Take a Look: Averaging 48k Monthly Managed Futures Returns

What does the average CTA look like? This great question was brought to us by a prospective client the other day, and while it seems simple on the face of it, the question is actually a bit more complex.

Our first reaction was to point them to a picture of Roland Austrup of Integrated Managed Futures Corp., who has that certain managed futures manager look to him.

But we suspected the investor was asking more of a statistical question, as in – what do the monthly gains, losses, drawdowns, and so forth look like for an average CTA. Now, the knee jerk reaction used by 95% of the industry is to simply point the investor to the various CTA indices and say that’s what an average CTA looks like. But is that really true? After all, the CTA indices are made up in many different ways and mostly contain the biggest of the biggest CTAs, not really your run of the mill managed futures program.

This got us thinking of the question a different way that our database can understand: what is the average monthly performance, gain, loss, drawdown amount, and so forth across all CTAs.  And while we’re at it, let’s look at not just the CTAs active as of today, but also all of the CTAs which have come and since gone (getting rid of the so called survivorship bias). Now that seems to be a bit better view of what an ‘average’ CTA should look like.

Without further ado, here’s the stats on over 48,698 monthly returns for 2,603 CTA programs going back to 1977:

(Disclaimer: Past performance is not necessarily indicative to future results.)

Or in graphical format:

(Disclaimer: Past performance is not necessarily indicative to future results.)

(Disclaimer: Past performance is not necessarily indicative to future results.)

But most of us don’t want to be average, right? We strive to be above average, if not an all star.  And that’s where our rankings and recommended list come in. These are programs we have identified as being well above average across multiple metrics, and in terms of our recommended – programs we believe will continue to perform well above average. What does the ‘above average’ program look like in that case:


(Disclaimer: Past performance is not necessarily indicative to future results.)

We have these averages across 25 different stats if you want to see more (no room here), just shoot us an email at invest@attaincapital.com. Oh, and speaking of rankings, we’re due to put out our semi-annual rankings in a newsletter next week for those who like to see lists. Don’t miss it.



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The performance data displayed herein is compiled from various sources, including BarclayHedge, RCM's own estimates of performance based on account managed by advisors on its books, and reports directly from the advisors. These performance figures should not be relied on independent of the individual advisor's disclosure document, which has important information regarding the method of calculation used, whether or not the performance includes proprietary results, and other important footnotes on the advisor's track record.

Benchmark index performance is for the constituents of that index only, and does not represent the entire universe of possible investments within that asset class. And further, that there can be limitations and biases to indices such as survivorship, self reporting, and instant history.

Managed futures accounts can subject to substantial charges for management and advisory fees. The numbers within this website include all such fees, but it may be necessary for those accounts that are subject to these charges to make substantial trading profits in the future to avoid depletion or exhaustion of their assets.

Investors interested in investing with a managed futures program (excepting those programs which are offered exclusively to qualified eligible persons as that term is defined by CFTC regulation 4.7) will be required to receive and sign off on a disclosure document in compliance with certain CFT rules The disclosure documents contains a complete description of the principal risk factors and each fee to be charged to your account by the CTA, as well as the composite performance of accounts under the CTA's management over at least the most recent five years. Investor interested in investing in any of the programs on this website are urged to carefully read these disclosure documents, including, but not limited to the performance information, before investing in any such programs.

Those investors who are qualified eligible persons as that term is defined by CFTC regulation 4.7 and interested in investing in a program exempt from having to provide a disclosure document and considered by the regulations to be sophisticated enough to understand the risks and be able to interpret the accuracy and completeness of any performance information on their own.

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