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March 2017 Trend Following down


  March 2017 Trend Following: DOWN  -6.56%  /  YTD: -10.95% More of the same for the State of Trend Following in March. The index continues its downward progress and established a new Max Drawdown figure last month. Below is the full State of Trend Following report as of last month. Performance is hypothetical.Chart for March:   And the […]

Trend Following: Negative February


  February 2017 Trend Following: DOWN  -1.96%  /  YTD: -4.73% February was a continuation of the negative start of the year for trend following, with our Wisdom index returning a negative performance. Below is the full State of Trend Following report as of last month. Performance is hypothetical.Chart for February:   And the 12-month chart:

Trend Following starts 2017 with negative January


  January 2017 Trend Following: DOWN  -2.84% If December bucked the trend of the last 6 months, January was a continuation of the downward direction seen in the second half of 2016. The index starts 2017 with a negative performance, in the context of global uncertainty, and keeps flirting with the maximum drawdown level. But you […]

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 […]

State of Trend Following Drawdown Levels Comparison


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 […]

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 […]

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 […]

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 […]