Our Major Markets portfolio consists of 180 trend following strategies (long, medium and short cycle trends) in 15 of the most important markets for global investors. Daily TrendCompass reports convey the directional exposure and trading signals for all these strategies. Here we'll look at the performance of these signals from the start of 2020 through … Continue reading TrendCompass Major Markets 2020/21 performance review
Over the past few months, there's been a growing consensus among market analysts that commodity markets will likely outperform other asset classes over the next decade. This has been my contention as well. One of the readers of our newsletters asked a simple question: why do I not just buy a commodity ETF? It's actually … Continue reading Navigating the commodities super-cycle: trend following or long-only ETF?
One of the frequently voiced misgivings about systematic trading strategies usually goes like this: “yes, but your model can’t know if tomorrow XYZ happens and market prices go haywire…” The immediate aftermath of U.S. elections saw fairly volatile market reactions particularly in equities and treasuries. Both had previously turned slightly bearish but on November 4, … Continue reading I-System trend following vs. unforeseen market events
This week’s oil price tremors have again validated the idea that understanding Commodity Trading Advisor (CTA) strategies "can provide a strong edge in today's highly systematized markets," (Nomura) and that "CTAs have long been key in understanding price action in commodities” (Rabobank). As a rule, CTAs rely on systematic trend following strategies. Even Paul Tudor … Continue reading I-System Trend Following and the recent oil price events
For indeed, the investor’s chief problem – and even his worst enemy – is likely to be himself.Benjamin Graham This is a rather spectacular story. It is 20 years old but it is as relevant today as it ever was for it sheds light on one of the key problems in investment speculation: human psychology. … Continue reading How Stan Druckenmiller missed market top by an hour and lost half his fund
This is not a hollow boast. While I-System has generated superb performance over the years, the key reason for this claim reflects a higher-order quality of the model: I-System has the potential to entirely transcend uncertainty and largely replace the human factor in asset management in a broad variety of investment strategies including portfolio allocation, … Continue reading I-System: probably the best trend following model ever built
Over the past few trading sessions, I-System strategies have gradually reversed from long to short positions on treasury futures (long gilt, German bund, US 30-yr T-Bond), with the exception of the 10-year T-Note where our positioning remains net long. This could be a significant development if we are looking at the beginning of a major … Continue reading Are treasury futures signaling a trend reversal?
Copper market is an important indicator of the overall economic activity. Given the pervasive uncertainty over the last 12 months, the price of Copper has staged two major trend reversals – never a good environment for trend followers. Nonetheless, with the last two months’ rally, I-System strategies have again proven their worth. Performance of the … Continue reading I-System and COMEX Copper trading
The most fundamental determining fact in connection with organization is the meeting of uncertainty. The responsible decisions in organized economic life are price decisions; others can be reduced to routineFrank Knight, "Risk, Uncertainty and Profit" Over the years I’d written many articles suggesting that price forecasting based on market fundamentals is a waste of time … Continue reading Trend following is the only valid answer to the problem of uncertainty
In March 2019, I published an article looking at historical perspective on boom/bust cycles in SeekingAlpha. I suggested then that, “the (still) festering economic imbalances might get resolved along two alternative scenarios. Either we’ll have a full-blown deflationary depression that could see asset prices drop by 50% or more, or we’ll have a strong and … Continue reading Bear market or bubble reflation: what comes next?