It’s that time of year again, when we have the data for all of the CTAs we track through the end of June – the halfway point of the year – allowing us to try and answer the question we get on a daily basis: What’s your BEST managed futures program? That question is always a tricky one, as depending on who is asking it, they may want to know any one of several variations on who is best. Best last year? Best for all time? Best risk adjusted return? Best in terms of lowest Drawdowns?
Our managed futures program rankings have developed over the years into a comprehensive tool which ranks commodity trading advisors (CTAs) across over 25 different metrics measuring performance, risk, experience, and more. The rankings are designed to measure which programs are the BEST across several statistics, then see which are consistently among the top ranked on each set of rankings – and therefore the BEST overall.
This semi-annual newsletter highlighting the Top 15 in our rankings goes a step further, however; listing the Top 5 managed futures programs across several metrics, including YTD performance, highest lowest return, lowest Max DD, Sharpe, Sterling, Sortino, and length of track record.
We list the top 5 programs in each category to not only show who has done well, but also to show that there is much more to being top ranked than just last year’s performance. We are not content to merely show you the best performers year to date or a list of the top performers of all time, and instead want the rankings to reflect the risk of the program, consistency of returns, and experience of the manager as well.
We begin by looking at the number most people fixate on – recent returns – by showing which managed futures programs performed BEST over the past 12 months. This is unfortunately the measure most investors use to determine what investment is best for them, and the reason the year’s hot system or CTA is usually regarded as the BEST. The downside to this analysis, of course, is that it ignores risk. A high return is nice, but at what cost? The BEST performers since July of 2010 have been the following: