Fund Performance

CTA Fund Performance Report – 30 June 2019 – Climbing out of Drawdowns

The performance results for June are now in. We use NilssonHedge for reporting purposes which allows us to expand our performance coverage to include a broader array of long term established FM’s who occupy the CTA space and have been in operation since 1 January 2000 to the current day. This performance report focuses only on those funds with a long term track record (approx 20 years). The reason we adopt this long term horizon for reporting purposes is that to survive in these financial markets over such a long timeframe and still be alive today offering absolute returns to the client takes a special breed of Fund Manager who has expertise in surviving the turmoil of a variety of different market regimes. We like these guys and that is why we focus on them. As the years roll on we will progressively expand our coverage to include those FM’s who narrowly miss out in their inclusion when they reach the 20 year performance track record horizon.

So far for the month of June we have 60 CTA’s reporting and within that grand total we have 37 Systematic Global Trend Following funds. We have to draw the line somewhere and the slow coaches unfortunately miss out.

For those that like the detail, below are the index constituent performance results for the CTA Composite Index (60) and the TF Global Index (37).

CTA Composite Index (Program Composition)

CTA Systematic Trend Following Global Index (Program Composition)

June 2019 saw a continuation of positive performance for the CTA’s with the CTA Composite Index (60) now showing a 4.58% positive return YTD and the TF Global Index (37) reflecting a 3.94% YTD return. Will we see the protracted drawdown that has been experienced by these indexes since January 2015 vaporize, or is this just a short  term teaser before the overall markets flip back into their steady mean reverting rhythm?

This positive result however pales in comparison to the S&P500TR Index which has continued it’s ascent into the heavens offering the best first half result in over 20 years.

How long can that rubber band stretch? It’s going to take out a few eyes when it breaks I tell’s ya 🙂

Systematic Trend Following Global Index Overview

Now as ardent trend followers ourselves, we like to narrow our focus to the Systematic Diversified Global Trend Following community of CTA’s.

For an overview of what moved and what didn’t for the month in this investment space then you should go straight to the source and listen to the Fund Managers themselves.  In this regard, there is no better resource than that provided by Niels Kaastrup-Larsen of ‘Top Traders Unplugged’ and (Dunn Capital Management). This month TTU had great guests offering their perspectives including Corey Hoffstein and Salem Abraham.

Top 10 by by CAGR since 1 January 2000

Below is a performance table and an equal weighted performance chart of the top 10 performers of the Long Term Trend Following Index Composite in terms of annualised returns to investors (net of all fees and expenses) since 1st January 2000.

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’s a wrap for the month. We are progressively clawing our way out of our drawdowns but still have a long way to go. Looking forward to the cool air above after a bit of a rest.

Trade well and prosper

Rich B

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