10 of the Best Managed Futures Programs of 2014

Best of 2014We’ve been talking about Managed Futures 2014 performance a bit in this space… after it took 2nd place in the 2014 Asset Class Scoreboard (beating out the ever so popular U.S. Stock asset class).

But managed futures investors typically don’t invest in the asset class, they invest in managed futures programs (and funds). They invest in real managers doing real trades with real money. Which brings us to… the top such managers (by returns only) last year. Now, some of these yearly numbers will make you look twice, they sure did for us.  And we will make sure to say that one year’s performance doesn’t make a track record. It’s just as important, if not more so, to look at risk metrics like the all time maximum drawdown we list below, and to see how the program does year over year on a risk adjusted basis. But, these are some impressive yearly numbers, so we’ll give some credit where credit is due.

(Disclaimer: past performance is not necessarily indicative of future results. Programs listed consist of those with at least a 3 year track record tracked by Attain Capital Management for investment by clients via managed accounts and do not represent all available programs in the managed futures universe.  The Max DD represents the worst drawdown of all time for the listed programs).

Top 10 CTA's of 20142014 RORMax DDMin. Invst.
Purple Valley Capital - Diversified Trend88.58%-49.34%1,000,000
Dreiss Research Corp. (QEP)85.89%-51.44%1,000,000
Mulvaney Capital -- Global Markets (QEP)67.37%-45.02%10,000,000

Silicon Valley Quantitative -- UQP Small65.80%-41.61%200,000
Tactical Investment -- Instl. Comm. (QEP)50.06%-41.51%10,000,000
Somers Brothers Capital -- Diversified Futures49.49%-33.56%800,000
Schindler Capital -- Daily Advantage 48.98%-41.49%100,000
KeyQuantSAS -- Key Trends (QEP)46.19%-19.15%10,000,000
Southwest Mngd -- Global Diversified 44.94%-32.79%200,000
Ancile Capital -- Global Markets42.75%-16.18%1,000,000

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

P.S. — If we didn’t have that 3yr track record min requirement, this program’s +200% annual return would’ve been at the top.

P.P.S. — While December seems all but a memory, we would be remiss if we didn’t mention the the top 10 list for the month gone by, as we’ve done all year. Here’s December’s winners:

Top 10 CTA's of DecemberDec. RORMax DDMin. Invst.
Futures Trade AG - Swing Trading14.60%-29.15%250,000
Westphal Trading -- Trend Following10.00%-26.10%500,000
Tactical Investment -- Instl. Comm. (QEP)9.92%-41.51%10,000,000
Mulvaney Capital -- Global Markets (QEP)9.05%-45.02%10,000,000
QMS Capital -- Global Macro (QEP)8.73%-11.27%25,000,000
Mark J. Walsh & Company - Standard 8.65%-43.04%2,000,000
Hyman Beck & Company -- Global (QEP)8.50%-33.24%1,000,000
Vail Trading -- Mosaic 8.40%-20.98%4,000,000
Silicon Valley Quantitative -- UQP Small 8.06%-41.61%200,000
MN Xenon -- Managed Futures 2X (QEP)7.56%-35.04%2,000,000

(Disclaimer: Past performance is not necessarily indicative of future results)
Image Courtesy: CFA Institute

5 Reasons This Crude Move is Unbelievable

It’s been one amazing sell off in Crude Oil; so amazing we can’t stop writing about it. We’ve covered the long term picture of Crude, The Best Tweets from Crude’s Drop, How to Play a Bounce , and everyone else’s  articles on crude. But we can’t stop staring at it… We’re the commodity focused moth to the proverbial flame.

But why is this sell off so amazing? What’s special about it?

1.  The sheer velocity. How incredibly steep and unrelenting this down trend has been, for starters:

[Read more…]

2014 – Best/Worst Performing Asset Classes

What “sport” has 1000’s of teams, no rules, gets played night and day across the world with a scoreboard updated minute by minute, day by day, year by year, and decade by decade? It’s none other than the “game” of investing, where a new year is a great time to see where different assets finished in relation to each other.

Now, we’ve said before that comparing different asset class performances is like comparing apples and oranges, so we won’t make too much of Managed Futures coming in “second place” But, hey, if you can’t trumpet managed futures good year on a managed futures blog, where can you do it? We’re just happy Managed Futures proved that they have unique return drivers, and can perform when stocks are moving up or down. (For more on how and why managed futures performed the way they did, see our 2014 Managed Futures Strategy Review).

Elsewhere, world stocks slid in December, to be the only other asset class finishing in the negative on the year other than commodities… talk about a tough year for diversified portfolios.

P.S – If you’re looking at commodities and wondering if we looked at the data incorrectly, the answer is no… commodities did end down -14.32% in December alone, down -32% on the year.

Asset Class Scoreboard Final(Disclaimer: Past performance is not necessarily indicative of future results)

Asset Class Scoreboard Chart

(Disclaimer: past performance is not necessarily indicative of future results.)
Source: All ETF performance data from Morningstar.com
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 (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)

Managed Futures Post Best Yearly Performance since 2008

That’s right, the wait is finally over. After losses in four of the past five years, managed futures finally shook off the rust and posted strong gains in 2014.  Strong enough gains, it turns out – to erase the aforementioned losses and push most managed futures indices to new all time highs. If only someone had been saying managed futures was a great buying opportunity back at the end of 2013.

Anyway, the various indices we track averaged a double digit gain, good enough for best performing hedge fund strategy of 2014 and a thorough thrashing of managed futures very distant cousins – long only commodities ($GSG -37.19%, $DBC -31.06%, $DJP -19.59%). Although not quite good enough to beat the ever resilient US stock market (they need to leave something for an encore).

How and why – it comes down to the US Dollar and the big move down in energy markets. For more on how managed futures could have possibly foreseen Crude Oil falling over 50% in 6 months – check out our 2014 Strategy Review here (hint, it’s not as magical as you think). For now, let’s enjoy the ride while it lasts:

Managed Futures 2014 Performance(Disclaimer: Past performance is not necessarily indicative of future results)
(BarclayHedge reporting 61.38% of funds, numbers subject to change)

P.S. –Most of the Attain’s Family of Alternative Funds outperformed the indices themselves. To get monthly performance and research updates on the family of funds, sign up here.

Alternative Links: Crude Cruder Crudiest Edition

“Barclays estimates US oil ETFs attracted $600m of new investment in December as investors bet on a recovery in prices. To put that number in perspective, it is equivalent to 25 per cent of the total AUM in global energy ETFs at the end of November.”

Commodity price falls trigger big drop in assets – (FT)

Crude Oil:

How to Play a Bounce in Oil (Hint: Not $USO) – (Attain Alternatives Blog)

Oil at $50 – (The Economist)

Chart o’ the Day: The Truth About Oil in Modern Society – (Reformed Broker)

Trend Following: [Read more…]

Managed Futures 2014 Strategy Review

Strategy Review_1What a difference a year makes…  After three lackluster years of investors treading water with Managed Futures – 2014 finally saw some of the outlier moves needed for the asset class to thrive. We’re talking likely gains of around 15.57% for the Newedge CTA Index, in a year where stocks continued to climb, proving once again that the asset class is non-correlated to the stock market, not negatively correlated.

In our annual end of year tradition, we take a moment to dig a little deeper into the overall asset class performance number and give some color on the different types of strategies which make up the managed futures asset class (no… it isn’t all trend following). Without further ado, our 2014 Review of the Strategies that comprise Managed Futures:

Trend Following:

[Read more…]

The Difference Between Then and Now

In case you missed it, we were featured in Investments News a couple months back explaining “Why Managed Futures Aren’t Getting the Job done.” It’s not just about the industry’s recent drawdown. It’s also about what kind of exposure you have, why some exposures might not be working, and what you can do to get the exposure you’re looking for.

Check it out if you have some downtime while you’re home for the holidays.

Oh, and P.S. – Managed Futures just hit new all time highs.