Is this index a composition of returns for specific managers?
Patrick Rooney
1

Patrick Rooney, This is an index based on the concept of replicating the performance returns of trend following with a suite of systems trading a global diversified portfolio.

Here’s more info from our site (check here for more details on trading systems, timeframes and portfolio composition — http://www.wisdomtrading.com/trend-following-december-2016/):

The Wisdom State of Trend Following report was built to reflect and track the generic performance of trend following as a trading strategy. We developed a system suite made up of classic trend following systems, available in the public domain, to produce a trend following benchmark.

The composite index is made up of a mix of systems simulated over multiple timeframes and a portfolio of futures, selected from the range of 300+ futures markets over 30+ exchanges that Wisdom Trading can provide clients access to. The portfolio is global, diversified and balanced over the main sectors (portfolio composition available further below).

The index is composed of several systems, each traded over different time horizons (short, medium and long) with a diversified portfolio of futures (details of the index components and construction can be found further below, in the next section).

Sorry about the bad formatting (table does not copy well from website):

Portfolio

The portfolio selected for the index represents a diversified mix of global futures balanced across all sectors:

Currencies

MARKETEXCHANGEBrazilian RealCMECanadian DollarCMEEuro / Japanese YenCMEKorean WonKRX (Kofex)New Zealand DollarCMEUS Dollar IndexICE US

Energies

MARKETEXCHANGEBrent Crude OilICE EUR (IPE)Gasoline (RBOB)NYMEXKeroseneTOCOMLight Sweet Crude Oil (WTI) E-miniNYMEXNatural Gas (Henry Hub) E-miniNYMEX

Grains

MARKETEXCHANGECornCME (CBOT)Crude Palm OilBMD (MDEX)Milling WheatEURONEXT (MATIF)Rice RoughCME (CBOT)SoybeansCME (CBOT)Yellow MaizeSAFEX

Metals

MARKETEXCHANGECopperCME (NYMEX)GoldCME (COMEX)PlatinumCME (NYMEX)SilverCME (COMEX)

Meats

MARKETEXCHANGECattle FeederCMELive CattleCME

Equity Indices

MARKETEXCHANGEDax indexEUREXFTSE Xinhua China A50 indexSGXHang Seng index miniHKExMini Russell 1000 indexICE US (NYFE)MSCI Singapore Stock indexSGXTOPIX indexTSE

LTIR

MARKETEXCHANGECanadian 10-Year Govt BondMXEuro German BundEUREXJapanese 10-Year Govt BondSGXSwiss 10-Year Govt BondEUREXUS T-Notes 5-YearCME (CBOT)

STIR

MARKETEXCHANGE90-Day NZ Bank BillsASX (SFE-NZFE)Euribor 3-monthEURONEXT (LIFFE)

Softs

MARKETEXCHANGECocoaICE US (NYBOT-CSCE)CoffeeICE US (NYBOT-CSCE)Milk (Class III)CMESugar (#11)ICE US (NYBOT-CSCE)

Other

MARKETEXCHANGELumberCMERubberTOCOM

Systems

One of the main goals of the index is to mirror the performance of trend following in general. As such, the trading strategy is based on simple, public trading systems that use trend following principles. Each system is declined in three different timeframes (long, medium and short) to cover a wide spectrum of trend duration and increase overall diversification.

COLORCOMPONENTSYSTEM USEDTRADING HORIZONPARAMETERSPOS. SIZEBBB-SBollinger Band BreakoutShort-term20,20.483BBB-MBollinger Band BreakoutMedium-term50,20.63BBB-LBollinger Band BreakoutLong-term200,21DMA-SDual Moving AverageShort-term20,100.17DMA-MDual Moving AverageMedium-term50,200.17DMA-LDual Moving AverageLong-term200,500.19DON-SDonchian BreakoutShort-term200.44DON-MDonchian BreakoutMedium-term500.58DON-LDonchian BreakoutLong-term2000.85TMA-STriple Moving AverageShort-term50,20,100.41TMA-MTriple Moving AverageMedium-term200,50,200.59TMA-LTriple Moving AverageLong-term800,200,500.93

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