Fund Performance Report – 30 November 2018 – “It’s all Relative………My Dear Watson!!!

So the performance results from IASG’s wonderful database are in for the month of November 2018….and while the CTA’s may have experienced a flat month with no absolute return as a group, the hedge protection offered by their traditional non-correlated nature with equities and bonds came to the rescue.

While offering nothing to crow about, a flat return from the systematic trend following funds  for the month is certainly a welcome result considering equities represented by the S&P500 TR Index (Total Return) plummeted 7.7% in November which added to the pain of Septembers plunge bringing the S&P500 TR Index to a 12.2% drawdown from it’s equity high in August 2018. 

You see *tapping bowl of pipe*, it’s all relative my Dear.

It is not hard to see why these juggernauts are non-correlated with the traditional equity/bond portfolio. A major contributor to this non-correlated offering is that they tend to trade both the long and short direction and furthermore they cut losses short and let profits run. This methodology is significantly different to the traditional buy and hold approach and hence uncorrelated in nature.

In addition to systemic differences in investment approach , the systematic fund managers in this space are broadly diversified across:
1. a broad range of liquid asset classes such as metals, soft commodities, energies, equities & indices and treasuries;
2. timeframes; and
3. systems.

Now you may feel that you have a diversified portfolio of equities, but in times like these where equities markets are correcting you observe a sea of red in your portfolio. This feature of high correlation during market routs exposes your actual lack of diversification.

The Trend Following index which is derived from an equally weighted composite of the Funds tracked in this performance report, saw a break-even result of -0.12% for the month. A welcome result from the horrific whipsaws experienced by the CTA’s of last month. 

If the volatility continues into December (which as I write…it does), then the CTA’s may be well placed to start clawing back their extended drawdowns suffered from as far back as March 2015. Move over traditional buy and hold portfolios….it is now time for the CTAs to have their time in the sun.

The regular market trends report from Neils Kaarstup-Larsen on his website “Top Traders Unplugged’ provides a detailed overview of what zigged and zagged during the month. In a nutshell for November it was all about Energies and Bonds.

For those who are interested in hearing a commentary for November 2018 from some of the heavyweights in the diversified systematic fund management space, then listen to a November 2018 wrap up from Neils, Jerry and Moritz here.

Individual Fund Performance

Below are the individual performance results of the programs that comprise the TF Index ranked from highest monthly performance to lowest.

FundProgramNov 2018
Mulvaney Capital ManagementThe Mulv Global Markets Prog15.6%
Millburn CorporationCommodity Program6.7%
SouthWest Managed Investments, LLCGlobal Diversified4.9%
Silicon Valley Quant AdvisorsUS Quantitative Portfolio (UQP)4.0%
Tactical Invest ManagementTactical Instit Commodity Prog3.6%
Mondiale Asset ManagementMondiale Trading Program (2X)3.1%
Winton Capital ManagementWinton Futures Program2.6%
Mark J. Walsh CompanyStandard Program2.5%
Melissinos TradingEupatrid Program2.4%
Silicon Valley Quant AdvisorsUQP Small2.1%
M.S. Capital ManagementGlobal Diversified Program1.9%
FORT LPFort Global Diversified1.9%
Drury CapitalDiversified Trend-Following Prog1.8%
Quantica Capital AGQuantica Managed Futures1.8%
Superfund GroupSuperfund Green Master1.7%
Blackwater Capital ManagementGlobal Program1.6%
Millburn CorporationDiversified Program1.4%
FORT LPGlobal Fut Prog (Glob Div Classic)1.3%
Estlander & PartnersAlpha Trend1.0%
EMC Capital Advisors, LLCClassic0.9%
Welton Investment PartnersWelton Global0.6%
Superfund GroupSuperfund Green Q-AG0.2%
Rivercast Capital LLCRivercast ProgramNA
Covenant Capital ManagementOriginal ProgramNA
ISAMISAM Systematic Trend FundNA
Rabar Market ResearchDiversified ProgramNA
Clarke Capital ManagementMillenniumNA
Clarke Capital ManagementGlobal MagnumNA
Clarke Capital ManagementGlobal BasicNA
Clarke Capital ManagementWorldwideNA
Beach Horizon LLPManaged AccountNA
Campbell & Company, LPCamp MF Comp (f/k/a FME Lge)-0.4%
Crabel Capital ManagementCrabel Multi-Product-0.5%
Parizek CapitalFutures Trading Program-0.7%
Chesapeake CapitalDiversified-0.8%
Eckhardt Trading CompanyStandard-0.8%
Eckhardt Trading CompanyEvolution Strategies 1.2X-1.0%
FTC Capital GmbHFTC Futures Fund Classic (EUR)-1.1%
Dreiss Research CorporationDiversified Program-1.1%
Transtrend B.V.DTP – Standard Risk (EUR)-1.2%
Hamer TradingDiversified Program-1.3%
Transtrend B.V.DTP – Enhanced Risk (USD)-1.4%
Transtrend B.V.DTP – Enhanced Risk (EUR)-1.6%
Rivoli Fund ManagementRivoli International Fund (MAP)-1.8%
SMN Invest Services GmbHsmn Diversified Futures Fund (i14)-1.9%
Chesapeake CapitalDiversified Plus-1.9%
Abraham Trading CompanyDiversified Program-2.0%
Aspect CapitalAspect Divers Fund – Class A (USD)-2.0%
SMN Invest Services GmbHsmn Diversified Futures Fund (1996)-2.1%
Rotella Capital ManagementRotella Polaris Program (Divers)-2.2%
W.G. Wealth Guardian LtdSAFI2 Program-2.8%
Alder Capital DACAlder Global 10-3.1%
Trigon Investment Advisors, LLCForeign Exchange Program-3.7%
Alee Capital Management, LLCMistral Program-4.9%
DUNN Capital ManagementWorld Monet & Agric Prog (WMA)-5.9%
Alder Capital DACAlder Global 20-6.3%
Quest Partners LLCAlphaQuest Original Prog (AQO)-8.5%
DUNN Capital ManagementD’Best Futures Fund, L.P.-8.5%

Top 10 by by CAGR since 1 January 2000 

Below is a top ten performance table and an equal weighted performance chart of the ranked top 10 performers of our program listing in terms of annualised returns to investors (net of all fees and expenses) since 1st January 2000 or since their inception if beyond this commencement point.

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 about wraps things up for the month but before I go…..I thought I would leave you with some food for thought.

Why do these guys ‘follow price’ rather than attempt to “predict it”? Sometimes a picture paints a thousand words. I will let the following animations do most of the talking.

The following picture displays predictability and is how many like to view the markets, namely…..that price will oscillate around a historic average. As a result, they assume they can predict the future market condition. This works for a time….until it doesn’t. This feature is why so many traders who adopt this philosophy have short track records ending in ‘blow ups’.

But this is how these diversified fund managers view complex financial markets and why they prefer to follow price rather than predict it. This is why these guys have such long track records.

Cheers guys

Trade well and prosper