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Tag Archives: Performance Update

May Trend Following Performance

Let me start by apologizing for the absence of posts for a while. My ‘day job’ of running our asset management shop has taken precedence in this turbulent times, along with my hobby project Next week, on Wednesday the 26th of June, I’ll be in London speaking at the Battle of the Quants. Hope to see you there. Ok, ...

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Updating ‘Following the Trend’ Core Strategy for 2012

I was recently questioned about how the strategy I present in Following the Trend did in 2012. Those who read it may recall that the analysis ends as of December 2011. It should come as no surprise that last year was bad. 2012 spelled trouble for most trend followers and most CTA hedge funds set new all time max draw ...

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Trend Followers Hit New Lows

Trend Followers In Drawdown

Is trend following dead in the water? Has the concept stopped working? Are we seeing the death of the CTA industry and a return to traditional investments? Fair questions. Let’s look closer before answering them. The industry is certainly going through a very tough period. This is the second bad year in a row and the cumulative drawdowns are adding ...

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August CTA Performance Roundup

Trend following hedge funds mostly showed small changes in August. A few however showed rather large swings. August was a month where the asset mix really mattered. I have stated before that the key factor separating these funds is asset mix. The entry and exit rules are more or less the same for all trend followers. Tweaking the details is ...

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