Please find this month’s report of the Wisdom State of Trend Following. Performance is hypothetical. Chart for March: The chart for the first quarter: And the 12-month chart: Below are the summary stats: Horizon Return Ann. Vol. Last month 1.49% 12.99% Year To Date -6.21% 12.56% Last 12 months

October 2018 Trend Following: DOWN -6.13% / YTD: -14.45% Please find this month’s report of the Wisdom State of Trend Following. Performance is hypothetical. Chart for October: Wisdom State of Trend Following - October 2018 And the 12-month chart: Wisdom State of Trend Following 12 months -

September 2018 Trend Following: DOWN -1.41% / YTD: -8.85% Please find this month’s report of the Wisdom State of Trend Following. Performance is hypothetical. Chart for September: Wisdom State of Trend Following - September 2018 And the 12-month chart:

July 2018 Trend Following: DOWN -1.98% / YTD: -7.85% Please find this month’s report of the Wisdom State of Trend Following. Performance is hypothetical. Chart for July: Wisdom State of Trend Following - July 2018 And the 12-month chart: Wisdom State of Trend Following 12 months - July 2018 Below

June 2018 Trend Following: UP +0.48% / YTD: -6.01% Please find this month’s report of the Wisdom State of Trend Following. Performance is hypothetical. Chart for June: And the 12-month chart: Below are the summary stats: Horizon Return Ann. Vol. Last month 0.48% 13.45% Year To Date -6.01% 15.36%

Please find below this month’s Wisdom State of Trend Following report. Performance is hypothetical – Chart for April: And the 12-month chart: Below are the summary stats: Horizon Return Ann. Vol. Last month 1.28% 9.77% Year To Date -5.03% 16.19% Last 12 months -9.94% 13.31% Last calendar year

January 2018 Trend Following: UP +6.94% / YTD: +6.94% Below is the full State of Trend Following report as of last month, opening the year with a strong performance in January. Performance is hypothetical. Chart for January: WSTF 201801 Index And the 12-month chart: WSTF 201801 Index 12months Below

November 2017 Trend Following: DOWN -0.61% / YTD: -15.45% Please find below the latest edition of the Wisdom State of Trend Following as of last month. Performance is hypothetical. Chart for November: Wisdom State of Trend Following - November 2017 And the 12-month chart: Wisdom State of Trend

October 2017 Trend Following: UP +7.12% / YTD: -15.39% Below is the full State of Trend Following report as of last month, which saw our trend following index post a strong positive performance. Performance is hypothetical. Chart for October: Wisdom State of Trend Following - October 2017 And the

September 2017 Trend Following: DOWN -5.31% / YTD: -21.01% The Wisdom State of Trend Following index had a rough September, unfortunately following the trend of the last 18 months and going through the -20% mark for the year so far. With only 3 months to go, 2017 is shaping up to be a strong

August 2017 Trend Following: DOWN -1.61% / YTD: -16.60% August was only slightly negative thanks to a late recovery from the mid-month level, where the index was down by over 5%. The YTD performance is still strongly in the red. Below is the full State of Trend Following report as of last month.

AQR updates it paper on Trend Following performance over the last century. Despite the strategy experiencing poor recent performance, it brings tremendous value to stock and bond portfolios over time by 1) increasing returns and 2) lowering volatility and max loss. A win-win-win in my book. Trend

uly 2017 Trend Following: UP +1.59% / YTD: -15.56% The second half of 2017 starts with a modest gain for our trend following index, while the YTD performance is still well in the red. Below is the full State of Trend Following report as of last month. Performance is hypothetical. Chart for July:

June 2017 Trend Following: DOWN -3.44% / YTD: -16.88% The whole first half of 2017 was negative, with the June result following the same trend. The YTD figure is now well in the red and it would take a good reversal of that equity curve to erase the losses through the second half of the year. Below

May 2017 Trend Following: DOWN -2.59% / YTD: -13.91% Despite a pick up in the second half of the month, the index closed last month in the red, continuing the downward trend for the year. Below is the full State of Trend Following report as of last month. Performance is hypothetical. Chart for May:

April 2017 Trend Following: DOWN -1.35% / YTD: -11.65% April was another down month for the Wisdom State of Trend Following, with the index already in double-digit territory, on the negative side, for the year. Below is the full State of Trend Following report as of last month. Performance is

March 2017 Trend Following: DOWN -6.56% / YTD: -10.95% More of the same for the State of Trend Following in March. The index continues its downward progress and established a new Max Drawdown figure last month. Below is the full State of Trend Following report as of last month. Performance is

January 2017 Trend Following: DOWN -2.84% If December bucked the trend of the last 6 months, January was a continuation of the downward direction seen in the second half of 2016. The index starts 2017 with a negative performance, in the context of global uncertainty, and keeps flirting with the

Last year was not a good year for trend following, with many commenting that the performance for the strategy has been declining over the last few years. We decided to look at the performance of the Wisdom State of Trend Following index on a long timeframe, to let the results speak over the long

December 2016 Trend Following: UP +1.38% / 2016: -18.15% December closed 2016 on a slight positive note, avoiding six straight months of negative returns for our State of Trend Following index. An inflection point was felt in the markets towards the close of the year, but this was obviously not

A couple of months ago, we published a study on the performance of trend following after drawdowns, as the State of Trend Following index was hitting high levels of drawdown (about 2/3 of the historical maximum). We showed that in 80% of cases, the post-drawdown performance is positive, showing that

Every month of this second half of the year seems to have a recurring theme and/or unilateral direction, rendering the YTD performance quite clearly negative. November was no different and produced a variation on the same theme, as you can see below. Below is the full State of Trend Following report

Election year is shaping up to be a bad year for trend following. October saw the State of Trend Following index post another successive down month. The current drawdown is still within the limits of the max value from the historical back-test run, but the Year-To-Date performance is now well into

A second successive strong down month for the State of Trend Following index, bringing the Year-To-Date performance further in the red as we enter the last quarter of the year. The current drawdown is getting closer to the max Drawdown (24% vs. 32%) which, as we highlighted last month, can be a good

Historical Performance of Trend Following Post-Drawdown August marked a local low for our Trend Following index, reaching about two thirds of the max historical drawdown. We were commenting on the fact that, historically, drawdowns have typically proved a good time to invest or start trading a trend

August 2016 Trend Following: UP -7.32% / YTD: -7.95% August was mostly one-sided, sliding down to a strong negative performance, and taking with it the Year-To-Date performance to a similar level. Interesting to note the shorter timeframes weighing on the index while the longer timeframes are still

June 2016 Trend Following: UP -1.34% / YTD: -0.92% Not much volatility for the index in the month of July. It started around +1% and finished around -1% with little amplitude in the middle. The YTD just turned slightly negative. Below is the full State of Trend Following report as of last month.

Brexit might have been globally thought of as bad news for the markets, but it was good for trend following. It marked a quick up movement in last month’s performance, quickly reversing the negative performance of the month to turn it back positive, after the 23rd June vote. The YTD performance is

May 2016 Trend Following: DOWN -7.37% / YTD: -1.71% This time, the negative performance for the index last month takes the Year-To-Date performance in the red, for the first time in 2016. Below is the full State of Trend Following report as of last month. Performance is hypothetical. Chart for May:

Another down month for the index, with a slight loss. Two mild down months after two strong up months keep the index in positive territory for 2016. Below is the full State of Trend Following report as of last month. Performance is hypothetical. Chart for April: WSTF-201604-Index And the 12-month

March 2016 Trend Following: DOWN -2.84% / YTD: +6.86% The index gave back some of its gains from the beginning of the year, last month. The performance is still positive Year-To-Date and over the last 12 months. Below is the full State of Trend Following report as of last month. Performance is

February 2016 Trend Following: UP +4.24% / YTD: +9.99% Another strong month for the trend following index, with a similar pattern to last month: a near-double-digit spike mid-month to finish close to +5% for the month. The YTD performance is already just 0.01% shy from the double-digit barrier.

Similarly to last year, trend following starts the year on strong footing. January returned over 5% for our trend following index after flirting with the double-digit territory to establish new all-time highs. Below is the full State of Trend Following report as of last month. Performance is

Happy New Year to all our readers! We look back at the performance of our trend following index over last year. Despite closing on a low for the month, the strategy’s performance was positive for 2015. Below is the full State of Trend Following report as of last month. Performance is hypothetical.

Cut short your losses, let your profits run on. This principle above is the central tenet of trend following, a successful strategy for trading systems and CTAs alike. Digging through history, this maxim can be traced back all the way to David Ricardo, an eighteenth century British economist and

Crude oil has been in the news a lot recently. Just last week, after the OPEC meeting, its price declined by over 10%. With a lot of volatility, we wanted to test how a trend following strategy would have performed on the futures contract in recent history. Here is a quick post showing our benchmark

November 2015 Trend Following: UP +6.06% / YTD: +9.86% The Wisdom trend following index gradually made its way up last month to post a strong result for November, and recover a large part of the losses occurred in October. This helped cement the YTD number further in the black. Now nearly in

October 2015: Trend Following DOWN -9.19% - YTD: +3.36% A strong downward move at the beginning of the month weighed heavily on the index, which did not recover and went on to post its worst return of the year. The YTD performance is still in the black. Below is the full State of Trend Following

September 2015: Trend Following UP +4.64% — YTD: +13.98% Third month in a row of the index producing a positive return. The YTD and 12-month figures — well in the black (over 10% and 35% respectively) — show that trend following has been a good strategy to invest or trade in these past market

August 2015: Trend Following UP +2.36% — YTD: +8.94% The Summer bounce seen last month continued in August, with a positive monthly return pushing the YTD performance further up in the black. The last ten days of the month saw two strong days taking the index close to a +10% return, followed by

Summer bounce for our Wisdom State of Trend Following report. A strong up month ends the downslide seen in the second quarter and ensures the YTD performance is more comfortably in the black. Below is the full State of Trend Following report as of last month. Performance is hypothetical. Chart for

June 2015: Trend Following DOWN -4.16% — YTD: +0.89% After a good start to the year, with the first three months being up and the index peaking in mid-March, a downtrend has now taken place. This has built a drawdown roughly equal to a third of the Max Drawdown figure (12% vs 34%), which is not

May 2015: Trend Following DOWN -2.67% — YTD: +4.99% The downward consolidation continues in May with a negative month. The index still stays positive Year-To-Date. Below is the full State of Trend Following report as of last month. Performance is hypothetical. Chart for May: Wisdom State of Trend

April 2015: Trend Following DOWN -2.58% — YTD: +7.77% Consolidation for the State of Trend Following index in April. Most systems in the index closed underwater, with most of the downwards action happening in the last two days of the month, before which the index was still above the “break-even

March 2015: Trend Following UP +2.34% — YTD: +10.63% Last month was positive and allowed our index to break the double-digit barrier to close the first quarter with a strong performance. In a similar fashion to a typical trend following trade, the composite equity curve had a relatively big run-up

Trend following’s performance accelerated over the last few months, with some markets showing some possible over-extension in their trends. It’s not such a surprise to see some pull-backs finally taking place. This has naturally taken the index down, mostly giving back some of the large open

January started the year as strong — if not stronger — than last year for trend following. Keeping the momentum going, and profiting from a continuation in a few big trends (US Dollar Index, Energies or Swiss Bonds for instance), the index opens the year with a double-digit positive monthly