CTA Fund Performance Report – 31 July 2020 – “Like the Windmills of a Mind”


When I start to investigate something that I ‘think’ I know……the more it reveals to me how this universe likes to play tricks on a ‘certain’ mindset.  The more I dig down into a thing, the less definite I become that I am actually investigating a thing at all. I am simply burying my head deeper into a rabbit hole of ‘processes within processes’.  So to understand processes better I then need to extract my head from that rabbit hole to understand how ‘all these supposed things’ are connected’.

The ‘things’ then just dissolve into an emergent form from the way a nested system architecture expresses itself.

This is when it all suddenly clicks in the mind and you become a ‘trend follower’. You start to realise that the way you play this game, as a participant in this majestic system, is to stop thinking that you have ‘control’ and are independent to the system you reside in…and rather release this ‘controlling mindset’ in favour of a more inquisitive and humble passive mind that absorbs it all and closely observes how that system within which you are a single agent ‘flows’.

With this altered mindset you start to throw away the conventional methods we have of defining a system such as the convenient ‘nouns’ we use to describe what really is a deeper ‘verb oriented process’ and start to see the role that time plays in this never ending process of wheels within wheels and emergent relationships. You start to observe the deeper connections between things and scratch your head wondering why we simply have a myopic focus towards an economy when that economy is dependent on the society that feeds from it and the environment that supports it……and then as you start to examine the relationships further, you start to see the relationships that exist between these ‘nouns’ we like to call ‘things’ and their pivotal role in uniting the disparate processes into a coherent whole.

Now poetically a trend follower then states that ‘we follow price’ and don’t predict price’…… which is actually a secret code between Trend Followers that unite them in this philosophy of ‘the flow’.

Those who have yet to reach this conclusion scratch their heads and wonder ‘what drugs we are on’…..but it is no different to any curious observer that seeks to understand their ‘humble’ place in a greater system where total knowledge is just outside our reach. How can we ‘know all’ when we are just participants in this system. We are not Gods looking from outside in….we are ‘curious agents’ looking from inside out. The shift in perspective suddenly allows you to see things far more clearly allowing for a coherent mind to think in terms of a causal train of systemic processes that unite into a grand moving picture.

We throw away that which we don’t understand as being relevant to the processes we observe and hold onto that which we do. This therefore forces us to walk to the ‘beat of our own drum‘ in understanding how we fit into the greater scheme of things. You see it is only when you beat your own drum that you start to hear the melody around you. It is always better to play your own melody than someone else’s to actually ‘feel’ the music.

So don’t mess with us Trend Following folk. We are a fairly unique mob that frequently has arguments even within our fraternity and we rarely share the same beat of the drum….but that is what makes us all powerful. We are a very counter-intuitive bunch that have locked onto a sequence of processes that create a coherent personal philosophy. We will observe you….but it doesn’t necessarily mean that we will share your point of view.

You see you might say “You trend following guys are whacko, how can the universe start from nothing?….and then you might hear us say….”Perhaps that ‘nothing’ is a ‘something’. Maybe your problem all along has been that you ‘see the things’ and don’t ‘observe the processes’.

…..anyway where were we….Oh yes…back to the monthly CTA Fund Performance Report for July 2020 .

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 July 2020 we have 41 CTA’s reporting and within that grand total we have 28 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 (41) and the TF Global Index (28).

The CTA Composite Index 41 was up 3.67% for the month with the calendar year offering modest growth in a volatile year of 6.59%….and the TF Global Index 28 was up 3.10% with a YTD contribution of 5.35%.


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

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. Just look at those returns. It might be a bumpy journey along the way….but when these guys nail it…they hit it out of the ball-park.


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…

What is coming up for next month….well be really don’t know. Just lot’s of swirling whirling processes…….so stay safe my friends and just ‘go with the flow’ using the Windmills of Your Mind.


Trade well and prosper

The ATS mob






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