Carpenter Analytical Services (Analytix) produces a weekly statistical service called Hedge Fund Analytix (HFA), tracking Managed Futures hedge fund exposures in equity, fixed income, U.S. dollar and commodity markets. The data are compiled into continuous exposures paths, updated each Friday, based on statistical analysis of returns behavior. Positive exposure values indicate long position; negatives indicate short position.

Eight-plus years of HFA history show these Managed Futures funds are aggressive trend followers. They are quick to identify a new trend and adjust exposure accordingly. They’re generally quite good (averaging more than 9% a year with half the volatility of the S&P). But when their trend-following goes too far (top or bottom decile of historical exposure), the market trend is about finished.

Click here to see a chart of Carpenter’s HFA equity exposure path. And for more information about their not-yet-but-should-be-a-household-name-service you can e-mail them via this link: Carpenter Analytix

(My thanks to Carpenter Analytix for so generously allowing me access to and use of their data.)

Walter Deemer

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