Chart of the Week: Managed Futures AUM Controversy

Discussing the AUM of the managed futures industry can be tricky. It’s a topic we’ve been conjuring for a while now, and there are multitudes of things to consider before arriving at a number that truly represents the industry.  It’s this very reason that we are reading conflicting reports of 2013 AUM and asset flows for Managed Futures. First, AI CIO writes that as a whole,  managed futures AUM is down to it’s lowest point since 2007.

“For managed futures, however, outflows not only surpassed those from macro strategies but were more than double the outflows of all other asset-losing strategies combined. At $143.8 billion, AUM for the struggling sector is at its lowest since 2007. Even the rare managed futures funds with positive performance in 2013 tended to lose investor capital. While investors dumped their commodity trading advisors (CTAs) across the board, they primarily pulled money from those macro managers who had underperformed—assets that may return to the strategy under new management.”

Those numbers are considerably different from Barclayhedge’s CTA AUM statistics, which were recently updated.

“Commodity trading advisors (CTAs) funds took in $438 million (0.1% of assets) in December, the first inflow after redeeming $5.1 billion over the previous three months. CTAs took in $1.1 billion in 2013, their annual lowest inflow in our records dating to 2001, down dramatically from $12.1 billion in 2012 and $46.4 billion in 2011.”

This brings the 2013 Managed Futures AUM to $330 Billion according to Barclayhedge.

CTA AUM(Disclaimer: Past performance is not necessarily indicative of future results)
Source: Barclayhedge

And a look at the Managed Futures AUM dating back to 2001.

Managed Futures AUM(Disclaimer: Past performance is not necessarily indicative of future results)
Source: Barclayhedge

We’re not here to say which one is right or wrong, because it all depends of the parameters set of which managers should be included. For instance, is it appropriate to add Bridgewater, the largest Hedge Fund in the world (having little to do with managed futures?)

It would make logical sense to see investors leave the space like AI CIO states after posting mediocre returns. Outflows are to be expected in any asset class struggling – that’s the very definition of performance chasing.  However, an outflow of funds like this is just the thing we saw right before entering crisis period performance back in 2008…. and the same we saw in stocks in 2009, or bonds at the beginning of this year. The asset class losing the money usually sees the best performance in a sort of real life/real money Murphy’s Law. {past performance is not necessarily indicative of futures results}

But if we chose to see the Managed Futures asset story through the lens of Barclayhedge, we’re elated to see investors are still choosing to allocate to managed futures given its flat performance of late, even if it’s the slightest of gains in AUM in December:

Asset Flows 2013(Disclaimer: Past performance is not necessarily indicative of future results)
Source: Barclayhedge

In the end, the flows usually follow the following chart pretty well, with money coming into an asset class pretty close to the ‘point of maximum financial risk’ on the emotions cycle chart below, and flowing out again down there at the bottom of the emotion cycle, at the ‘point of maximum financial opportunity’.

Investment Cycle

P.S. Here’s our previous post on Managed Futures AUM

1.” Managed Futures: $300 Billion and Counting

2. “Is the Size of the Managed Futures Industry Inflated by 56%?

3. “What Everybody Ought to Know About Managed Futures Asset Class Growth

Asset Flows 2013

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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.