CTA Fund Performance Report – 31 May 2019 – A Month of Reversals

May 2019 saw another positive performance result for the Commodity Trading Advisors as a group. This is the fourth consecutive month in a row for positive returns in the CTA Composite Index (12)….however despite the solid performance of the CTA’s as a whole, we saw a slight negative result for the Trend Following Global CTA’s.

As it pans out, despite the fairly trendy environment in May, these trends were a reflection of market reversals. The medium to long term nature of the Trend Following Global CTA’s take some time to adjust to new emerging trend directions.

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 (12) contains 12 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 31 May 2019.

The composition of the CTA Composite Index (12) currently comprises 64 programs that have been in operation at least since 1 Jan 2000 and are described in the following MS Excel attachment.

CTA Composite Index (Program Composition)

The top 10 performers in terms of CAGR in this list of 64 programs between 1st Jan 2000 to 31 May 2019 are as follows.

Systematic Trend Following Global Index Overview

The systematic trend following global CTA’s which comprises 39 long term Programs unfortunately produced a negative return for the month of -1.14% and brings the YTD result commencing 1 Jan 2019 to a modest 1.05% positive return.

The composition of the CTA Systematic Trend Following Global Index are described in the following MS Excel attachment.

CTA Systematic Trend Following Global Index

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). 

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. 

Surf’s picking up guys. Get the wax on the long boards!!!!!

Trade well and prosper

Rich B

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