“Day after day, day after day, We stuck, nor breath, nor motion; As idle as a painted ship Upon a painted ocean”
Dear [Insert investor name here]
February managed to claw back some of the losses incurred from the prior difficult month of whipsaws. I understand your frustration with our investment performance but would like to highlight the reasons we adopt this style of trading.
[Insert standard response to the impacts of strategy hopping];
[Insert standard response to why trend following is counter-intuitive in nature so requires discipline and patience];
[Insert standard response for the need to think long term and the need to trust the long term data and swag of research that highlights the efficacy of the approach]
[Insert the standard response that with this investment style drawdowns are a fact of life and a necessity to ensure persistent arbitrage with this method]
Samuel Taylor Coleridge
………Ok…..so you get the idea. Are these enduring waits for market divergence painful?…..sure they are…..but welcome to the world of systematic diversified trend following….but we all know this right…….right……RIGHT!!!!
I had a thought the other day about how to systemise this monthly reporting to make the recurrent speel to those with concerns about the method easier and less draining.
What do you think……but with a slight twist?
February 2018 brought slight relief to the Trend Following Index as a whole with a slight lift of 0.76%. Of course we don’t take notice of the S&P500 TR Index which increased 1.46% for the month…..*throws duster at sniggering student at back of class*….”Do we Higgonbottom”?
For an overview of what moved and what didn’t for the month in this investment space, I defer to the following excellent resources of Niels Kaastrup-Larsen of ‘Top Traders Unplugged’ and (Dunn Capital Management).
- Market Trends for February 2019
- The Systematic Investor Series – February 4th, 2019
- The Systematic Investor Series – February 11th, 2019
- The Systematic Investor Series – February 18th, 2019
- The Systematic Investor Series ft Meb Faber – February 24th, 2019
- The Systematic Investor Series – March 3rd, 2019
Individual Fund Performance
Below are the individual performance results of the programs that comprise the TF Index ranked from highest 12 monthly performance to lowest. Now it is important to note that some of the Funds represented in this Index would not be regarded by many as ‘traditional’ systematic diversified trend following programs…..so I understand that some might query the selection.
I have based my representative index on those FM’s who practice divergent styles surrounding the capturing of trends and momentum in price based on underlying information provided by IASG. I use these performance results for my own personal bench-marking based on the methods I deploy, so the composition may differ from those who choose more traditional descriptive categorizations.
|Fund||Program||Last month||Last 12 Mths|
|Millburn Corporation||Commodity Program||5.8%||25.0%|
|SouthWest Managed Investments, LLC||Global Diversified||-3.6%||10.6%|
|Millburn Corporation||Diversified Program||1.1%||9.3%|
|Mondiale Asset Management||Mondiale Trading Program (2X)||1.0%||3.1%|
|Silicon Valley Quant Advisors||UQP Small||1.8%||1.9%|
|Tactical Invest Management||Tactical Instit Commodity Prog||3.8%||1.8%|
|FORT LP||Fort Global Diversified||1.0%||1.2%|
|Silicon Valley Quant Advisors||US Quantitative Portfolio (UQP)||1.6%||1.1%|
|Quantica Capital AG||Quantica Managed Futures||0.1%||0.0%|
|Parizek Capital||Futures Trading Program||0.0%||-0.2%|
|W.G. Wealth Guardian Ltd||SAFI2 Program||0.2%||-0.3%|
|Crabel Capital Management||Crabel Multi-Product||-2.4%||-0.6%|
|Dreiss Research Corporation||Diversified Program||8.7%||-0.6%|
|Rivercast Capital LLC||Rivercast Program||0.1%||-1.1%|
|Welton Investment Partners||Welton Global||-1.0%||-1.4%|
|Campbell & Company, LP||Camp MF Comp (f/k/a FME Lge)||1.5%||-1.5%|
|Mark J. Walsh Company||Standard Program||-1.9%||-2.0%|
|Estlander & Partners||Alpha Trend||2.1%||-2.6%|
|Eckhardt Trading Company||Standard||-1.2%||-2.7%|
|FORT LP||Global Fut Prog (Glob Div Classic)||0.4%||-4.5%|
|Eckhardt Trading Company||Evolution Strategies 1.2X||-1.5%||-4.7%|
|Transtrend B.V.||DTP – Enhanced Risk (USD)||2.2%||-5.8%|
|Transtrend B.V.||DTP – Standard Risk (EUR)||1.1%||-5.9%|
|Blackwater Capital Management||Global Program||0.0%||-6.2%|
|Drury Capital||Diversified Trend-Following Prog||-1.8%||-6.5%|
|Transtrend B.V.||DTP – Enhanced Risk (EUR)||1.9%||-7.7%|
|M.S. Capital Management||Global Diversified Program||1.7%||-8.2%|
|Alder Capital DAC||Alder Global 10||-2.7%||-8.5%|
|Alee Capital Management, LLC||Mistral Program||-3.4%||-10.2%|
|Aspect Capital||Aspect Divers Fund – Class A (USD)||4.0%||-10.2%|
|Beach Horizon LLP||Managed Account||2.0%||-10.4%|
|Superfund Group||Superfund Green Master||5.5%||-10.8%|
|Superfund Group||Superfund Green Q-AG||2.4%||-10.9%|
|Hamer Trading||Diversified Program||0.0%||-11.4%|
|DUNN Capital Management||World Monet & Agric Prog (WMA)||1.6%||-11.8%|
|SMN Invest Services GmbHsmn||Diversified Futures Fund (i14)||1.3%||-12.1%|
|FTC Capital GmbH||FTC Futures Fund Classic (EUR)||0.0%||-12.7%|
|Trigon Investment Advisors, LLC||Foreign Exchange Program||0.0%||-12.7%|
|EMC Capital Advisors, LLC||Classic||-0.4%||-13.1%|
|SMN Invest Services GmbHsmn||Diversified Futures Fund (1996)||1.1%||-14.0%|
|Abraham Trading Company||Diversified Program||-0.4%||-16.2%|
|DUNN Capital Management||D’Best Futures Fund, L.P.||3.2%||-18.0%|
|Alder Capital DAC||Alder Global 20||-5.3%||-18.5%|
|Quest Partners LLC||AlphaQuest Original Prog (AQO)||-2.5%||-18.5%|
|Chesapeake Capital||Diversified Plus||5.6%||-19.3%|
|Mulvaney Capital Management||The Mulv Global Markets Prog||-3.0%||-21.8%|
|Rivoli Fund Management||Rivoli International Fund (MAP)||-1.8%||-23.2%|
Top 10 by by CAGR since 1 January 2000
Below is a top ten performance table and an equal weighted performance chart of the ranked top 10 performers of our program listing in terms of annualised returns to investors (net of all fees and expenses) since 1st January 2000 or since their inception if beyond this commencement point.
Here is a scatter plot that highlights where the top 10 sit in terms of their Compound Annual Growth rate (CAGR) and Maximum Drawdown over the performance monitoring period.
Below are the performance metrics of the Top 3 from this Top 10 list by CAGR.
Top 10 by Risk Adjusted Return (using the MAR ratio) since 1 January 2000
Now onto the risk adjusted return category. This category is for those that get ulcers when riding the drawdowns of volatile equity curves. Here are the results of the Top 10 in this category.
….and the top 3 from this Top 10 category.
Top 10 for the last 12 months
So how are the guys going in the short term? You may have been under the impression that trend following was dead. Well it pays to go to the source and not the assumption, as the style drift in the trend following camp is sufficient for there to exist strong performance results within this Index grouping.
….and the top 3 from this Top 10 category.
Well that’s a wrap for the month. If you feel that this sounds like a broken record….if you feel this sounds like a broken record……… if you feel this sounds like a broken record……..
if you feel this sounds like a broken record …………ooooops
Trade well and prosper