Large PL Swings

During the past two?weeks, our?2Q Portfolio?experienced the largest weekly PL swings since inception. The return for the week ending 4 March was -11.23% and the return for the week ending 11 March +14.51%. Those are large moves.

Most of that volatility resulted from time spread positions in energies, especially gasoil and heating oil, but also from the grains. Our directional trend following system produced strong gains, as did our WTI call options from Dec 22 to Dec 24. Luckily, those gains more than compensated the losses from the spreads.?

Times like these remind us of the importance of diversification and position sizing. Sadly, we've recently lost a guiding light in that field:?Van Tharp. ?

Last year in November,?Traders' magazine?interviewed us for their 20th-anniversary edition. It's been a fun conversation touching on all things trading and trend following. Now that some months have passed, we're allowed to share this interview with you. It's in German. You can read the interview here.

#happytrading

Moritz & Moritz