December saw an uptick in performance (+1.10%), but with trend following down in 2016, managed futures ended the year — unsurprisingly, given their correlation to the strategy — in negative territory. The main industry indices ended 2016 in the red (-3.54% on average), and so did the managed futures funds we track on this report, on a lighter note (-0.38%).
As the adage goes, it pays to invest in trend following during drawdowns. It is probably one of the factors driving increased allocation to the industry in 2017.
Back to our report, it is interesting to note the wide range of yearly returns for the list of funds we track:
We recently tweeted this picture from SG Prime Services (ex-Newegde) showing the performance of their Trend indicator in various sectors in 2016:
Trending Bonds vs non-trending Commodities. That was 2016. Portfolio composition obviously affects strategy returns https://t.co/VtKz5323CV pic.twitter.com/CdQDDdvZP1
— Wisdom Trading (@WisdomTrading) December 22, 2016
With such a commodities/bonds dichotomy, it is likely that portfolio selection (financial-heavy vs. commodity-heavy) had a strong impact to the performance of managed futures funds, including those we follow here.
Please find below further details from our managed futures round-up:
Managed Futures Performance
- December average return: +1.10%
- 2016 average return: -0.38%
|Campbell & Company||+0.54%||-10.07%|
|Cantab Capital Partners||+1.31%||-7.38%|
|Graham Capital Mgmt.||-1.26%||-8.32%|
|Lynx Asset Mgmt.||+0.05%||-4.16%|
|Quantitative Inv. Mgmt.||+3.55%||+16.69%|
|SEB Asset Mgmt.||+1.96%||+5.27%|
|Winton Capital Mgmt.||+1.50%||+0.69%|
Main Indices Returns
As a comparison, please find below the returns for several indices tracking the managed futures/CTA industry as a whole:
|Barclay CTA Index||+0.34%||-1.04%|
|SG CTA Index||+0.59%||-2.89%|
|SG Trend Index||+0.65%||-6.18%|
How To Invest in Managed Futures – Contact Us
There are many benefits to investing in managed futures, including:
- Portfolio diversification
- Standalone source of alpha
- Access to trading talent
- Low correlation to other asset classes
- Protection from market crisis
To help you select programs that meet your needs, we offer a managed futures database that allows you to browse our list of leading managed futures programs and analyze performance, perform powerful searches and build custom portfolios or watchlists.
Or alternatively, contact us directly to discuss your requirements. We work closely with managed futures managers and investors and we will be happy to recommend the programs that are best suited to you — details below:
Toll Free (USA): (800) 854-8203 – Intl: +1-949-933-0179
or email us at firstname.lastname@example.org
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Index Construction / Manager Selection
The performance in this monthly report is composed of a representative list of 16 CTAs, chosen for their size in terms of Assets-Under-Management, comprising most of the largest in the industry. This is not a complete database of CTAs. The returns are actual trading results reported by the CTAs and sourced from CTA databases/websites (including AutumnGold, IASG, Altegris and individual manager websites). The calculations are updated every month and are net of fees and commissions.
Commodity Trading involves substantial risk of loss and is not suitable for all investors. Any performance results listed in all marketing materials represents simulated computer results over past historical data, and not the results of an actual account. All opinions expressed anywhere on this website are only opinions of the author. The information contained here was gathered from sources deemed reliable, however, no claim is made as to its accuracy or content. Different testing platforms can produce slightly different results. Our systems are only recommended for well capitalized and experienced futures traders.
CFTC-required risk disclosure for hypothetical results
Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. in fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.
One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.