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

Trend Following Wizards – June 2014

July 21st, 2014 · No Comments · Trend Following, Trend Following Wizards

The Wizards index moves back into positive territory for the year, with a month of June that was positive overall – showing an average gain of +1.46% and only a handful of funds in the red. YTD performance just breaking above water at +0.41%. Please see full results below:

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State of Trend Following in June

July 2nd, 2014 · No Comments · the State of Trend Following, Trend Following

  A good month of June takes the State of Trend Following index to new highs for the year so far. With the trending activity picking up in the markets, this “breakout” could be a turning point for trend following. To be followed… Please check below for more details.

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Trend Following Wizards – May 2014

June 20th, 2014 · No Comments · Trend Following, Trend Following Wizards

A mixed bag for the Wizards last month. The index was positive overall last month but still slightly in the red for the year. Full results below: Organisation / Fund Return YTD * AUM ** Abraham Trading1 -0.34% 2.46% $160M Altis Partners2 -1.78% -10.40% $350M Aspect Capital3 2.39% -1.83% $4,824M Beach Horizon4 2.78% 5.35% $43M […]

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State of Trend Following in May 2014

June 3rd, 2014 · No Comments · the State of Trend Following, Trend Following

  A positive month for the State of Trend Following Index. The two-and-a-held percent gain in May pushes the index to +6% year-to-date. Please check below for more details.

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Trend Following Wizards – April 2014

May 21st, 2014 · No Comments · Trend Following, Trend Following Wizards

Positive month but negative year to date. In a few words, this is the status for the Trend Following Wizards four month into 2014. Please see full results below:

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State of Trend Following in April 2014

May 6th, 2014 · No Comments · the State of Trend Following, Trend Following

  A fairly flat month overall for the State of Trend Following index, with a slight positive return, both for the month and the year to date. Please check below for more details.

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Trend Following Wizards – March 2014

April 24th, 2014 · No Comments · Trend Following, Trend Following Wizards

A late report of the Trend Following Wizards performance for March shows a lot of red, both for the month and the year-to-date. Not a first good quarter for trend followers. The monthly aggregate return is -1.51% and less than a third of the Wizards are in the black for 2014, with an aggregate YTD […]

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State of Trend Following in March

April 3rd, 2014 · No Comments · the State of Trend Following, Trend Following

  Negative result for the month of March. The index stays positive over the first three months of the year. Please check below for more details.

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Trend Following Wizards – February 2014

March 18th, 2014 · No Comments · Trend Following, Trend Following Wizards

A globally positive month of February for the Wizards. Not enough to make up for the bad start in January: the YTD performance stays in the red. February average return: +1.76% YTD return: -1.61% Full results below:

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State of Trend Following in February

March 3rd, 2014 · 2 Comments · the State of Trend Following, Trend Following

  The month of February was a tale of two halves: a fairly clear leg down, followed by an even stronger leg back up. This closed the month in positive territory – the second time in as many months this year. Additionally, some markets have been showing some strong moves (coffee being the one that […]

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Trend Following Wizards: Difficult start of the year

February 21st, 2014 · No Comments · Trend Following, Trend Following Wizards

Tough start of the year for the trend following Wizards, with just two of them posting positive results.. As a result, lots of red in the table. Additions: New Wizards Thanks to all the readers who submitted suggestions for additions into the list. I added four new managers, taking the list to 30 constituents: Covenant […]

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State of Trend Following in January

February 4th, 2014 · No Comments · the State of Trend Following, Trend Following

  The slow bounce from October last year seems to continue with the index registering a small gain in January (+1.17%). Interesting to note that there was a bit less uniformity in the results of different systems/timeframes combinations, with notably the short Donchian showing strong performance. Please check below for more details.

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AuTraSy vs Wisdom States of Trend Following

January 30th, 2014 · 4 Comments · the State of Trend Following, Trend Following

2013′s over… Time for some reflection. Last year, I started producing the Wisdom State of Trend Following report. The concept is very similar to the State of Trend Following report, which I’ve been running on this blog for a few years: take a diversified portfolio of futures markets, and run it through a mix of […]

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Trend Following Wizards – December 2013

January 20th, 2014 · 2 Comments · Trend Following, Trend Following Wizards

We can say that 2013 was flat for our Trend Following Wizards: they closed the year by posting a minuscule collective yearly gain of +0.04% (with a December return of 0.64%). However, a closer inspection reveals a greater disparity than usual in the results. The standard deviation in the 2013 yearly performance is over 15%, […]

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Trend Following Wizards

January 20th, 2014 · 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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State of Trend Following in 2013

January 2nd, 2014 · No Comments · the State of Trend Following, Trend Following

  The year came to a close to see the State of TF index register a last “mini-rally” and finish 2013 by posting a small gain, after a roller-coaster up-and-down through the last 12 months. Interestingly, the new index I created for Wisdom Trading finished the year fairly substantially down, despite having very similar principles […]

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Trend Following Wizards – November

December 18th, 2013 · 1 Comment · Trend Following, Trend Following Wizards

November saw the Wizards post a fairly strong positive result and coming close to break-even on a Year-To-Date basis. One month left to finish the year in the black… Unfortunately, it does not look like it’s headed that way. Peeking into the “future” by checking the current value of the Newedge Trend index, which is […]

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State of Trend Following in November

December 3rd, 2013 · No Comments · the State of Trend Following, Trend Following

  The State of TF index registered a very small gain last month and (barely) comes back out into positive territory for the year. Please check below for more details.

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Trend Following Wizards – October ’13

November 18th, 2013 · No Comments · Trend Following, Trend Following Wizards

A positive October for the Trend Following Wizards. Still in the red year-to-date though. See full results below:

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State of Trend Following in October (UP at last)

November 4th, 2013 · 1 Comment · the State of Trend Following, Trend Following

  A slight positive result in October to stop the “bleeding” since the “June High” posted by the index. This renders the Year-To-Date performance only very slightly in the red. Start of a bounce or a simple “breather” on the way down..? Please check below for more details.

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