Managed Futures Exit 3yr Drawdown, Hit New All Time Highs

While we haven’t quite crossed the finish line yet, this is shaping up to be one of managed futures best years in quite some time.  We had its best monthly performance since 2002, its best quarter since 2008 (only because December hasn’t ended yet), and upon closer inspection – November’s performance officially pushed the Newedge CTA Index out of its 3 and ½ year, -12.58%drawdown, to reach all time highs (that’s about 17.79% from the generational low we spoke of in September 2013).

Move over stocks, and let managed futures share that new all time high spotlight some…

Managed Futures AlL Time High 3(Disclaimer: Past performance is not necessarily indicative of future results)

Let just hope we don’t jinx it… it’s embarrassing when we have to pull out the Wilson Phillips song.

6 Takeaways from the Performance of 8 Asset Classes YTD

Our takeaways:

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Attain Funds – November Performance

We launched a family of alternative investment funds earlier this year, and each month, we share its performance numbers and match them against its liquid alt counterparts (see below). To get the full platform report emailed monthly with commentary on how each fund made/lost money, full track records, and all the relevant stats – register here.

FundMonthYTDAnn DD
Attain Global Macro Fund+7.27%+10.84%-6.03%
Attain Trend Following Fund+6.81%+21.87% -5.74%
Attain Short Term Alpha Fund+3.74%+7.08% -14.07%
Attain Relative Value Fund-0.63%+0.25%-6.46%
Liquid Alternative Comparisons
AQR Managed Futures Strategy I Mutual Fund (AQMIX)+7.64%+6.42%-6.42%
361 Managed Futures Strategy A Mutual Fund (AMFQX)+0.44%+4.88%-2.56%
Morningstar Managed Futures Mutual Fund Category^+3.35%+7.00%

^ = Morningstar Managed Futures Mutual Fund Category performance through December 5th.
Annual DD = The worst drawdown experienced by the strategy for the calendar year.

Disclaimer:  The return numbers herein include estimates of the full month performance for the previous month, and include assumptions for accrued fees, the effect of additions and redemptions, and other factors which may cause the final numbers compiled by the fund administrator to differ slightly.

Please refer to each fund’s disclosure documents for more information. Past performance is not necessarily indicative of future results. Futures trading is complex and presents the risk of substantial losses. As such, it may not be suitable for all investors. There is no guarantee that any investment product will achieve its objectives, generate profits or avoid losses.

Managed Futures Nov Performance (cue the Happy Dance!)

If we imagined what a Managed Futures happy dance might look like, it would go a little something like this.

Happy Dance(Image Courtesy: businesswritingthatcountsblog)

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Liquid Alt Analysis: AQR’s Managed Futures Fund (AQMIX)

AQR’s managed futures offering has garnered quite a bit of assets in the Liquid Alt section of managed futures “40 Act” funds (aka mutual funds) over the past two years. Since the inception of AQR’s Managed Futures Strategy I ($AQMIX) in Jan ’10, they’ve gone from $0 to $6.6 Billion in assets as they’ve canvassed the country with wholesalers pitching famous quant Cliff Asness’ products. It doesn’t hurt, either, that Cliff is everywhere…  Connie Mack interviews, Investment News conferences, CNBC appearances, etc.)

One investment advisor we talked to invested in $AQMIX said he invested because he liked the story about Cliff Asness in “The Quants” punching his computer. That’s one way to pick investments… just don’t tell your clients.

Now, whenever we see popular liquid alts like this gaining steam (see 361 Capital’s here), we wonder just how well they stack up against real managed futures managers, you know, the one’s doing separately managed accounts and privately offered funds. High Net Worth Individuals can invest directly in such managers through folks like Attain, while advisors typically need to access through privately offered funds (CPO), as once it’s a fund, it becomes a security, making them licensed to sell it and it able to show up on the client’s statements.  PS – There’s a little group we know doing some good stuff in the privately offered fund space, see here.

But all this leads to the question of how do the Liquid Alts like the gorilla of a fund, AQMIX, stack up against the privately offered stuff.

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Asset Class Scoreboard (where’d that stock loss go?)

The month’s Asset Class Scoreboard numbers is a perfect example of just how much noise is out there in the markets. If you were glued to your twitter feed in October, you may have been freaking out about the -5% drop, but someone who checks in monthly doesn’t even see it… October finished just fine for them after a somewhat rare stock market bounce.

And then there’s managed futures, which somehow amidst all the ‘trend following is dead’ commentary and articles about Paul Tudor Jones losing money – posted its third consecutive month of gains, and 6th out of the past 7 months, to find itself sitting in third place on our YTD scoreboard.  Of course, this is an index, not all managed futures programs are up. But just the same, it sure is nice to be around the upper tier for a while after spending most of the past few years towards the bottom.

PS – take a look at the buy and hold commodities trade, down double digits on the year as Crude Oil joined the commodity sell off in October, to join grains and metals which had done so in the month’s prior.

Table of Asset Class ScoreboardChart Asset Class Scoreboard(Disclaimer: past performance is not necessarily indicative of future results)
Source: All ETF performance data from
Sources: Managed Futures = Newedge CTA Index, Cash = 13 week T-Bill rate
Bonds = Vanguard Total Bond Market ETF (BND),
Hedge Funds= IQ Hedge Multi-Strategy Tracker ETF (QAI)
Commodities = iShares GSCI ETF (GSG); Real Estate = iShares DJ Real Estate ETF (IYR);
World Stocks = iShares MSCI ACWI ex US Index Fund ETF (ACWX);
US Stocks = SPDR S&P 500 ETF (SPY)

Alt Links: Word of the Week (Commodity Trading Advisor)

Managed Futures:

Bloomberg’s Word of the Week is a Commodity Trading Advisor – (Bloomberg TV)

Skip to 2:20 for Word of the Week

Managed Futures October Performance – (Attain’s Alternatives Blog)


Alternative Strategies Gain Traction in College Endowments – (Think Advisor)

Futures & Miscellaneous

Kids Explain Futures Trading – (Wall Street Journal Video)

Pain in Trains Falls Mainly on Grain – (Wall Street Journal)

CBOE may cut VIX futures trading hours after glitches – (Reuters)

Liquid Alts:

Liquid alts get warning from SEC’s Norm Champ – (Investment News)

Are ‘Alternatives’ an Asset Class? Maybe Not. – (Wall Street Journal Blog)