CTA Fund Performance Report – 31 August 2019 – Up, Up and Away in my Beautiful, my Beautiful Balloon
We are there chaps. We finally have removed that nasty persistent drawdown that has been plaguing us since early 2015….and it’s time to celebrate. On writing this momentous report with the benefit of hindsight there is a small kick in the guts coming in September….but that is just how the cookie crumbles. It shouldn’t interfere with our right to celebrate….just a bit.
The performance results for August 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 August we have 62 CTA’s reporting and within that grand total we have 40 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 (62) and the TF Global Index (40).
- CTA Composite Index (Program Composition)
- CTA Systematic Trend Following Global Index (Program Composition)
August 2019 saw a continuation of positive performance for the CTA’s with a hefty uplift for the month of 5.29%. The CTA Composite Index (62) is now showing a 12.73% positive return YTD with the TF Global Index (40) reflecting a 14.16% YTD return following a 5.69% roar for August. The significant trends of August was more a continuation of the more recent volatility associated with general market uncertainty. There was just so much news this month….will it….won’t it….will it ….won’t it. Trend followers just turned off the news and followed along.
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) in his Systematic Investor Series with Moritz Seibert and Jerry Parker.
- Market Trends for August 2019
- The Systematic Investor Series – August 6th, 2019
- The Systematic Investor Series – August 11th, 2019
- The Systematic Investor Series – August 19th, 2019
- The Systematic Investor Series – August 25th, 2019
- The Systematic Investor Series – September 2nd, 2019
Top 10 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. Mulvaney with its aggressive leverage pulls in a very big month shuffling it from 2nd place to first place this month.
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 leveraged 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. Perhaps we should avoid that predictive assumption.
….and the top 3 from this Top 10 category.
Well that’s a wrap for the month. In those rare instances when you are out of drawdown…..it’s time to celebrate, Bust open the bubbles and experience the thrill of blue sky.
Trade well and prosper
The ATS mob