A Generational Low for Managed Futures

Our latest newsletter is out… and we’re talking Wilson Phillips, wrecked Ferraris, smiley faces, and the worst drawdown managed futures has seen in 20+ years.

How bad is this Managed Futures Malaise that we’re talking rain dances and Wilson Philips songs? Pretty bad. The main CTA indices are all at 3.5 year lows and sitting on their worst drawdown levels in the past 15 years – at 28 months and -12% from their past all time highs.  And with the year to date numbers negative through August (albeit a small amount),  there’s the very real possibility of managed futures postings its 4th losing year out of the past 5 in 2013. What’s more – a comparison of the 10 years prior to 2009 and the period from March 2009 until now shows the asset class at levels not seen decades, in terms of the amount and duration of the losses, reminding us of the ‘generational low’ terminology used by the stock folks circa 2009).

Managed Futures Indices Drawdown_1
(Disclaimer: Past performance is not necessarily indicative of future results)

Average of Managed Futures Indices Drawdown
(Disclaimer: Past performance is not necessarily indicative of future results)

But as bad as it is, it isn’t bad at all when compared to other asset classes worst periods. And indeed we are starting to see is a shift in attitude from those interested in managed futures exposure  – from invest in managed futures because of the crisis period performance and diversification value, etc. – to… this is a generational buy in managed futures akin to US stocks in 2009. The new attitude is buy into managed futures not just because it will help your portfolio when the s^&% hits the fan, but because it isn’t likely to get much worse from here (although it could). It’s now a contrarian, dogs of the Dow, buy the beaten down asset class play.

As for Wilson Philips, the [abridged] lyrics seems like they were written specifically by or for an investor in a drawdown:

Just Hold On

“I know that there is pain
But you hold on for one more day and
Break free, break from the chains

Don’t you know things can change
Things’ll go your way
If you hold on for one more day yeah
If you hold on..”

Read the full newsletter to see just how bad it is – how the 10 largest CTAs have fared since 2009, the five reasons some people think managed futures is broken, the comparison of managed futures ‘worst’ period with stocks, bonds, real estate, and Gold; and more.

One comment

  1. […] managed futures malaise is historically bad.  (Attain Capital, […]

Write a Comment

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.

RCM receives a portion of the commodity brokerage commissions you pay in connection with your futures trading and/or a portion of the interest income (if any) earned on an account's assets. The listed manager may also pay RCM a portion of the fees they receive from accounts introduced to them by RCM.

See the full terms of use and risk disclaimer here.