What funds remain Highly Ranked after February’s Stress Test?

Pain was felt throughout the Managed Futures world in the month of February. Some had very large positions in a single sector that cost them dearly. Some lost most of their 2018 gains but was able to employ their risk metrics to fight another day, and some funds were on the right side of volatility. Of course, hindsight is 20/20 and performance is not necessarily indicative of future results, but one of the worst months in Managed Futures history is an opportunity to see who continues to walk the walk.

One month isn’t all that important in the grand scheme of things when it comes to averaging performance and measuring consistency of returns and the like. But when it’s an outlier to the downside, it’s more important than you might think in stress testing a program’s risk protocols and seeing if performance remains inside expected bounds – both at the program level and in relation to other programs who were dealt the exact same hand.

Introducing our 2018 Managed Futures Rankings, which we delayed a little past its normal release to include program’s February 2018 returns, good or bad. Our rankings start by filtering the BarclayHedge database to a smaller subset of managers which have at least 36 months of track record and are investable (no pro-forma or prop account records, for example; or currency traders using Turkish banks).

We then measure the programs across different metrics related to return (like compound RoR, Omega ratios), risk (like lowest 3yr return, average drawdown), correlation levels, and length of track record. Next, we time-weight the numerous statistics, evaluating each metric across 1, 3, 5, and 10 year time periods in addition to the full length of the program since its inception. This focus on varying time frames ensures that great returns far back in a program’s track record don’t skew their ranking, and, likewise, that newer programs that haven’t “lived through tough times” don’t dominate the rankings.

The Managed Futures asset class is a diverse place with multiple strategies, where top performers can come from the biggest of the big, like multi-Billion dollar Man AHL – or small specialized traders like Tanyard Creek’s sub $100 million hog program. While the bigger managers have the budgets to create glossy brochures and jet around to conferences and comfort investors that they know what they’re doing, there’s a refreshing simplicity to cutting through all that noise and looking just at the numbers. Everyone says they control risk- but who does it better than the next guy. Everyone thinks they can outperform in a down cycle for the asset class, but who’s really zigging while the rest of the space has zagged. To get into the nitty-gritty, we created nine categories of rankings that most investors are looking at when considering an investment.

Click here to download the rankings!

PS – while we categorize and put these in a nice package for you twice a year – our CTA database has rankings which update monthly as managers report their numbers, for you to build your own watchlists and identify top performers on any number of metrics.

The performance data displayed herein is compiled from various sources, including BarclayHedge, and reports directly from the advisors. These performance figures should not be relied on independent of the individual advisor's disclosure document, which has important information regarding the method of calculation used, whether or not the performance includes proprietary results, and other important footnotes on the advisor's track record.

Benchmark 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, self reporting, and instant history.

Managed futures accounts can subject to substantial charges for management and advisory fees. The numbers within this website include all such fees, but it may be necessary for those accounts that are subject to these charges to make substantial trading profits in the future to avoid depletion or exhaustion of their assets.

Investors interested in investing with a managed futures program (excepting those programs which are offered exclusively to qualified eligible persons as that term is defined by CFTC regulation 4.7) will be required to receive and sign off on a disclosure document in compliance with certain CFT rules The disclosure documents contains a complete description of the principal risk factors and each fee to be charged to your account by the CTA, as well as the composite performance of accounts under the CTA's management over at least the most recent five years. Investor interested in investing in any of the programs on this website are urged to carefully read these disclosure documents, including, but not limited to the performance information, before investing in any such programs.

Those investors who are qualified eligible persons as that term is defined by CFTC regulation 4.7 and interested in investing in a program exempt from having to provide a disclosure document and considered by the regulations to be sophisticated enough to understand the risks and be able to interpret the accuracy and completeness of any performance information on their own.

RCM receives a portion of the commodity brokerage commissions you pay in connection with your futures trading and/or a portion of the interest income (if any) earned on an account's assets. The listed manager may also pay RCM a portion of the fees they receive from accounts introduced to them by RCM.

See the full terms of use and risk disclaimer here.