Trend Following Performance Report - August 2016
Overall performance - Trend Following (TF) Index
Damn that S&P500 TR Index. It is making a mockery of us trend followers. Since Jan 2016 we have seen the index rise 14.29%. Compounding the problem is the viscious mean reverting markets spurred on by central bank intervention and those nasty little HFT's. If you are sufferring the trend following blues.....then just think of the potential chaos ahead as interest rates rise......bwahahahahahah.
Fund Performance Table
The following table says it all. Look at collumn P which is the results for the month of August 2016. A sea of red. Only 1 of the 47 funds tracked produced a positive return for the month (and that return was paltry). It doesn't get much worse than this. Let there be blood.
Not many changes this month regarding various performance metrics of the CTA's.
Best CAGR - Jan 2002 - Aug 2016
Worst Drawdown - Jan 2002 - Aug 2016
Lowest Drawdown - Jan 2002 - Aug 2016
Best Performer (Adjusted CAGR) - Scaled to Drawdown Exposure - Jan 2002 - Aug 2016
Best Performer - Annualized Sharpe - Jan 2002 - Aug 2016
Best Performer for the Month of Aug 2016
Best Performer for the Last 12 Rolling Months to July 2016
Cheers guys
C
Inserted Video
Overall performance - Trend Following (TF) Index
Damn that S&P500 TR Index. It is making a mockery of us trend followers. Since Jan 2016 we have seen the index rise 14.29%. Compounding the problem is the viscious mean reverting markets spurred on by central bank intervention and those nasty little HFT's. If you are sufferring the trend following blues.....then just think of the potential chaos ahead as interest rates rise......bwahahahahahah.
Fund Performance Table
The following table says it all. Look at collumn P which is the results for the month of August 2016. A sea of red. Only 1 of the 47 funds tracked produced a positive return for the month (and that return was paltry). It doesn't get much worse than this. Let there be blood.
Not many changes this month regarding various performance metrics of the CTA's.
Best CAGR - Jan 2002 - Aug 2016
Worst Drawdown - Jan 2002 - Aug 2016
Lowest Drawdown - Jan 2002 - Aug 2016
Best Performer (Adjusted CAGR) - Scaled to Drawdown Exposure - Jan 2002 - Aug 2016
Best Performer - Annualized Sharpe - Jan 2002 - Aug 2016
Best Performer for the Month of Aug 2016
Best Performer for the Last 12 Rolling Months to July 2016
Cheers guys
C