Negative Oil Prices? My Thoughts

Everyone knows it by now. On April 20, 2020, we experienced negative oil prices for the first time in history. Or did we? First, let’s review. A barrel of crude oil is, well, 42 gallons of sticky, stinky, black stuff. A futures contract, on the other hand, is a...

Loss Coherence – Part II

Loss coherence applied to random variables; loss coherence matrix compared to correlation matrix; loss coherence for asset classes and trading strategies; some surprises… In the previous post, I created a way to measure the tendency of two investments to lose...

Loss Coherence – Part I

What is Loss Coherence? Define the Loss Coherence Coefficient; Next post –  Explore Loss Coherence behavior and values. I’m not a fan of correlation. You can read that a couple of different ways. First, I’m not a fan of high correlations. Second,...

Average Weighted Trend Ratio for a Portfolio

Share List Calculating the Average Weighted Trend Ratio (AWTR) for a typical portfolio of futures contracts; Examining the relationship between AWTR and trend-following CTAs; Next, practical applications of TR, formulas, and data. In this post, I’ll calculate...

Looking Back on Trend-Following (Part 1)

The conventional wisdom is that the well-known managed futures indices overwhelmingly comprise managers following trend-following strategies.  It’s also no secret that the indices have had a tough time of late. (Maybe that’s being too kind, with the...