as of 01/17/20 03:00:00 PM

1/6 1/7 1/8 1/9 1/10 1/13 1/14 1/15 1/16 1/17
TOTEM TREND INDEX 55 52 39 44 42 41 41 47 47 45

US ULTRA LONG BOND -15 -15 -15 -15 -15 Investors Only
US TREASURY BOND -15 -15 -15 -15 -15 Investors Only
TREASURY NOTE 10 YR -15 -15 -15 -15 -15 Investors Only
TREASURY NOTE 5 YR 15 15 -15 -15 -15 Investors Only
TREASURY NOTE 2 YR -15 15 -15 -15 -15 Investors Only
E-MINI S&P 500 100 100 100 100 100 Investors Only
E-MINI NASDAQ 100 100 100 100 100 100 Investors Only
MINI DOW JONES 100 100 100 100 100 Investors Only
EUROCURRENCY 15 15 -15 -15 -15 Investors Only
JAPANESE YEN 15 -15 -50 -100 -100 Investors Only
BRITISH POUND 50 50 50 50 50 Investors Only
CANADIAN DOLLAR 100 100 15 15 15 Investors Only
AUSTRALIAN DOLLAR 100 15 15 15 15 Investors Only
GOLD 15 100 15 15 15 Investors Only
SILVER 15 15 15 15 15 Investors Only
COPPER - HIGH GRADE 50 50 50 50 50 Investors Only
LIGHT CRUDE OIL 100 100 15 15 15 Investors Only
HEATING OIL 15 15 15 15 15 Investors Only
NY HARBOR RBOB GAS 100 100 15 15 15 Investors Only
NATURAL GAS -100 -100 -100 -100 -50 Investors Only
CORN -15 -15 -15 -15 -15 Investors Only
SOYBEANS 15 15 15 15 15 Investors Only
WHEAT 100 100 50 100 100 Investors Only
SOYBEAN OIL 100 100 100 100 50 Investors Only
COFFEE 50 50 50 50 50 Investors Only
SUGAR #11 100 50 50 100 100 Investors Only
COCOA -15 -15 -15 15 15 Investors Only
COTTON 100 100 100 100 100 Investors Only
LIVE CATTLE 100 50 15 15 50 Investors Only
LEAN HOG -15 -15 -15 -15 -15 Investors Only
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. The risk of loss in trading commodities can be substantial. You should therefore carefully consider whether such trading is suitable for you in light of your financial condition.


Accountant's Compilation Report
Monthly Return Data (.csv format)
Daily Return Data (.csv format)


Peer Performance Analysis
Peer Correlation Analysis
Portfolio Blender
Transparent Trend Index

SocGen Trend Indicator


Firm Tear Sheet
A Collection of Market Essays Vol. 1
Disclosure Document
AIMA Due Diligence Questionaire

Monthly Market Essays

Inflection Points and Defining the Prevailing Market Regime
Following an unusually sharp collapse during the past month, our measure of market Trend activity has hit a new multi-year low. This may represent a good opportunity to assess your portfolio and risk profile.
Uncomfortable Equilibrium
Our baseline trend strategy is currently flat in the S&P 500. This will not always be the case, and as a shrewd investor you should be ready for the next move when it becomes clear.
S&P 500 and the 2.62 Fibonacci Projection
The equity market may well be at a key level which puts it at risk.
The Role of 72
Sock it away, and let compund interest do it's thing, they said...
Oops, they did it again
Once again, the launch of a new futures contract on the CME signals trouble for the underlying market, this time in the micro space.
Changes in the Game
One of my mentors has seen 7 distinct cyles in 50 years of trading experience, and reminds me that I am merely a member of a herd, that capital seeks quality and safety, and to always be on the lookout for changes in the game.
The addition of just a small amount of "Deep Purple" concentrate dominates the bottle of wine. SImilarly, the cap-weighted, float-adjusted market indices remain at the mercy of just a small portion of the 505 issues in the S&P 500 basket. Be mindful of what you are drinking.
Roll Tack
Tell me again, just how does a yacht racing technique apply to capital markets?
Spark Joy
It's a simple question we ask: are our positions bringing us joy?
Both a Strength and a Curse
Have you been blindly following along?
In the Old Testament, after 7 cycles of 7 years, debts were forgiven and slaves freed. We imagine this process promoted a natural cleansing cycle.
The Power of Not
Markets tend to take the stairs up and the elevator down.
Just as tasty; half the calories
Efficient Frontier Analysis of the SP500 and Totem Orca Program
Right Church, Wrong Pew
Trend Following is not dead; it has just been hiding out in illiquid, unregulated and exotic places while Central Banks have their way.
All about the Denominator
Apple hits the $1T Market-Cap level and 42% of its price gains since 2013 are from debt-fueled buybacks.
The Struggle is Real
You do not need to hold a PhD in Mathematics to see that something is changing.
Momentum Ignitors
In fiat currencies, there is no such thing as "fundamentals".
False Idols
Accountability is at the heart of democracy.
Trade, Cryptos, Privacy and the Cost of Capital
Currently, many issues weigh on Capital Markets, increasing the possibility that the prevailing bias is no longer supporting the prevailing trend.
Small Potatoes
Crowded trades were forced to exit in February revealing who has been leaning heavily on the kindness of central-bank strangers.
Above All Else, Do No Harm
Avoiding the big down moves may be more important than missing out on the big up moves.
Risk Mitigation with a 70/30 Investment
Risk mitigation for your traditional stock / bond / real-estate portfolio by adding the Pure Trend Zero-Equity Orca Program.
8.7 Years and Counting
A traditional 60/40 stock/bond portfolio has not endured without a 10% drawdown for as long a period as the period immediately before the Great Depression.
The Transfer of Risk
With the launch of the FANG+ futures this week and BitCoin in the coming quarter, it is maybe worth taking a quick stroll down memory lane.
An online multi-user game played by my kid serves as an example of market behaviour and available strategies used by participants of different sizes.
Supertankers cut their engines 15 miles from shore
Supertankers will cut their engines 15 miles from shore. They are so large and have so much stored momentum that it takes 20 minutes for them to stop, and they require further outside assistance to maneuver when docking. Debt-fueled Capital Markets may be subject to similar forces.
Not Mutually Exclusive
July reinforced the point that, while our trend approach tends to work well during periods of equity market stress, our uncorrelated strategies don't rely upon such conditions.
The further away we get, the worse it will look
At least for now, the visit to the important technical level in the SP500 must be considered an abject failure. But, calling market tops - especially in the equities - is a difficult business.
They don't ring a bell at the top
A handful of stocks are recently accounting for the bulk of the gains in the equity indices as investors have eschewed active investing for that of really inexpensive passive investing. Just be very careful around these current important technical levels. Always have a plan just in case things don't work out as you might have hoped.
The First Saturday in May
How I won $18k on a $144 bet. Read more about it here
It wasn't raining when Noah built his ark
Although Past Performance is No Indication of Future Results, our program's return profile tends to thrive during Stock Market Declines and periods of high market volatility, offering sophisticated investors a cost-effective hedge for their traditional stock/bond/real estate portfolios.
The Last Mile Question
Using the 1980 low and the Y2K high, the SP500 respected the 50% and 61.8% retracements absolutely. As we get to within striking distance of the accompanying 1.618 projection, how will equity markets behave around this key level amidst relentless fervor and ongoing shift to passive index?
Regime Changes
Since October, our Trend Index went from horrible, to terrific, and back to horrible.  This price action will likely be reflected in our peer group returns for Jan, and could change on "Any Given 140 Characters".
Time To Recovery
No sooner had we discussed how "good" the invisible hand has been at staving off sharp equity index declines and the team from JP Morgan comes up with this gem of a chart.
Make Trading Great Again
Arguably the largest upset in American political history has unleashed volatility across the board as global market participants begin guessing as to what new policies and actions affecting trade and markets are coming our way.
Try not to suck
108 years later the Law of Large Numbers finally catches up for the Cubs, and Hell Freezes Over. What other surprises are headed our way?
270 to Win
In more than 4,250 observations since the year 2000, our Trend Index has only been as low as 23 on 150 days. This rare occurrence is often (but not always) followed by large profitable moves.
The Confidence Game
For some time now our position has been that the only thing that can really get rates going higher would be a collapse in confidence. Are we close to crossing some threshold?
We see what we want
In this age of digital consumption, it takes extra effort to fight off the cognitive biases that investors and traders are faced with.
The Price of Liquidity
Any "thing" is worth whatever someone is willing to pay for it.
Bring on Q4
The 4th quarter of US general election years tends to be very good for trend trading (or convex) strategies. We explore this idea using data from a bunch of names from the 90's. Are you ready?
Anscombe's Quartet
Daily mentions of "correlation" compel us to remind you that few things can replace experience and you might just be getting what you pay for.
I am not uncertain
We are finding out about lots of interesting things that have been happening behind closed doors and we are not privy to. But when has that ever not been the case? Price is all that matters.
Jokes are rarely as funny the second time around
Fresh year lows in the equity indices are yet again matched by a massive short-squeeze as Jamie Dimon does his best J Pierpont Morgan impression and makes a widely-advertised purchase of JPM in his personal account.
You've been warned
"So goes January, so goes the year" is the old trading axiom, as if anything old matters anymore. On Groundhog Day, we are left once again wondering about the $4 Trillion in passive long index investments out there as discussed in our Oct '14 essay.
Yellen Does, Draghi Can't
After getting spooked in August, the Fed finally pulled the trigger with a rate hike ending an unprecedented era in which your old textbooks are no longer valid. Draghi, on the other hand, was quite certain that he could mount an aggressive easing campaign and miscalculated the required votes.
Complexity Theory
The Fed has a notoriously bad track record of forecasting because their models are flawed. Behavioral Economics and Complexity Theory suggest that even with perfect knowledge, you cannot predict outcomes.
The Empire Strikes Back
Does 2015 feel a lot like 1998 to anyone else out there other than me? (Except of course that Fed Funds are at zero instead of 5.50% and the Keynesian bullet has been spent...)
Land of Confusion
Some pundits have been calling for rate hikes off the emergency zero bound since 2011. After carefully and finally setting the stage for rate 'lift off', the Yellen Fed failed to pull the trigger.
One Man's "Crash" is Another Man's "Correction"
Another currency peg abandoned. Catastrophic Cascading Capitulation as "Carry Trades" and "Risk" were swiftly unwound during the summer break of 2015.
Remember the Asian Crisis in '97/'98? As the 2009 commodity lows are being challenged, just how deep can these prices go? Perspective is everything.
So You Think You Can Dance?
Collapsing Chinese equities markets prompt Central Bank intervention, and Greek referendum opens the door to reversing the 'irreversible'.
Non-Confirmation and the "Move with No Name"
Some mixed-signals coming from the equities indices and a difficult period in commodities as we vacillate around the 2009 low.
Every 3 Billion Years or so
These "100 Year floods" seem to be happening rather frequently.
When the Fed taps the brakes, someone always goes thru...
Just ask Bob Citron and Orange County.
What's good for AAPL is good for the country
A handful of stocks control the market.
That first step is a doozy...
The Swiss shock by abandoning their currency peg.
Disciplined. Efficient. Gritty.
80% of success is showing up.
Commodity Crumple (the Fib within the Fib)
The CRB gaps lower and opens the door to the possibility of revisiting the 2009 lows.
Towards the Sound of Chaos
Increasingly crowded Passive Index Investing and "Buy The Dip" mentality may wish to consider that Central Bank intervention might not always be there to save you.
The Kiss
Our VAMI meets that of the SP500. But, we got there in incredibly different ways.
Chutes and Ladders
Markets tend to go down faster than they go up.
Winter is Coming
Brazil 1:7 Germany Nobody predicted that outcome. Trend Following has no forecasting bias. Do you?
Ab Porto (Opportunity)
Markets are Maximally Perverse and work in unpredictable ways. At some point volatility will return. Have CTA strategies and investors passed Capitulation and Despondency into mere Depression?