CTA Fund Performance Report – 31 January 2020 – Storm Clouds Brewing
So here we are trend followers. A fairly balmy January with no sign of any change in the endless ascent of the S&P500 *spoiler alert*……and yet somewhere far far away a little sneeze (literally) this month is about to bring the house of cards down next month.
Who woulda’ thunk it….a sneeze………but that is what uncertainty brings to this game of speculation…..but let’s don’t get ahead of ourselves. It is January and we are all blissfully unaware.
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 January 2020 we have 54 CTA’s reporting and within that grand total we have 33 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 (54) and the TF Global Index (33).
- CTA Composite Index (Program Composition)
- CTA Systematic Trend Following Global Index (Program Composition)
The CTA Composite Index 54 starts the 2020 year up 0.61% ….and the TF Global Index 33 up 0.83% .
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 and in Niels’ Market Barometer blog series.
- Market Trends for January 2020
- The Systematic Investor Series – December 29th, 2019
- The Systematic Investor Series – January 5th, 2020
- The Systematic Investor Series – January 13th, 2020 (Featuring Andreas Clenow – Part 1)
- The Systematic Investor Series – January 14th, 2020 (Featuring Andreas Clenow – Part 2)
- The Systematic Investor Series – January 20th, 2020
- The Systematic Investor Series – January 26th, 2020
- The Systematic Investor Series – February 3rd, 2020
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.
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? There is enough style drift in this camp to observe significant variation in performance returns over the short term. Some of the mob have performed strongly over the last 12 months.
….and the top 3 from this Top 10 category.
Well that’s a wrap for the month…..but the storm clouds are brewing and a bad moon is rising as something as small as a ‘sneeze’ is about to test the fragility of these markets.
Trade well and prosper
The ATS mob