Comments · Fund Review, Trend Following Wizards performance

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 an [...]

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