High Momentum or Mean Reversion?

A long, long time ago, back in the 1990s, we had a method called “High-Momentum Trading.” It was a short-term strategy that took advantage of overbought and oversold conditions – not by fading them (selling overbought and buying oversold values), but by buying overbought and selling oversold situations. It does seem contrary to the concept of being overbought or oversold, but it’s all about … [Read more...]

November 2017 Performance Report

Industry Benchmark Performance A larger number of hedge fund managers are reporting results early this month, a sure sign that everything is going well. Equity Long programs are the real benchmark, and they were up 1.45% in November, about the same as our stock programs. For 2017 they have posted 12.59% higher, a nice return so far (but below our Daily Programs). Active management involve a … [Read more...]

October 2017 Performance Report

Industry Benchmark Performance Early reporting shows lower gains then we would expect when all the data is updated. Equity long shows the best gains so far, a percent ahead of SPY in October. The SG Trend Index is close to our returns for October, while the BTOP 50 shows only half that return. It could be that the CTAs reporting early are the ones with the best performance. We still expect … [Read more...]

September 2017 Performance Report

Industry Benchmark Performance Early reporting of equity performance indicates a profitable month, running at about the same rate as our equity programs, but lagging the major equity index benchmarks. Futures are posted daily, so that performance reflects returns through September 29. Of those, the BTOP 50 is the best indication of the Industry, off about 2% for September and down 4.39% for 2017. … [Read more...]

August 2017 Performance Report

Industry Benchmark Performance Positive returns for both equities and CTAs, good news for investors. Equity funds added less than 1% in August but added to the 2017 returns. They still lag the major index ETFs by 50%. CTAs also posted gains, bringing the overall CTA Index for Barclays and SG within a percent of breaking even for the year. Trend programs had the best return of 2.45% in early … [Read more...]

July 2017 Performance Report

Industry Benchmark Performance A generally good month for all programs, with long equity running ahead of the pack. But that would be expected in 9-year bull market. Even the Fund of Funds are showing gains. Futures CTAs posted mixed profits in July, with trend-following doing the best, and trimming somewhat substantial losses. We’re all waiting for some major trends to develop. Blogs and … [Read more...]

June 2017 Performance Report

Industry Benchmark Performance Early reporting shows small gains in the hedge funds, but adding to a reasonably good year-to-date return. The futures funds (CTAs) continue to struggle with no major trends being sustained in interest rates, the main driver of profits. Some gains from the weakening dollar were not enough to offset the uncertainty in yields, and equity index markets have either been … [Read more...]

May 2017 Performance Report

Industry Benchmark Performance With only about 25% of the equity and commodity funds reporting, we see small gains in all sectors, even while the BTOP 50 (Futures CTAs are posting a small loss. Our performance in the Trend Equity portfolios far exceeded the industry, and the returns for Futures were generally better, although not by the same margin. This is shaping up to be a good year for … [Read more...]

April 2017 Performance Report

­ Industry Benchmark Performance   Hedge funds eked out a small gain for April, adding to 2017 returns, but running at about half of the SPY returns. Given the market uncertainty, prices have not moved in a smooth pattern, so the industry should be pleased with net gains. CTAs did not fare as well. Barclays shows fractional gains in April, but net losses for the year. The SG … [Read more...]

March 2017 Performance Report

Industry Benchmark Performance Hedge Fund early reporting for March shows small losses in equities and in most CTA benchmarks. The BTOP50, the index of large futures funds, is showing a loss for 2017; however, the SG CTA index shows a net gain for 2017 while the individual breakdown of short-term and trend are both losses. It seems inconsistent. Change in Futures Portfolios (This is … [Read more...]

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