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Managed Futures Down in October


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


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 […]

August Fall for Trend Following


All indices and funds, except one, had negative performance last month, with a relatively poor average return. The performance for the year is still in positive territory. Managed Futures Performance  

Trend Following after Drawdowns


Historical Performance of Trend Following Post-Drawdown August marked a local low for our Trend Following index, reaching about two thirds of the max historical drawdown. We were commenting on the fact that, historically, drawdowns have typically proved a good time to invest or start trading a trend following strategy. This prompted us to run a […]

August fall for Trend Following

Wisdom State of Trend Following 12 months - August 2016

  August 2016 Trend Following: DOWN  -7.32%  /  YTD: -7.95% August was mostly one-sided, sliding down to a strong negative performance, and taking with it the Year-To-Date performance to a similar level. Interesting to note the shorter timeframes weighing on the index while the longer timeframes are still positive/neutral on a 12-month horizon (we do offer trading systems […]

July adds to yearly gains for Managed Futures


A moderate up-month in July for the collective list of managed futures we track on this website, helping the Year-to-Date performance stay in the black. Managed Futures Performance  

Flat and Slightly Down for Trend Following in July

Wisdom State of Trend Following 12 months - July 2016

  July 2016 Trend Following: UP  -1.34%  /  YTD: -0.92% Not much volatility for the index in the month of July. It started around +1% and finished around -1% with little amplitude in the middle. The YTD just turned slightly negative. Below is the full State of Trend Following report as of last month. Performance is hypothetical.Chart for […]

Managed Futures bounce back in June

Strong month for managed futures in June, with all the funds we track in this report managing a positive performance, with an overall strong average return for the month, that keeps the YTD return positive. Managed Futures Performance