“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]

Warmest regards

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).

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.

FundProgramLast monthLast 12 Mths
Millburn CorporationCommodity Program5.8%25.0%
SouthWest Managed Investments, LLCGlobal Diversified-3.6%10.6%
Millburn CorporationDiversified Program1.1%9.3%
Mondiale Asset ManagementMondiale Trading Program (2X)1.0%3.1%
Silicon Valley Quant AdvisorsUQP Small1.8%1.9%
Tactical Invest ManagementTactical Instit Commodity Prog3.8%1.8%
FORT LPFort Global Diversified1.0%1.2%
Silicon Valley Quant AdvisorsUS Quantitative Portfolio (UQP)1.6%1.1%
Quantica Capital AGQuantica Managed Futures0.1%0.0%
Parizek CapitalFutures Trading Program0.0%-0.2%
W.G. Wealth Guardian LtdSAFI2 Program0.2%-0.3%
Crabel Capital ManagementCrabel Multi-Product-2.4%-0.6%
Dreiss Research CorporationDiversified Program8.7%-0.6%
Rivercast Capital LLCRivercast Program0.1%-1.1%
Welton Investment PartnersWelton Global-1.0%-1.4%
Campbell & Company, LPCamp MF Comp (f/k/a FME Lge)1.5%-1.5%
Mark J. Walsh CompanyStandard Program-1.9%-2.0%
Estlander & PartnersAlpha Trend2.1%-2.6%
Eckhardt Trading CompanyStandard-1.2%-2.7%
FORT LPGlobal Fut Prog (Glob Div Classic)0.4%-4.5%
Eckhardt Trading CompanyEvolution 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 ManagementGlobal Program0.0%-6.2%
Drury CapitalDiversified Trend-Following Prog-1.8%-6.5%
Transtrend B.V.DTP – Enhanced Risk (EUR)1.9%-7.7%
M.S. Capital ManagementGlobal Diversified Program1.7%-8.2%
Alder Capital DACAlder Global 10-2.7%-8.5%
Chesapeake CapitalDiversified2.7%-9.8%
Alee Capital Management, LLCMistral Program-3.4%-10.2%
Aspect CapitalAspect Divers Fund – Class A (USD)4.0%-10.2%
Beach Horizon LLPManaged Account2.0%-10.4%
Superfund GroupSuperfund Green Master5.5%-10.8%
Superfund GroupSuperfund Green Q-AG2.4%-10.9%
Hamer TradingDiversified Program0.0%-11.4%
DUNN Capital ManagementWorld Monet & Agric Prog (WMA)1.6%-11.8%
SMN Invest Services GmbHsmn Diversified Futures Fund (i14)1.3%-12.1%
FTC Capital GmbHFTC Futures Fund Classic (EUR)0.0%-12.7%
Trigon Investment Advisors, LLCForeign Exchange Program0.0%-12.7%
EMC Capital Advisors, LLCClassic-0.4%-13.1%
SMN Invest Services GmbHsmn Diversified Futures Fund (1996)1.1%-14.0%
Abraham Trading CompanyDiversified Program-0.4%-16.2%
DUNN Capital ManagementD’Best Futures Fund, L.P.3.2%-18.0%
Alder Capital DACAlder Global 20-5.3%-18.5%
Quest Partners LLCAlphaQuest Original Prog (AQO)-2.5%-18.5%
Chesapeake CapitalDiversified Plus5.6%-19.3%
Mulvaney Capital ManagementThe Mulv Global Markets Prog-3.0%-21.8%
Rivoli Fund ManagementRivoli 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

Rich B

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