As we roll into August the trend following strategies have allowed us to start getting long again – albeit still at half-weight.  It was hard to buy at the end of a major rally that we experienced but that is the way of quantitative trading.

The key is to buy when the model say buy.

Most people are right about getting out on the way down, but get left out when the market leaves them behind on the way up.

Not quantitative traders.

OTOH – if the market goes back down, we will get out (again).

In other EXCITING news – BFS has been working on TWO new strategies that are turning out to be extremely good fits for the portfolios.

One is a short strategy – so it will only affect the High Sharpe portfolio, but the other is a long mean reversion strategy that will be a potentially good fit for both High Sharpe and Quantum Return.

It’s too early to say yet whether this change will officially take place – but indications look extremely promising.  Backtested results in High Sharpe may improve as much as 200 basis points with a 50% reduction in maximum drawdown…..  that’s a win in my book!

As  I said – these results are very preliminary and are backtested to boot – so there are many steps to follow before we can make this performance “live” – I just wanted you to know BFS has been working hard to improve the funds and hopefully we’ll be seeing the results of that effort soon!