CTA Fund Performance Report – 30 June 2020 – “Are all these Apples Alike? – Dispersion Unpacked for the TF Mob”

I mentioned last week that I might investigate some of the concerns raised in recent podcasts regarding the apparent increase in the dispersion of returns in the Trend Following space.  So I played around with the concept of dispersion in relation to those Funds that are classified  as Long Term Globally Diversified Systematic Trend Following

CTA Fund Performance Report – 31 December 2019 – “We are certain about uncertainty”

Well trend followers, the 31st December 2019 brings an end to an average year and a psychologically tough decade. It is once again time to have a look at overall performance and see how we are all tracking. For the TF Global Index which comprises 35 of the top long standing global diversified trend following

CTA Fund Performance Report – 30 June 2019 – Climbing out of Drawdowns

June 2019 saw a continuation of positive performance for the CTA’s with the CTA Composite Index (60) now showing a 4.58% positive return YTD and the TF Global Index (37) reflecting a 3.94% YTD return. Will we see the protracted drawdown that has been experienced by these indexes since January 2015 vaporize, or is this just a short  term teaser before the overall markets flip back into their steady mean reverting rhythm?

CTA Fund Performance Report – 31 May 2019 – A Month of Reversals

May 2019 saw another positive performance result for the Commodity Trading Advisors as a group. This is the fourth consecutive month in a row for positive returns in the CTA Composite Index (12)….however despite the solid performance of the CTA’s as a whole, we saw a slight negative result for the Trend Following Global CTA’s.