Take a Look: Averaging 48k Monthly Managed Futures Returns

What does the average CTA look like? This great question was brought to us by a prospective client the other day, and while it seems simple on the face of it, the question is actually a bit more complex.

Our first reaction was to point them to a picture of Roland Austrup of Integrated Managed Futures Corp., who has that certain managed futures manager look to him.

But we suspected the investor was asking more of a statistical question, as in – what do the monthly gains, losses, drawdowns, and so forth look like for an average CTA. Now, the knee jerk reaction used by 95% of the industry is to simply point the investor to the various CTA indices and say that’s what an average CTA looks like. But is that really true? After all, the CTA indices are made up in many different ways and mostly contain the biggest of the biggest CTAs, not really your run of the mill managed futures program.

This got us thinking of the question a different way that our database can understand: what is the average monthly performance, gain, loss, drawdown amount, and so forth across all CTAs.  And while we’re at it, let’s look at not just the CTAs active as of today, but also all of the CTAs which have come and since gone (getting rid of the so called survivorship bias). Now that seems to be a bit better view of what an ‘average’ CTA should look like.

Without further ado, here’s the stats on over 48,698 monthly returns for 2,603 CTA programs going back to 1977:

(Disclaimer: Past performance is not necessarily indicative to future results.)

Or in graphical format:

(Disclaimer: Past performance is not necessarily indicative to future results.)

(Disclaimer: Past performance is not necessarily indicative to future results.)

But most of us don’t want to be average, right? We strive to be above average, if not an all star.  And that’s where our rankings and recommended list come in. These are programs we have identified as being well above average across multiple metrics, and in terms of our recommended – programs we believe will continue to perform well above average. What does the ‘above average’ program look like in that case:

Graph2_2

(Disclaimer: Past performance is not necessarily indicative to future results.)

We have these averages across 25 different stats if you want to see more (no room here), just shoot us an email at invest@attaincapital.com. Oh, and speaking of rankings, we’re due to put out our semi-annual rankings in a newsletter next week for those who like to see lists. Don’t miss it.

 

 

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DISCLAIMER

Forex trading, commodity trading, managed futures, and other alternative investments are complex and carry a risk of substantial losses. As such, they are not suitable for all investors.

The entries on this blog are intended to further subscribers understanding, education, and – at times- enjoyment of the world of alternative investments through managed futures, trading systems, and managed forex, and is not intended as investment advice, or an offer or solicitation for the purchase or sale of any financial instrument. Unless distinctly noted otherwise, the data and graphs included herein are intended to be mere examples and exhibits of the topic discussed, are for educational and illustrative purposes only, and do not represent trading in actual accounts. Opinions expressed are that of the author.

*The mention of specific asset class performance (i.e. +3.2%, -4.6%) is based on the noted source index (i.e. Newedge CTA Index, S&P 500 Index, etc.), and investors should take care to understand that any index performance is for the constituents of that index only, and does not represent the entire universe of possible investments within that asset class. And further, that there can be limitations and biases to indices such as survivorship and self reporting biases, and instant history.

The mention of general asset class performance (i.e. managed futures did well, stocks were down, bonds were up) is based on Attain’s direct experience in those asset classes, estimates of performance of dozens of CTAs followed by Attain, and averaging of various indices designed to track said asset classes.

It should be noted that past market performance is not indicative of future market movement.No market data or other information is warranted by Attain Capital Management as to completeness or accuracy, express or implied, and is subject to change without notice.

Managed Futures Disclaimer:

Past Performance is Not Necessarily Indicative of Future Results. The regulations of the CFTC require that prospective clients of a managed futures program (CTA) receive a disclosure document when they are solicited to enter into an agreement whereby the CTA will direct or guide the client’s commodity interest trading and that certain risk factors be highlighted. The disclosure document contains a complete description of the principal risk factors and each fee to be charged to your account by the CTA.