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Managed Futures: December Up, 2016 Down

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December saw an uptick in performance (+1.10%), but with trend following down in 2016, managed futures ended the year — unsurprisingly, given their correlation to the strategy — in negative territory. The main industry indices ended 2016 in the red (-3.54% on average), and so did the managed futures funds we track on this report, […]

A Decade of Trend Following

VolatilityCurve - decade of trend following

Last year was not a good year for trend following, with many commenting that the performance for the strategy has been declining over the last few years. We decided to look at the performance of the Wisdom State of Trend Following index on a long timeframe, to let the results speak over the long term, […]

Trend Following UP in December, Down in 2016

Wisdom State of Trend Following - December 2016

  December 2016 Trend Following: UP  +1.38%  /  2016: -18.15% December closed 2016 on a slight positive note, avoiding six straight months of negative returns for our State of Trend Following index. An inflection point was felt in the markets towards the close of the year, but this was obviously not enough to offset what has been a […]

Red November for Managed Futures

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This month’s managed futures report is overall negative with only a handful of funds we track showing positive performance for November, with the YTD performance being slightly negative too. Managed Futures Performance  

State of Trend Following Drawdown Levels Comparison

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A couple of months ago, we published a study on the performance of trend following after drawdowns, as the State of Trend Following index was hitting high levels of drawdown (about 2/3 of the historical maximum). We showed that in 80% of cases, the post-drawdown performance is positive, showing that investing in trend following strategies […]

November Fall for Trend Following

Wisdom State of Trend Following - November 2016

  November 2016 Trend Following: DOWN  -2.55%  /  YTD: -19.32% Every month of this second half of the year seems to have a recurring theme and/or unilateral direction, rendering the YTD performance quite clearly negative. November was no different and produced a variation on the same theme, as you can see below. Below is the full State of […]

Managed Futures Down in October

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A lot of red in this monthly edition of the Managed Futures Round-up. All the managers we track as part of the report posted negative performance and the list is collectively just in the red for the year too. Managed Futures Performance  

October brings another down month to Trend Following

System Attribution-12 months October 2016

  October 2016 Trend Following: DOWN  -5.79%  /  YTD: -17.21% Election year is shaping up to be a bad year for trend following. October saw the State of Trend Following index post another successive down month. The current drawdown is still within the limits of the max value from the historical back-test run, but the Year-To-Date performance is […]

Managed Futures in September

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September was a mixed month with a slight negative average for the CTAs we follow in the report, in line with the overall industry trend. The Year-to-Date remains positive for our list, substantially more than the industry indices. Please find below the results. Managed Futures Performance  

September Trend Following: Down Streak

Wisdom State of Trend Following 12 months - September 2016

  September 2016 Trend Following: DOWN  -5.13%  /  YTD: -12.37% A second successive strong down month for the State of Trend Following index, bringing the Year-To-Date performance further in the red as we enter the last quarter of the year. The current drawdown is getting closer to the max Drawdown (24% vs. 32%) which, as we highlighted last […]