Each year lots of pundits like to remind/scare investors about the historic negative events that sometimes occur during the month of October…especially the 1987 crash. And like all humans, investors fear the risk of loss much greater then then joy of gain…so this narrative always seem to do the trick.
But it strikes me that things have changed this year, as I see more and more commentators and non trend following managers play this card on a regular basis.
“Trend Followers have failed on their mandate to deliver Crisis Alpha…”
is what I’m hearing (followed by a marketing statement about a strategy being offered that is able to make money in periods like February and Q4 2018).
I wonder why they say this…I’m sure I don’t need to spell this out to you!
But here is the deal. Trend Followers do not design their strategies with “a mandate to deliver Crisis Alpha” in mind…but rather to deliver strong long-term absolute returns.Read Full Post
So needless to say, it was a challenging month for trend followers.
But lets just be clear about one thing…those shorter-term strategies that claim that trend following is too crowded and too slow and does not deliver enough convexity…did not do much better than their trend following cousins…and have certainly not delivered nearly the same return so far this year.Read Full Post
While Hurricane Dorian was building up to severe intensity before making landfall in the Bahamas…August also turned out to be a Category 4 or 5 when it comes to the intensity of strong trends and performance for the CTA industry.
Having gathered strength in the first 7th month of 2019, the momentum in many markets was further unleashed during the late summer month, a month that historically has proven to be full of surprises for the markets.Read Full Post
The hot month of July was not as quiet as you would expect, when lots of investors put on their “email auto responder” saying, “…I’ll be out of the office with limited access to email…” – clearly they did have access to their trading terminals as market prices continued to move in a trend friendly and divergent fashion.Read Full Post
US Stocks had their strongest June since 1955 and recorded their highest ever monthly close, leaving investors in the S&P500 17% better off than at the end of 2018, marking the best first half in more than two decades.
Fears for the economy have stoked government bonds as investors fret slowing growth and rock-bottom inflation. Treasuries returned just over 5% in the first half as they piled in. In the process more of the yield curve inverted, and the world’s pool of negative yielding debt swelled to a new record.
Yet as bonds screamed recession, stocks defied that, too.Read Full Post
A perfect set-up for the month of May…stocks at their most recent highs, moderate growth, a dovish FED, volatility back to it’s lows and confidence in the tariff war ending soon…was quickly crushed by new tweets and rhetoric that caught the bulls on the wrong foot.
The month of May left equity investors bruised whilst bond investors enjoyed and unforgiving rally during another flight to “safety” environment and reminded us all of the old saying “Sell in May…and go away”.
Global Marco is back with a vengeance…which could lead to big trends ahead.Read Full Post
April saw conflicting headlines over the future of trend following, but what the media did not focus on so much…is the failing of the stock and bond markets to “survive” without artificial life support.
As equities surge to all-time highs, volatility has all but vanished. Investors are betting the calm will last, shorting the CBOE Volatility Index, or VIX, at rates not seen in at least 15 years.
Large speculators, mostly hedge funds, shorted VIX futures contracts in sizes not seen before.Read Full Post
One of Wall Street’s Most Popular Trading Strategies Is Now Failing
Machines that decide when to buy and sell are struggling to keep up with central banks and Donald Trump.
Remember this headline from Bloomberg on March 1?
Well…as we close the month of March, it sure looks like this journalist got his timing right…Read Full Post
Many trend followers continued their recovery from the November 2018 low, despite China, Trump and North Korea taking center stage in February. Also find out which pension fund recently told me: “I am hearing people throwing the towel in on these types of basic trend following strategies, that makes me kind of bullish on them.”Read Full Post
So after a solid December, trend followers found themselves playing defense as best they could, just like in this weekends 2019 Super Bowl.
January is also the month where each year I get to spend time with my peers at 2 of the worlds largest hedge fund/CTA conferences in Miami.Read Full Post