The performance for December was virtually nil, leaving the composite index at -7.5% for the year. Apart from a handful of managers, most funds were in the red for 2011.

Interestingly, the funds “jockeying” for top position have quite different profiles, between “old-school” Dunn Capital, “new generation, sophisticated” Winton Capital and former Turtle Saxon Investment, who stopped trading in the last few months.

Please find below the full results:

Notes

 
 
These are top of the range CTAs/Managed Futures funds in the Trend Following space.
Most of the traders behind these funds have been involved in the Turtle Trading experiment (2 excellent books on this topic: Complete Turtle Trader – featuring the actual turtle rules and The Way of the Turtle), featured in the legendary books by Jack Schwager: Market Wizards and New Market Wizards, or in Michael Covel’s dedicated Trend Following book.
 
 
 
 

Happy New Year to all readers of the blog! May 2012 bring you success and happiness in your trading (and other) endeavours.

Looking back at the year just past, performance was just “not there” for Trend Following in general in 2011. A minor gain in December for the State of Trend Following index did not manage to lift the index from the lows it was experiencing since October. Ultimately, the volatility experienced all year weighed down the index to push it in the red.

It was probably a case of good bet/losing year; and hopefully 2012 marks a return to rewarding the “good bets” we place in the markets.

Without further ado, please check below for more details.

Detailed Results

The figures for the month are:
December return: +0.68%
YTD return: -15.58%

Below is the chart displaying individual system results throughout December:
 

 
And in tabular format:
 

Composite Index for 2011

Below is the performance of the average of all system/timeframe combinations used in the report for the year 2011:
 

Volatile… And trending towards the negative side.

Appendix: System Details

System Rules and Parameters

All the systems were tested with the same simple position sizing rules of 1% per new trade. No other Money/Risk Management rules were used. No trade friction (slippage or commission) was applied. No return on margin is added to the system performance

The system rules are detailed on the Trading Blox online documentation.
The MA Crossover system was used with moving average pairs of 10-20, 20-50 and 50-200 days. The stops/position sizes are set at 2x, 3x and 5x ATR respectively.
The Bollinger Band system is the classic use of the Bollinger Bands with entries taking place at Breakouts. The parameters used were 20, 50 and 200 days with 2 standard deviations.
The Triple moving Average system was used with moving average triplets of 10-20-50, 20-50-200 and 50-200-800 days. The stops/position sizes are set at 2x, 3x and 5x ATR respectively.
The Donchian System is a simple version (with no Trade Direction filter) with channel lengths of 20, 50 and 200 days for entries (and 10, 25, 100 for exit). The stops/position sizes are set at 2x, 3x and 5x ATR respectively.

Portfolio Instruments

Covering over 50 instruments across Equities, Interest Rates, Currencies, Agriculturals, Metals and Energies, from around the world, the portfolio contains the following futures (CSI Symbols): AD, BP, C, CC, CD, CFC, CL2, CT, CU, EBL, EBM, EBS, ED, EOX, ESM, FC, FEI, FFI, GC, HG, ICL, IND, JK2, JP2, JP6, JR2, JRB, JTI, JY, KC, KPO, KTB, LC, LGO, LH, MFX, MP, NG2, RA, RS, S, SB, SF, SI, STW, SXE, TRY, US, W, YM, YTC .
Click here for a tabular view with description and exchange information.

Result Normalization

The system performances are adjusted for volatility to normalize the results. See why and how here.

November was marginally positive, leaving the YTD result well anchored in negative territory. Please find the detailed results below:

Notes

 
 
These are top of the range CTAs/Managed Futures funds in the Trend Following space.
Most of the traders behind these funds have been involved in the Turtle Trading experiment (2 excellent books on this topic: Complete Turtle Trader – featuring the actual turtle rules and The Way of the Turtle), featured in the legendary books by Jack Schwager: Market Wizards and New Market Wizards, or in Michael Covel’s dedicated Trend Following book.
 
 
 
 

Please check below for more details:

Detailed Results

The figures for the month are:
November return: +3.25%
YTD return: -16.66%
 

 

Composite Index for 2011

Below is the performance of the average of all system/timeframe combinations used in the report for the year 2011:
 

Not a great picture…

Appendix: System Details

System Rules and Parameters

All the systems were tested with the same simple position sizing rules of 1% per new trade. No other Money/Risk Management rules were used. No trade friction (slippage or commission) was applied. No return on margin is added to the system performance

The system rules are detailed on the Trading Blox online documentation.
The MA Crossover system was used with moving average pairs of 10-20, 20-50 and 50-200 days. The stops/position sizes are set at 2x, 3x and 5x ATR respectively.
The Bollinger Band system is the classic use of the Bollinger Bands with entries taking place at Breakouts. The parameters used were 20, 50 and 200 days with 2 standard deviations.
The Triple moving Average system was used with moving average triplets of 10-20-50, 20-50-200 and 50-200-800 days. The stops/position sizes are set at 2x, 3x and 5x ATR respectively.
The Donchian System is a simple version (with no Trade Direction filter) with channel lengths of 20, 50 and 200 days for entries (and 10, 25, 100 for exit). The stops/position sizes are set at 2x, 3x and 5x ATR respectively.

Portfolio Instruments

Covering over 50 instruments across Equities, Interest Rates, Currencies, Agriculturals, Metals and Energies, from around the world, the portfolio contains the following futures (CSI Symbols): AD, BP, C, CC, CD, CFC, CL2, CT, CU, EBL, EBM, EBS, ED, EOX, ESM, FC, FEI, FFI, GC, HG, ICL, IND, JK2, JP2, JP6, JR2, JRB, JTI, JY, KC, KPO, KTB, LC, LGO, LH, MFX, MP, NG2, RA, RS, S, SB, SF, SI, STW, SXE, TRY, US, W, YM, YTC .
Click here for a tabular view with description and exchange information.

Result Normalization

The system performances are adjusted for volatility to normalize the results. See why and how here.

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 Followers this year. Since the month of May, five out of the last six have been losing months.

We are now past Halloween (and St Leger Stakes) — does this mean that the next 6 months will provide nice trending markets for the Wizards? Only time will tell.

Please find the results as of end October 2011 below:

Organisation / Fund	Return	YTD *	AUM **
Abraham Trading1	-3.70%	-6.76%	$544M
Acorn Global Inv.2	-5.75%	-5.02%	$26M
Altis Partners3	-4.60%	-29.19%	$1,375M
Aspect Capital4	N/A	N/A	N/A
Auspice Capital5	-3.82%	-1.28%	$26M
Beach Horizon6	-6.54%	-4.47%	$757M
BlueTrend7	-7.25%	-3.54%	$13,412M
Campbell & Company8	-4.75%	-6.79%	$379M
Chesapeake Capital9	-1.61%	-17.28%	$749M
Clarke Capital10	-16.00%	-7.58%	$32M
Drury Capital11	-8.98%	-19.18%	$370M
Dunn Capital12	-9.00%	-0.20%	$312M
Eckhardt Trading13	-3.85%	-13.41%	$505M
EMC Capital14	-8.90%	-11.21%	$152M
Hawksbill Capital15	-10.18%	-2.29%	$79M
Hyman Beck & Co.16	-12.44%	-13.23%	$443M
JWH & Co.17	-11.99%	-10.31%	$133M
Man AHL Diversified18	-6.60%	-8.20%	$1,002M
Mark J. Walsh & Co.19	-8.46%	-4.60%	$111M
Millburn Ridgefield20	-3.06%	-6.77%	$1,031M
Rabar Market Research21	-4.01%	-8.26%	$249M
Saxon Investment22	0.00%	6.19%	$169M
Sunrise Capital23	-6.84%	-1.15%	$481M
Superfund24	-7.30%	-6.14%	$133M
Tactical Investment Mgt25	-10.43%	-22.25%	$96M
Transtrend26	-2.11%	-10.50%	$6,784M
Winton Capital27	-2.60%	3.56%	$25,830M
Averages	-6.57%	-8.07%

Notes

 
 
These are top of the range CTAs/Managed Futures funds in the Trend Following space.
Most of the traders behind these funds have been involved in the Turtle Trading experiment (2 excellent books on this topic: Complete Turtle Trader – featuring the actual turtle rules and The Way of the Turtle), featured in the legendary books by Jack Schwager: Market Wizards and New Market Wizards, or in Michael Covel’s dedicated Trend Following book.
 
 
 
 

Please check below for more details:

Detailed Results

The figures for the month are:
October return: -24.06%
YTD return: -19.57%

Composite Index for 2011

Below is the performance of the average of all system/timeframe combinations used in the report for the year 2011:
 

Back at the bottom of the chart.

Appendix: System Details

System Rules and Parameters

All the systems were tested with the same simple position sizing rules of 1% per new trade. No other Money/Risk Management rules were used. No trade friction (slippage or commission) was applied. No return on margin is added to the system performance

The system rules are detailed on the Trading Blox online documentation.
The MA Crossover system was used with moving average pairs of 10-20, 20-50 and 50-200 days. The stops/position sizes are set at 2x, 3x and 5x ATR respectively.
The Bollinger Band system is the classic use of the Bollinger Bands with entries taking place at Breakouts. The parameters used were 20, 50 and 200 days with 2 standard deviations.
The Triple moving Average system was used with moving average triplets of 10-20-50, 20-50-200 and 50-200-800 days. The stops/position sizes are set at 2x, 3x and 5x ATR respectively.
The Donchian System is a simple version (with no Trade Direction filter) with channel lengths of 20, 50 and 200 days for entries (and 10, 25, 100 for exit). The stops/position sizes are set at 2x, 3x and 5x ATR respectively.

Portfolio Instruments

Covering over 50 instruments across Equities, Interest Rates, Currencies, Agriculturals, Metals and Energies, from around the world, the portfolio contains the following futures (CSI Symbols): AD, BP, C, CC, CD, CFC, CL2, CT, CU, EBL, EBM, EBS, ED, EOX, ESM, FC, FEI, FFI, GC, HG, ICL, IND, JK2, JP2, JP6, JR2, JRB, JTI, JY, KC, KPO, KTB, LC, LGO, LH, MFX, MP, NG2, RA, RS, S, SB, SF, SI, STW, SXE, TRY, US, W, YM, YTC .
Click here for a tabular view with description and exchange information.

Result Normalization

The system performances are adjusted for volatility to normalize the results. See why and how here.

Unlike in 2008, Trend Following Wizards did not seem to be able to capitalize on the “crisis mode” seen in the markets in the last quarter, which was quite reminiscent of the worst periods of the credit crunch or GFC (Global Financial Crisis). Indeed, hedge funds reportedly just had one of their worst quarters on record and the Wizards did not seem to buck the trend as much as they did three years ago.

I have also changed a few minor things in the report this month.
Mainly, the Trend Following Wizards welcome two new additions – from Canada – this month: Auspice Capital and Acorn Global Investments.
I have also updated a couple of Wizards with the actual program being tracked, mostly to reflect program termination (JWH’s historical Financials and Metals portfolio does not seem to get updated any more for instance), or for re-aligning to the “main” program for the CTA (as per AUM). Details of all programs tracked can be found in the (updated) footnotes.

Finally, I realise that this blog has been on the “quiet side” lately, staying updated mostly with these monthly reports (TF Wizards and State of TF). This is mostly due to being busy on other projects and a general re-organisation on my side. I intend to get back to more regular posting at some point in the near-future.

In the mean time I leave you with this Managed Futures can save your tail article (rather topical), linked to from new Wizard Auspice’s September commentary letter.

Below are the full results for the Wizards as of September 2011:

Notes

 
 
These are top of the range CTAs/Managed Futures funds in the Trend Following space.
Most of the traders behind these funds have been involved in the Turtle Trading experiment (2 excellent books on this topic: Complete Turtle Trader – featuring the actual turtle rules and The Way of the Turtle), featured in the legendary books by Jack Schwager: Market Wizards and New Market Wizards, or in Michael Covel’s dedicated Trend Following book.
 
 
 
 

Detailed Results

The figures for the month are:
September return: +16.11%
YTD return: +5.86%

Composite Index for 2011

Below is the performance of the average of all system/timeframe combinations used in the report for the year 2011:
 

After some wilder deviations, the index seems to oscillate around the 100 mark for the last two months.

Appendix: System Details

System Rules and Parameters

All the systems were tested with the same simple position sizing rules of 1% per new trade. No other Money/Risk Management rules were used. No trade friction (slippage or commission) was applied. No return on margin is added to the system performance

The system rules are detailed on the Trading Blox online documentation.
The MA Crossover system was used with moving average pairs of 10-20, 20-50 and 50-200 days. The stops/position sizes are set at 2x, 3x and 5x ATR respectively.
The Bollinger Band system is the classic use of the Bollinger Bands with entries taking place at Breakouts. The parameters used were 20, 50 and 200 days with 2 standard deviations.
The Triple moving Average system was used with moving average triplets of 10-20-50, 20-50-200 and 50-200-800 days. The stops/position sizes are set at 2x, 3x and 5x ATR respectively.
The Donchian System is a simple version (with no Trade Direction filter) with channel lengths of 20, 50 and 200 days for entries (and 10, 25, 100 for exit). The stops/position sizes are set at 2x, 3x and 5x ATR respectively.

Portfolio Instruments

Covering over 50 instruments across Equities, Interest Rates, Currencies, Agriculturals, Metals and Energies, from around the world, the portfolio contains the following futures (CSI Symbols): AD, BP, C, CC, CD, CFC, CL2, CT, CU, EBL, EBM, EBS, ED, EOX, ESM, FC, FEI, FFI, GC, HG, ICL, IND, JK2, JP2, JP6, JR2, JRB, JTI, JY, KC, KPO, KTB, LC, LGO, LH, MFX, MP, NG2, RA, RS, S, SB, SF, SI, STW, SXE, TRY, US, W, YM, YTC .
Click here for a tabular view with description and exchange information.

Result Normalization

The system performances are adjusted for volatility to normalize the results. See why and how here.

The rest of the pack shows varying levels of performance in what was a volatile month.

Please find below the individual results for August 2011, showing a slight negative trend collectively, both for the year and the month:

Notes

 
 
These are top of the range CTAs/Managed Futures funds in the Trend Following space.
Most of the traders behind these funds have been involved in the Turtle Trading experiment (2 excellent books on this topic: Complete Turtle Trader – featuring the actual turtle rules and The Way of the Turtle), featured in the legendary books by Jack Schwager: Market Wizards and New Market Wizards, or in Michael Covel’s dedicated Trend Following book.
 
 
 
 

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: +13.46%
YTD return: -6.71%

Despite a strong month, the report is still in the red for the year. Below are the more details results:

Detailed Results

There is some very strong volatility from several systems – I will probably run a check on leverage levels at the end of the year to readjust them if needed (although the goal with this index is not to derive an absolute figure but rather get a feel for the general direction and relative volatility of a diversified trend following strategy).

And in tabular format, showing the normalized returns for each strategy and the composite index, as well as the YTD figures:

Composite Index for 2011

Below is the performance of the average of all system/timeframe combinations used in the report for the year 2011:
 

Still under-water, but a nice bounce from the lows experienced in July.

Appendix: System Details

System Rules and Parameters

All the systems were tested with the same simple position sizing rules of 1% per new trade. No other Money/Risk Management rules were used. No trade friction (slippage or commission) was applied. No return on margin is added to the system performance

The system rules are detailed on the Trading Blox online documentation.
The MA Crossover system was used with moving average pairs of 10-20, 20-50 and 50-200 days. The stops/position sizes are set at 2x, 3x and 5x ATR respectively.
The Bollinger Band system is the classic use of the Bollinger Bands with entries taking place at Breakouts. The parameters used were 20, 50 and 200 days with 2 standard deviations.
The Triple moving Average system was used with moving average triplets of 10-20-50, 20-50-200 and 50-200-800 days. The stops/position sizes are set at 2x, 3x and 5x ATR respectively.
The Donchian System is a simple version (with no Trade Direction filter) with channel lengths of 20, 50 and 200 days for entries (and 10, 25, 100 for exit). The stops/position sizes are set at 2x, 3x and 5x ATR respectively.

Portfolio Instruments

Covering over 50 instruments across Equities, Interest Rates, Currencies, Agriculturals, Metals and Energies, from around the world, the portfolio contains the following futures (CSI Symbols): AD, BP, C, CC, CD, CFC, CL2, CT, CU, EBL, EBM, EBS, ED, EOX, ESM, FC, FEI, FFI, GC, HG, ICL, IND, JK2, JP2, JP6, JR2, JRB, JTI, JY, KC, KPO, KTB, LC, LGO, LH, MFX, MP, NG2, RA, RS, S, SB, SF, SI, STW, SXE, TRY, US, W, YM, YTC .
Click here for a tabular view with description and exchange information.

Result Normalization

The system performances are adjusted for volatility to normalize the results. See why and how here.