Don’t look now, but up there near the top of the asset class scoreboard so far in January is none other than Managed Futures, with the SocGen CTA Index up around 6% for the month. That would make it the best monthly performance since it gained +8.85% in December 2000. And all of this while stocks scream higher on the year, proving once again that Managed Futures holds a non-correlation to equities. Of course, an index of the largest CTAs isn’t necessarily indicative of the entire asset class, so how are some of the smaller funds doing?
Very well. There are thousands of programs in our database, and a month like this lets is a great way to highlight some lesser known managers. Here is the performance of a couple managers (pre-fees) that have stood out to us so far in January:
ReSolve Asset Management – Adaptive Asset Allocation (QEP) – +16%
Attain Portfolio Advisors – Covenant Total Portfolio Fund – +9.1%
Attain Portfolio Advisors – Short Term Fund – +6.70%
Eamon Capital – Zephyr – +5.05%
Three Rock Capital — Global Macro (QEP) – +4.76%
Blue Bar Futures Trading – Prime Ag (QEP) – +3.63%
So where is the performance coming from? For starters, it seems there are trends in the futures markets that are persisting longer that just a couple weeks. WTI has been slowly moving up in prices over the last six months, up about 45% since July as it now closes in on $70 a barrel. Most of the managed futures programs missed out on the U.S. Dollars downtrend in 2017, but it seems the dollar’s down-slide has continued into 2018 pushing trends in the crosses with other currencies. And the unnaturally cold weather through most of the U.S. has sent Natural Gas flying, up 34% in one month (remember commodities revolve around seasons).
It’s been long enough since we’ve seen performance like that, that we were worried we might not ever see it again – with all those “trend following’s dead pieces” about there being too much money, HFTs scalping away profits, and so forth. But, this is classic Managed Futures. Taking hold of long term trends and grabbing outliers after a sustained period of level performance. Although, these days the asset class includes many different strategy sectors such as volatility, trend following, short term systematic, multi strategy, etc. To read about these strategies and how they performed in 2017, check out our Managed Futures / Global Macro 2017 Strategy Review. And stay tuned for our 2018 Outlook later this week.
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.