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

State of Trend Following in January

February 3rd, 2016 · No Comments · the State of Trend Following, Trend Following

  Strong start of the year for the State of Trend Following index, nearly closing the month with double-digit gains. Please check below for more details.

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Trend Following Wizards – December

January 29th, 2016 · No Comments · Trend Following, Trend Following Wizards

Negative 2015 year for our Trend Following Wizards collective. The month of December tipped the index in the red, as well as 5 wizards being in double-digit losses for the year. Full results below:

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State of Trend Following in December

January 4th, 2016 · No Comments · the State of Trend Following, Trend Following

  Happy New Year 2016! We start with this first State of Trend Following report to see that December closed down, with the index slightly positive for the year. 2015 was up-and-down. What will 2016 bring? Please check below for full results.

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Trend Following Wizards in November 2015

December 17th, 2015 · No Comments · Trend Following, Trend Following Wizards

The Trend Following Wizards had a good month of November. Just short of lifting the index in the black for the Year-To-Date performance though. The few funds in negative double-digit territory (two around -20%) are surely weighing down on the overall result. Please see the full results below:

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State of Trend Following in November

December 3rd, 2015 · 1 Comment · the State of Trend Following, Trend Following

  Last month’s results for trend following were positive, with a strong performance that took the index back into positive territory for the year. The strategy goes into the last month of the year holding modest gains but 2015 will obviously not be a repeat of the runaway performance from last year. Please check below […]

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Trend Following Wizards – October 2015

November 16th, 2015 · 1 Comment · Trend Following, Trend Following Wizards

Red October again this year for the Wizards and their trend following strategy. All but one of the funds/CTAs tracked here posted negative returns for last month, with a few YTD numbers well in double-digit negative territory. Both the collective monthly and YTD performance are around the -3% mark. Below are the full results as […]

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State of Trend Following in October

November 2nd, 2015 · No Comments · the State of Trend Following, Trend Following

  The State of Trend Following index posted a strong negative return in October. Enough to take the YTD performance in the red, with another volatile oscillation around the neutral line for 2015. Please check below for more details.

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Trend Following Wizards – September

October 22nd, 2015 · No Comments · Trend Following, Trend Following Wizards

A near-perfect month for the Wizards. Only one fund is down in September and the collective average performance is +2.52%, taking the index close to break-even for 2015 with the YTD number at -0.55%. See detailed results below

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State of Trend Following in September: it was a Good Summer

October 6th, 2015 · No Comments · the State of Trend Following, Trend Following

  The index had a strong September, continuing the “Summer uptrend” started in mid-July. This has now resulted in the YTD performance returning to positive territory, after the “Spring slump” took the index from the “Winter highs” to negative performance. Let’s see what Autumn (or Fall depending on where you live) has in store… Please […]

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Trend Following Wizards – August

September 30th, 2015 · No Comments · Trend Following, Trend Following Wizards

The August numbers for the Wizards are negative and late for August. I was waiting for one of my source websites to update a couple of funds, but the data is still not out. This would most likely not have changed the overall trend, which was quite clearly negative in August. A few funds managed […]

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State of Trend Following in August

September 8th, 2015 · No Comments · the State of Trend Following, Trend Following

  A positive return for the State of Trend Following index, bringing the YTD performance nearly exactly on neutral level. The big spike up seen in the last part of the month, which brought the index close to +10%, was short-lived. The index quickly reverted it with a quick spike down. Please check below for […]

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Trend Following Wizards – July 2015

August 25th, 2015 · No Comments · Trend Following, Trend Following Wizards

A strong up month for the Trend Following Wizards, which would take the aggregate performance just above break-even for the year if it was not for a strong down performer. Check the detailed results below.

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State of Trend Following in July: UP

August 18th, 2015 · No Comments · the State of Trend Following, Trend Following

  July saw a bounce back up in the index after several months of downwards action. The YTD performance is still negative though. Please check below for more details.

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Trend Following Wizards – June ’15

July 20th, 2015 · No Comments · Trend Following, Trend Following Wizards

Big negative month for the Trend Following Wizards who posted a collective performance of -4.7%. The performance is now negative for 2015, at -3.85%. Please see full results below:

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State of Trend Following in June

July 3rd, 2015 · No Comments · the State of Trend Following, Trend Following

  Another down month for the State of Trend Following index. After a fairly good start to the year – until mid-March where the index registered its high for the year – the trend has been fairly clearly down. Possibly a drawdown phase following the very strong performance from 2014 and beginning 2015. Please check […]

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Trend Following Wizards – May

June 16th, 2015 · No Comments · Trend Following, Trend Following Wizards

Mixed results, slightly negative for the month but slightly positive for the year. This is, in a nutshell, the summary for the Wizards as of end of May. Detailed results below:

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State of Trend Following in May

June 2nd, 2015 · No Comments · the State of Trend Following, Trend Following

  Another successive down month for the index. Enough to take it into negative territory for the year. Please check below for more details.

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Trend Following Wizards – April

May 18th, 2015 · 1 Comment · Trend Following, Trend Following Wizards

Negative April across the board for all the Wizards but one. A fairly strong down month too at -4.23%, taking the YTD performance closer to neutral, but still positive at +1.33% Organisation / Fund Return YTD * AUM ** Abraham Trading1 -5.19% -0.50% $278M Altis Partners2 -3.87% 6.18% $306M Aspect Capital3 -9.69% -2.48% $4,800M Beach […]

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State of Trend Following in April

May 6th, 2015 · No Comments · the State of Trend Following, Trend Following

  A negative month in April for the State of Trend Following report, taking the performance below the break-even line for 2015. Please check below for more details.

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Trend Following Wizards in March: UP

April 22nd, 2015 · No Comments · Trend Following, Trend Following Wizards

A couple of late reporting funds this month, but here is the update for March’s Wizards performance. A fairly positive month to increase the yearly gains.

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