DIVERSIFIED FUTURES PORTFOLIO

THIS IS NOT INVESTMENT ADVICE AND IS FOR INFORMATIONAL AND EDUCATIONAL PURPOSES ONLY.

For every minute of every trading day since 2014, we have been monitoring, documenting and publishing the hypothetical trades of a very simple breakout trend following program on a diversified basket of 29 of the most heavily-traded U.S. domestic futures. The goal has been to establish a transparent index of "CTA/Trend Trading" returns because most of the popular benchmarks may be slow to report, opaque in their calculation methods and most importantly, many of the $1B+ constituent programs have drifted far away from their trend following roots over the years making trend "Alpha" more difficult to observe.

TRADE DATE 07
05
07
06
07
07
07
08
07
11
07
12
07
13
07
14
07
15
07
18
07
19
07
20
07
21
07
22
07
25
07
26
07
27
07
28
07
29
08
01
08
02
08
03
08
04
08
05
08
08
08
09
08
10
08
11
08
12
08
12
FIXED INCOME
US - L - - - - - - - - - - - L L L L L L L SUBSCRIBERS ONLY
TY - - - - - - - - - - - - - - - - - L L L SUBSCRIBERS ONLY
FV - - - - - - - - - - - - - - - - - L L L SUBSCRIBERS ONLY
TU - - - - - - - - - - - - - - - - - - - - SUBSCRIBERS ONLY
EQUITIES
ES - - - - - - - - - - - - - - - - - - - - SUBSCRIBERS ONLY
ND S S S S S S S S S S - - - - - - - - L L SUBSCRIBERS ONLY
YM - - - - - - - - - - - - - - - - - - - - SUBSCRIBERS ONLY
FX
EU S S S S S S S S S S S S S S S S S S S S SUBSCRIBERS ONLY
JY S S S S S S S S S S S S S S S S S - - - SUBSCRIBERS ONLY
BP S S S S S S S S S S S S S S S S - - - - SUBSCRIBERS ONLY
CD S S - - - - - S - - - - - - - - - - - - SUBSCRIBERS ONLY
AD S S S - S S S S S - - - - - - - - - - - SUBSCRIBERS ONLY
METALS
GC S S S S S S S S S S S S S S S S S S S S SUBSCRIBERS ONLY
SI S S S S S S S S S S S S S S S S S S S - SUBSCRIBERS ONLY
HG S S S S S S S S S S S S S S S S S S S S SUBSCRIBERS ONLY
ENERGY
CL - S - - - - - S S - - - - - - - - - - - SUBSCRIBERS ONLY
HO - S - - - - - - - - - - - - - - - - - - SUBSCRIBERS ONLY
RB S S - - - - S S S S S S S S S S S S - - SUBSCRIBERS ONLY
NG S S S S S S S S S - - - - - - - - - - - SUBSCRIBERS ONLY
GRAINS
C S S S S S S S S S S S S S S S S S S S S SUBSCRIBERS ONLY
S S S S S S S S S S S S S S S S S S - - - SUBSCRIBERS ONLY
W S S S S S S S S S S S S S S S S S S S S SUBSCRIBERS ONLY
BO S S S S S S S S S S S S S S S S S S S S SUBSCRIBERS ONLY
SOFTS
KC - - - - - S S S S S - - - - - - - - - - SUBSCRIBERS ONLY
SB S S - - - - - - - - - - - - S S S S S S SUBSCRIBERS ONLY
CC S S - - - - - S - - - - - - - - - - - - SUBSCRIBERS ONLY
CT S S S S S S S S S S S S S S S S S S S S SUBSCRIBERS ONLY
LIVESTOCK
LC - - - - - - - - - - - - - - L L - - - - SUBSCRIBERS ONLY
LH - - L L - - - - - - - L L L L - - L L L SUBSCRIBERS ONLY