Managed Futures is Rocking… What Happens Next?

There are some eye-popping March returns for managed futures programs hitting our inboxes this month, whether Auspice’s +8%, EMC’s +9%, or Quest’s +13% (you can learn more about each of those managers in our recently published trend following whitepaper here.) This broad success across many managed futures and trend following programs has pushed SocGen’s CTA Index to its best monthly and quarterly performance in 20 years (when a little thing called the bust drove returns).

Past performance is not indicative of future results.


Well, we can sit here and say, who knows, this could be the start of a new commodity supercycle, or this could be the end of a multi-decade downtrend in interest rates… with years of rising interest rates on the horizon. This could be the first real inflation shock the US has had since the 1970s, and this could be our first real bear market since the GFC. And, of course, all of those narratives could flip on a dime… reversing these trends and causing losses.

But what if we set aside the narratives and instead look at the data. From many of our podcasts with volatility traders, we know that volatility clusters – whereby more volatility begets more volatility. What about the slightly different type of volatility (directional volatility due to expansions of ranges and price movement into new areas). Does that cluster? Does a strong trend following environment portend continued strength? Or a reversion to the mean? Our experience with the strong 2008 period followed by struggles in 2009 tells us one thing, but the data tells us another.

When analyzing the next quarter, two quarters, next 1 year, and next 3 year periods from the top 5 performing quarters listed above – managed futures did better than their longer-term average. That tells us it is not too late to get involved in the space, but rather right on time!

Past performance is not indicative of future results.

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.

The programs listed here are a sub-set of the full list of programs able to be accessed by subscribing to the database and reflect programs we currently work with and/or are more familiar with.

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.