Fund Performance Report – 31 October 2018 – “Yowzer…….we just got dumped”

October 2018 has tested the resolve of trend followers where we have suffered a similar fate to February 2018 and have witnessed a fairly nasty whipsaw in Energy, Fixed Income and Equity markets. Given that we had just caught the waves of September’s volatility surge….all our hopes for the emergence of some good enduring swells in our direction  were shattered as mean reversion started to enter the mix as markets rebounded sharply from their maximum adverse excursions resulting in some crazy double-up formations and some spectacular wipe-outs.

Smoother than the Sum of its Parts – An Approach to Portfolio Optimization

In a previous post “Don’t be fooled by Randomness”, we discussed how the central feature of a modern efficient market is the dominance of random price action (or noise). To explain how this noise is manifested, think of the behaviour of the traders, institutions and investors who interact with the market. The participants span the spectrum of timescales from the intraday traders and High Frequency Traders (HFT) that interact with the market on the very short timescale to the very long term position traders who interact with the market on a far more selective and infrequent basis. Each of the different participant behavioural groupings vary in the outcomes they are seeking from their interactions with the market including their timing and position sizing. Putting this all together as a collective image over time, we can imagine the maelstrom of interactions and the intractable nature of predicting future price action with fidelity.

Fund Performance Report – 30 September 2018 – “The Swells are Building”

September 2018 saw the re-emergence of volatility in the equity markets with an ensuing decline in the S&P 500 TR Index (includes dividends) of  6.83% for the month. Does this small blip in an otherwise linear ascent in the Index since January 2009 signal further volatility ahead….or like February 2018, will we see a return to the progressive surge of the Index to new highs?