Managed Futures 2010 Performance…more detail

We mentioned in our last post that managed futures as an asset class posted gains in December to end the year up 9.20% (based on Newedge CTA Index), and now get into some of the details for varying strategy types within managed futures for both December and the year gone by.

First up, a listing of the 2010 performance and the Max DD for all time, not just 2010 – for each program we track at Attain, as broken up into the various categories we assign them to. We usually don’t like to list programs by simple annual return, and in fact do our official Top 15 rankings due out in 3 weeks based on over 25 different risk adjusted metrics, not just return.  But in the meantime, we’ll degrade ourselves to showing programs ranked by last year’s return.

For more on the programs, including December performance, click through to ‘read more’ after the performance table.

Past Performance is Not Necessarily Indicative of Future Results

Systematic Multi-Market Programs 2010 RoR Max DD Option Programs 2010 RoR Max DD
Clarke Capital Mgmt., Inc. – Worldwide 43.10% -26.06% Crescent Bay Capital Mgmt. – BVP 28.83% -32.69%
Covenant Capital Mgmt. – Aggressive 27.79% -20.41% White River Group – Diversified Option Writing 26.33% -11.23%
Accela Capital Mgmt. – Global Diversified 21.24% -18.26% Crescent Bay Capital Mgmt. – PSI 9.46% -26.46%
Auctos Capital Mgmt. – Global Diversified 14.13% -12.25% Clarity Capital Mgmt. 9.11% -10.83%
Integrated Mgd. Futures – Global Concentrated 9.76% -10.34% ACE Investment Strategists – DCP 7.81% -21.41%
Clarke Capital Mgmt., Inc. – Global Magnum 9.25% -41.50% Cervino Capital Mgmt. – Diversified Options 2x 6.06% -10.23%

Hoffman Asset Mgmt., INC. – Managed Account 6.27% -17.06% Cervino Capital Mgmt. – Diversified Options 1x 3.40% -5.93%
Attain Portfolio Advisors – Strategic Diversification 5.13% -24.39% Financial Commodity Investments (FCI) – OSS 1.21% -34.63%
Robinson-Langley Capital Mgmt.- Managed Acct. 4.32% -23.69% Financial Commodity Investments (FCI) – CPP -1.08% -12.29%
Applied Capital Systems, LLC 4.00% -9.21% ACE Investment Strategists – SIPC -2.06% -69.54%
2100 Xenon – Managed Futures (2x) Prog. 2.78% -18.40% Liberty Funds Group – Diversified Option Strategy -4.12% -12.90%
Applied Capital Systems, LLC 2X -0.34% -17.76% HB Capital Mgmt. – Diversified Options -6.75% -13.79%
Attain Portfolio Advisors – Modified Prog. -6.49% -58.05% Joseph Ocrant Agriculture Options -14.70% -43.05%
Clarke Capital Mgmt., Inc. – Global Basic -16.53% -42.02%
Discretionary Programs 2010 RoR Max DD Short Term Systematic 2010 RoR Max DD
Global Ag, LLC 110.22% -15.53% Futures Truth – MS4 20.02% -9.18%
Dighton Capital – Aggressive Trading Prog. 25.14% -37.52% Futures Truth – SAM 101 2.11% -12.62%
Mesirow Financial Commodities – Absolute Return 3.97% -1.56% GT Capital CTA – Dynamic Trading -0.90% -7.62%
Mesirow Financial Commodities – Low Volatility 1.26% -0.52% Quantum Leap Capital Mgmt. -1.51% -24.41%
DMH Futures Mgmt. -0.92% -10.18% Sequential Capital Mgmt. -5.42% -5.42%
Dominion Capital Mgmt. – Sapphire Prog. -9.97% 13.03%
Spread Trading 2010 RoR Max DD Specialty Managers 2010 RoR Max DD
Rosetta Capital Mgmt. 25.70% -39.67% AFB Forty Eighter – Gold Options 45.57% -44.10%
NDX Capital Mgmt. – Shadrach 7.81% -13.67% Cervino Capital Mgmt.- Gold Covered Call 19.49% -5.63%
Emil Van Essen Spread Trading – Low Minimum 7.34% -35.90% 2100 Xenon – Fixed Income Prog. 0.58% -7.13%
NDX Capital Mgmt. – Abedengo 1.01% -6.53%
Stock Index 2010 RoR Max DD
Roe Capital Mgmt. – Monticello Spread 8.27% -10.99%
Roe Capital Mgmt. – Jefferson 4.51% -9.14%
Paskewtiz Asset Mgmt. – Contrarian 3x St. Index -6.55% -12.18%

Leading the way in December and for 2010 as a whole were long-term systematic multi-market managers (aka trend followers).  The top performing program for December was Covenant Capital Management Aggressive at +9.95%. Covenant held long positions across most sectors in 2010, and it paid off handsomely as this program ended the year ranked #2 amongst trend followers at Attain with estimated returns of just over 28%. The top program we tracked was Clarke Capital Worldwide, which had a whopping +43% return this year.

Other top performing long-term multi-market programs in December include Hoffman Asset Management +6.27%, Accela Capital Management +9.05%, APA Strategic Diversification +4.15%, Robinson-Langley +3.90%,APA Modified Program +3.90%, 2100 Xenon Managed Futures (2x) +3.16%, Auctos Capital Management Global Diversified +2.20%,  and Integrated Managed Futures Global Concentrated+2.10%. Notable top performers from this group in 2010 include Accela +21.25%, Auctos +14.15%, and Integrated Asset Management +9.80%.

We found the highest average 2010 gain across strategy types to be in the specialty sector, which is kind of cheating since that is a sort of catch all for programs which don’t fit into other categories. But it is no mistake that the top two programs there focus on Gold. These Gold specialists were among the year’s hottest strategies yet finished December mixed.  For December, Cervino Gold was ahead +1.92% while AFB Forty Eighter Gold Options gave back -1.50%.  The programs were ahead +19.5% and 45% respectively for 2010.

The 100% gain of Global AG is no doubt jumping off the page at many readers, and they headline the discretionary sector which mainly held its own in 2010.  Global Ag was ahead an estimated +22.5% in December, bringing their YTD total return up around 100%.  Make no mistake, 100% gains do not come without risk, and anyone considering this program should fasten their seat belts for a bumpy ride. Not to be outdone, discretionary trader Dighton Capital managed to finish the year +25.15% despite not trading since August.  And the slow and steady Mesirow, trying to be the tortoise to these high flying hares, saw Mesirow Financial Commodities Absolute Return +0.75%, and Mesirow Financial Commodities Low Volatility +0.25%.

Another nice story in 2010 was the bounce back of spread trader Rosetta Capital (they could also be categoriuzed as specialty, ag, or discretionary – but their use of spreads puts them in this category for now). Rosetta Capital managed +0.18% in December to close out the year at +25.70%, Elsewhere in spreads, Emil van Essen finished December -1.47% after recovering from its intramonth low of -5%, allowing the program to end 2010 ahead an estimated +7.81%. This continues to be one of our recommended drawdown buys – see 12/3/10 blog post here.

Among the strategy types which fared worst in 2010 were those who trade on a short time frame. Short-term systematic traders did not enjoy as much success as their trend following counterparts in 2010 unfortunately, although some were able to bounce back with a strong month in December due to favorable trading conditions. Quantum Leap Capital Management was top short-term program for the month at +6.40%, while Futures Truth MS4 was the top performer for the year at +20.02% and Dominion Capital the laggard after ending the year at a new max DD.  In addition, short-term stock index traders finished the year below average. The popular Paskewitz Asset Management Contrarian 3x St. Index program was down for the month at -6.11% and for the year at -6.55%, while the Roe Capital Management programs had a successful debut at Attain in2010 with the Monticello program up +8.27% and Jefferson Index at +4.51%.  Both programs were down just under 1% in December.

Option trading managers finished 2010 on a strong note with 10 out of 12 option trading managers we track finishing in the black for December and 8 out 12 managers posting estimated profits for the year.  For the month of December, ACE SIPC was the top performer with estimated gains of +4.66% thanks to the low volatility in the S&P 500.  Unfortunately for ACE, December was not enough to overcome the losses from earlier in the year – they are set to end the year down approximately -2% (Ace’s 3rd losing year out of the last 4).  Other estimated December winners included the following: White River Group +3.61%, HB Capital +2.26%, Liberty Funds Group +1.26%, FCI OSS +1.25%, Cervino Diversified +1.0%, ACE DCP +0.92%, Cervino Diversified Option +0.45%. Option managers in the red for December include: Clarity Capital -0.87% and Crescent Bay BVP -3.72%.  Ironically, Crescent Bay was December’s worst performer but was 2010’s top option performer earning an estimated +28.83%.

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Disclaimer
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.

Disclaimer
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.