CTA Overview

April brought a bit more joy and welcome relief to the Commodity Trading Advisors (CTA’s) providing an overall 1.55% return to the CTA Composite Index (15).  This is the third consecutive positive month of performance from the Composite Index  and provides welcome relief to the overall stagnation and building drawdowns that have been experienced across the sector since the equity high of April 2015. For the 2019 calendar year the CTA Composite Index (15) has improved 3.41% for the 4 month period.

It is still early days but expectations are building in regards to a reversion back to the long term regression displayed on the chart below. This comes off the back of a slight downturn in the S&P500TR for April of -2.09%. 

Perhaps trend following is not dead after all……perhaps we have just been resting.

As discussed in the recent update to this method of performance reporting, we are now using NilssonHedge for reporting CTA performance results which allows us to expand our performance coverage to include a broader array of long term established FM’s who occupy the CTA space. 

The CTA Composite Index (15) contains 15 separate Indexes that have been in operation since 1 Jan 2000 to the present day.  This includes a range of different methodologies comprising systematic and discretionary programs that are classified as Trend Following, Multi-strategy, Fundamental, Event Driven or Option Writing programs.

The systematic trend following global asset index which was the subject of earlier versions of this monthly report currently plots as the 4th best performing index in terms of risk-weighted returns (using the MAR ratio) between 1st Jan 2000 and 30 April 2019.

The composition of the CTA Composite Index (15) currently comprises 60 programs that have been in operation at least since 1 Jan 2000 and are described in the following MS Excel attachment.

CTA Composite Index (15)

The top 10 performers in terms of CAGR in this list of 60 programs between 1st Jan 2000 to 30 April 2019 are as follows.

Systematic Trend Following Global Index Overview

The systematic trend following global CTA’s also performed admirably during April 2019 with a 1.98% increase  for the month and the 3rd consecutive positive month in a row bringing the calendar year to date result to a modest 2.50%.

Currently there are 37 long term established programs included in this equally weighted index.  A comprehensive listing of the programs included in this long term index are as follows.

CTA Systematic Trend Following Global

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 includes the thoughts of Wayne Himelsein who was invited to spend some time with Jerry, Moritz and Neils on the podcast to share his views. 

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. Will trends return like the good ol’ days?…Cross your fingers and make a wish. 

https://www.youtube.com/watch?v=PSZxmZmBfnU

Trade well and prosper

Rich B

 

 
 

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