Managed Futures 2016 Strategy Review — Short Term Systematic

By now, everyone has crunched the data for the 2016 returns of Managed Futures. Across the indices that track the asset class show it ending the year in the red. Nothing to induce panic and mass outflows (actually quite the opposite), but nothing to write home about either.

But what went on in the Managed Futures world behind the numbers? Which markets made or broke trends in 2016 that led to the collective index performance numbers that symbolize thousands of programs? For that answer, we will point you to our “Managed Futures 2016 Strategy Review.

We don’t see the asset class as just the big names or the most popular managed futures mutual funds. In the unique world of managed futures, those programs which make up the asset class can be doing quite different things, as different as short volatility and long volatility, short term and long term, Corn focused or Gold focused. The asset class is like all of our brains in that regard, with the different strategy types all part of the whole (the asset class brain, if you will), with the component strategies making up how the whole responds to market action (what the body is saying to the brain).


In this whitepaper, we outline each of the different types of strategies listed above, delving into the what market factors played a large role in their performance. Here is a preview the most misunderstood sector, short-term systematic.

short-term-brainOverall, the short term strategy performed slightly better than trend followers (mainly due to the moves being shorter in duration), but not as well as we would have hoped.

It’s difficult to categorize this section, with some managers in and out of positions within hours, and others holding multiple days; but generally speaking it was not a good environment for this type of strategy for many of the same reasons as the trend following space – mainly the decline in volatility across financials, which make up the bulk of short term trading strategy portfolios given the greater volume and liquidity there. Remember the days leading up to the election, for example, when uncertainty was in the air and stock markets frozen in their tracks – to the tune of the S&P not moving outside of a 1% range for more than 38 days? That’s bad news for traders who rely on large intraday moves.

Download our “Managed Futures 2016 Strategy Review” to read the rest of the Short Term Systematic review as well as the other sector reviews.

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.