So the performance results from IASG’s wonderful database are in for the month of November 2018….and while the CTA’s may have experienced a flat month with no absolute return as a group, the hedge protection offered by their traditional non-correlated nature with equities and bonds came to the rescue.
While offering nothing to crow about, a flat return from the systematic trend following funds for the month is certainly a welcome result considering equities represented by the S&P500 TR Index (Total Return) plummeted 7.7% in November which added to the pain of Septembers plunge bringing the S&P500 TR Index to a 12.2% drawdown from it’s equity high in August 2018.
You see *tapping bowl of pipe*, it’s all relative my Dear.
It is not hard to see why these juggernauts are non-correlated with the traditional equity/bond portfolio. A major contributor to this non-correlated offering is that they tend to trade both the long and short direction and furthermore they cut losses short and let profits run. This methodology is significantly different to the traditional buy and hold approach and hence uncorrelated in nature.
In addition to systemic differences in investment approach , the systematic fund managers in this space are broadly diversified across:
1. a broad range of liquid asset classes such as metals, soft commodities, energies, equities & indices and treasuries;
2. timeframes; and
Now you may feel that you have a diversified portfolio of equities, but in times like these where equities markets are correcting you observe a sea of red in your portfolio. This feature of high correlation during market routs exposes your actual lack of diversification.
The Trend Following index which is derived from an equally weighted composite of the Funds tracked in this performance report, saw a break-even result of -0.12% for the month. A welcome result from the horrific whipsaws experienced by the CTA’s of last month.
If the volatility continues into December (which as I write…it does), then the CTA’s may be well placed to start clawing back their extended drawdowns suffered from as far back as March 2015. Move over traditional buy and hold portfolios….it is now time for the CTAs to have their time in the sun.
The regular market trends report from Neils Kaarstup-Larsen on his website “Top Traders Unplugged’ provides a detailed overview of what zigged and zagged during the month. In a nutshell for November it was all about Energies and Bonds.
For those who are interested in hearing a commentary for November 2018 from some of the heavyweights in the diversified systematic fund management space, then listen to a November 2018 wrap up from Neils, Jerry and Moritz here.
Individual Fund Performance
Below are the individual performance results of the programs that comprise the TF Index ranked from highest monthly performance to lowest.
|Mulvaney Capital Management||The Mulv Global Markets Prog||15.6%|
|Millburn Corporation||Commodity Program||6.7%|
|SouthWest Managed Investments, LLC||Global Diversified||4.9%|
|Silicon Valley Quant Advisors||US Quantitative Portfolio (UQP)||4.0%|
|Tactical Invest Management||Tactical Instit Commodity Prog||3.6%|
|Mondiale Asset Management||Mondiale Trading Program (2X)||3.1%|
|Winton Capital Management||Winton Futures Program||2.6%|
|Mark J. Walsh Company||Standard Program||2.5%|
|Melissinos Trading||Eupatrid Program||2.4%|
|Silicon Valley Quant Advisors||UQP Small||2.1%|
|M.S. Capital Management||Global Diversified Program||1.9%|
|FORT LP||Fort Global Diversified||1.9%|
|Drury Capital||Diversified Trend-Following Prog||1.8%|
|Quantica Capital AG||Quantica Managed Futures||1.8%|
|Superfund Group||Superfund Green Master||1.7%|
|Blackwater Capital Management||Global Program||1.6%|
|Millburn Corporation||Diversified Program||1.4%|
|FORT LP||Global Fut Prog (Glob Div Classic)||1.3%|
|Estlander & Partners||Alpha Trend||1.0%|
|EMC Capital Advisors, LLC||Classic||0.9%|
|Welton Investment Partners||Welton Global||0.6%|
|Superfund Group||Superfund Green Q-AG||0.2%|
|Rivercast Capital LLC||Rivercast Program||NA|
|Covenant Capital Management||Original Program||NA|
|ISAM||ISAM Systematic Trend Fund||NA|
|Rabar Market Research||Diversified Program||NA|
|Clarke Capital Management||Millennium||NA|
|Clarke Capital Management||Global Magnum||NA|
|Clarke Capital Management||Global Basic||NA|
|Clarke Capital Management||Worldwide||NA|
|Beach Horizon LLP||Managed Account||NA|
|Campbell & Company, LP||Camp MF Comp (f/k/a FME Lge)||-0.4%|
|Crabel Capital Management||Crabel Multi-Product||-0.5%|
|Parizek Capital||Futures Trading Program||-0.7%|
|Eckhardt Trading Company||Standard||-0.8%|
|Eckhardt Trading Company||Evolution Strategies 1.2X||-1.0%|
|FTC Capital GmbH||FTC Futures Fund Classic (EUR)||-1.1%|
|Dreiss Research Corporation||Diversified Program||-1.1%|
|Transtrend B.V.||DTP – Standard Risk (EUR)||-1.2%|
|Hamer Trading||Diversified Program||-1.3%|
|Transtrend B.V.||DTP – Enhanced Risk (USD)||-1.4%|
|Transtrend B.V.||DTP – Enhanced Risk (EUR)||-1.6%|
|Rivoli Fund Management||Rivoli International Fund (MAP)||-1.8%|
|SMN Invest Services GmbHsmn||Diversified Futures Fund (i14)||-1.9%|
|Chesapeake Capital||Diversified Plus||-1.9%|
|Abraham Trading Company||Diversified Program||-2.0%|
|Aspect Capital||Aspect Divers Fund – Class A (USD)||-2.0%|
|SMN Invest Services GmbHsmn||Diversified Futures Fund (1996)||-2.1%|
|Rotella Capital Management||Rotella Polaris Program (Divers)||-2.2%|
|W.G. Wealth Guardian Ltd||SAFI2 Program||-2.8%|
|Alder Capital DAC||Alder Global 10||-3.1%|
|Trigon Investment Advisors, LLC||Foreign Exchange Program||-3.7%|
|Alee Capital Management, LLC||Mistral Program||-4.9%|
|DUNN Capital Management||World Monet & Agric Prog (WMA)||-5.9%|
|Alder Capital DAC||Alder Global 20||-6.3%|
|Quest Partners LLC||AlphaQuest Original Prog (AQO)||-8.5%|
|DUNN Capital Management||D’Best Futures Fund, L.P.||-8.5%|
Top 10 by by CAGR since 1 January 2000
Below is a top ten performance table and an equal weighted performance chart of the ranked top 10 performers of our program listing in terms of annualised returns to investors (net of all fees and expenses) since 1st January 2000 or since their inception if beyond this commencement point.
Here is a scatter plot that highlights where the top 10 sit in terms of their Compound Annual Growth rate (CAGR) and Maximum Drawdown over the performance monitoring period.
Below are the performance metrics of the Top 3 from this Top 10 list by CAGR.
Top 10 by Risk Adjusted Return (using the MAR ratio) since 1 January 2000
Now onto the risk adjusted return category. This category is for those that get ulcers when riding the drawdowns of volatile equity curves. Here are the results of the Top 10 in this category.
….and the top 3 from this Top 10 category.
Top 10 for the last 12 months
So how are the guys going in the short term? You may have been under the impression that trend following was dead. Well it pays to go to the source and not the assumption, as the style drift in the trend following camp is sufficient for there to exist strong performance results within this Index grouping.
….and the top 3 from this Top 10 category.
Well that about wraps things up for the month but before I go…..I thought I would leave you with some food for thought.
Why do these guys ‘follow price’ rather than attempt to “predict it”? Sometimes a picture paints a thousand words. I will let the following animations do most of the talking.
The following picture displays predictability and is how many like to view the markets, namely…..that price will oscillate around a historic average. As a result, they assume they can predict the future market condition. This works for a time….until it doesn’t. This feature is why so many traders who adopt this philosophy have short track records ending in ‘blow ups’.
But this is how these diversified fund managers view complex financial markets and why they prefer to follow price rather than predict it. This is why these guys have such long track records.
Trade well and prosper