If Consistency is Key…

Our weekly newsletter is out, and this time we’re addressing a concern we hear often, but have rarely seen answered. In an age of struggling pension funds, it’s common to hear commentators and spectators in the world finance joke, “Anyone who can find a way to guarantee 7% annual returns will raise a trillion dollars by the end of the year.” Realistic? Absolutely not – unless you’re buying into some sort of scam – which, to be clear, we don’t advise.

That being said, this goal isn’t unique to the world of pensions. Both individual investors and RIAs seem to be in constant search of that silver bullet investment – the one allocation that will guarantee them a life of luxury. In a world absent of such possibilities, the request we get most often is for consistency. If they can’t get a magical 7% return, can they at least get returns they can count on?

This is still a request without a perfect answer, especially in a world where past performance is not necessarily indicative of future results. After hearing the question for about the millionth time, though, we began to wonder – just how consistent has this past performance been in the managed futures space? How, exactly does it stack up to what we’ve seen out of finance’s favorite child – the stock market? We ran the numbers, and what we found may just surprise you.

2 comments

  1. The only problem with using your 5 flag programs to make your point is that it is done with 20/20 hindsight – of course they are going to perform well when you take the programs that have performed best over the time period and then see if they had a good performance – a little redundant. What would be a better test would be to take the programs you had rated 5 flags at the beginning of the time period and then see how they performed going forward. You might have wound up with one of your previous 5 flag rated programs in the test, like Dighton, who blew completely up.

  2. That’s fair to some end, but the analysis is about which programs, given the available information, we see as investable now. Applying the algorithm retroactively may be an additional angle to look at though; we’ll play with the data to see if we can turn it into a post.

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Disclaimer
The performance data displayed herein is compiled from various sources, including BarclayHedge, 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, 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.