Here is another Trend Following Wizard report, which comes with some volatility again – mostly on the down side.
The average return for September is -1.31%, with the YTD reading about equal at -1.54%.
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:
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