Wall Street fecha semana em alta. S&P 500 e Nasdaq atingem recorde

[LTCM]

Hedge funds that use quantitative strategies executed by computers suffered their biggest losses since October last month after being whipsawed by Europe’s sovereign debt crisis.

The Newedge CTA Index, which tracks some of the largest systematic funds, lost 3.1 percent in June, erasing this year’s gains. David Harding’s $10.2 billion Winton Futures Fund Ltd. slumped 3.2 percent, extending this year’s loss to 4.1 percent, according to a person familiar with the performance. Man Group Plc (EMG)’s AHL Diversified fund lost 3.4 percent, while the Bluecrest BlueTrend Fund dropped 5.4 percent in June, an investor said.

Trend followers, which make up the majority of quantitative funds, have struggled to make money in the last two years as sentiment lurched from optimism to pessimism in response to speculation about the outcome of Europe’s debt crisis. Newedge’s CTA index is little changed this year and slumped in 2011, contrasting with a 13 percent gain in 2008 as the global financial crisis gave markets a clear direction.

“Last Friday was a killer for CTAs,” said Gabriel Garcin, a portfolio manager at Europanel Research and Alternative Asset Management, a $550 million fund of hedge funds. “Most trend followers are on the same side of the trades, so when we get a risk-on environment, they get hammered hard.”
Euro-Region Optimism

Ed Orlebar, a spokesman for BlueCrest, declined to comment on the fund’s returns. David Waller, Man Group’s spokesman, also declined to comment, as did an executive at Winton. The investors providing returns data on BlueCrest and Winton asked not to be named because the information is private.

The euro’s four-day decline against the dollar through June 28 was its longest streak last month, and was followed the next day by the biggest gain since October as euro-area leaders surprised markets by agreeing to relax conditions on emergency loans for Spanish banks and possible help for Italy.

Global stocks and the euro jumped the most this year on June 29, and oil posted its biggest gain since 2009 on the news, sending the Newedge index down 1.4 percent, the most since August. Its trend-following sub-index dropped 3.7 percent in June, capped with a 2.2 percent slide on June 29, the largest decline since May 2011.

Trend followers employ strategies that aim to take advantage of momentum in prices, whether rising or falling. They look for signals that a trend will continue or is about to end, often using technical indicators, such as moving averages, Bollinger bands and price envelopes.
Trading Algorithms

Quantitative funds use mathematical algorithms to decide when to buy and sell, and use computers to respond to price signals in fractions of seconds. CTA stands for commodity trading advisor, referring to fund managers who have to register with the U.S. Commodity Futures Trading Commission, yet managers carrying that moniker today are mostly systematic traders of foreign exchange, equities and bonds, as well as raw materials.

“The advantage of these sophisticated systems is that, by removing the influence of human emotions, all investment decisions can be effectively back-tested,” Man Group says on its website. “This has been particularly prominent in times of crises, where the strategy has demonstrated its strength to diversify risk.”

That was the case in 2008 when AHL returned 33 percent, compared with a 19 percent loss for the Bloomberg global hedge fund index. Since then it has lost money, falling 17 percent in 2009 and 5.9 percent last year, interspersed with a 15 percent gain in 2010. It has fallen 4 percent this year through June.
Crisis Returns

Losses at AHL have contributed to the 75 percent plunge in Man Group’s shares over the past year, a decline that cost the world’s largest publicly traded hedge-fund company its place in the FTSE 100 Index of the U.K.’s biggest firms. It also prompted analysts to question whether the stock is so cheap that the company is a takeover target. AHL accounts for almost a third of Man Group’s $59 billion of assets under management.

Societe Generale analyst Michael Sanderson cut his estimate on Man Group to hold from buy today, citing “further AHL weakness” in the second quarter.

BlueTrend (BBTS) performed even better than AHL in 2008, returning 43 percent in the year that Lehman Brothers Holdings Inc. filed for bankruptcy and the U.S. government rescued American International Group Inc., formerly the world’s biggest insurer, and investment bank Bear Stearns & Co. It has yet to post an annual loss after rising 0.3 percent last year. Winton gained 6.3 percent in 2011 and 14.5 percent in 2010.
Fund Inflows

Even as they struggled to turn a profit in recent years, CTA funds have attracted new money. Assets under management at systematic funds were steady at $260 billion in the first quarter of this year after surging 15 percent in 2011 and almost 200 percent since 2005, according to data from Fairfield, Iowa- based BarclayHedge Ltd.

Winton has been one of the most popular hedge funds among investors in the past 18 months. The firm now manages $29 billion compared with about $19 billion at the end of 2010. That means Winton itself accounts for about 12 percent of the $86.9 billion of assets the hedge-fund industry has added since 2010, according to Chicago-based Hedge Fund Research Inc.
Biggest Firms

The biggest firms have had success raising money in recent years, in part, because pension funds and endowments have been making more investments in trend followers, said Alex Allen, a senior portfolio manager in London at Sciens Capital Ltd.

“The attraction of a big CTA is exactly that -- its size,” said Allen, whose firm invests in hedge funds. “I know of only a handful of CTA programs that manage more than $1 billion, so if you are an institutional investor and have $20 million to $30 million to allocate and you can’t be more than 10 percent of a program’s assets, you have to invest in a program that has more than $300 million.”

While trend followers experienced a poor month in June, it would have been much worse if they hadn’t pulled back from more aggressive positions, according to James Skeggs, head of research at Newedge Group in London, whose automated trend model was 9.2 percent lower last month.

“Where markets are becoming more volatile or more correlated they will have smaller position sizes, typically, as a way of reducing risk,” Skeggs said.

Markets were roiled in June by concern that the euro-region debt crisis will stunt the economy, with commodities entering a bear market on June 21, only to rally on speculation central banks would act to stimulate growth.

Current choppy market conditions, should they endure, may prove better for CTAs than for so-called discretionary funds, Garcin said.

“It’s an awful environment for CTAs at the moment, but also for discretionary managers,” said Garcin. “The edge you have with this type of algorithmic trading systems is that they don’t get tired. They keep cool and can take the same amount of risk no matter how much draw down they’ve had.”

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[Supermann]

Performance: The trend is your friend Managed futures and systematic strategies
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Superficially at least, the clearest indication of the vast diversity within the universe of CTAs has been the polarisation of performance in the market, especially in 2008, which is described by many managers as having been a bumper year for the strategy.

Many – especially some of the younger European players – posted record returns last year, although they had their work cut out to eclipse the coruscating performance of the London-based Mulvaney Capital Management’s Global Markets Fund. Originally launched in May 1999, this non-discretionary programme posted an astonishing return of close to 109% in 2008, gaining 45.5% in October alone.

But you didn’t have to be Mulvaney Capital Management to enjoy 2008. According to Credit Suisse/Tremont’s review of the hedge fund industry’s performance in 2008, 90% of CTAs posted positive returns last year, while 87% recorded gains of more than 10%.

To students of the long-term track record of managed futures, those superior returns came as no surprise, although to some other more generalist commentators they may have done.

“I remember an article that appeared on the front page of the Wall Street Journal in 2001 or 2002 that said CTAs were an invalid asset class,” says Stephen Hedgecock of Altis. “In hindsight, that makes me chuckle a bit, because they have turned out to be one of the few asset classes on the planet to have delivered decent alpha since then.”

Others emphasise the same point. “Was 2008 a one-off?” asks Harry Skaliotis, investment manager at AHL in London. “The answer is a resounding no. The AHL Diversified Fund was up by 33% in 2008, but to get a more complete picture you need to look at our medium-term rolling 12-month returns, which have been about 20% annualised since the strategy was launched in May 1996.”


Theo Schmid, Progressive Capital Partners

Others emphatically agree that to look at 2008’s returns in isolation is to do an injustice to the sector. “Last year was a time when probably every trend-follower made money, so the 62% we delivered in 2008 probably does not mean very much,” says Theo Schmid, a founder of Switzerland-based Progressive Capital Partners (PCP).

PCP was set up in July 2001 and is the investment adviser to the Tulip Trend Fund, which has appointed Transtrend BV of the Netherlands as the fund’s trading advisor. Described by Schmid as a leveraged version of the Enhanced Risk profile of Transtrend’s Diversified Trend Program, the Tulip Trend Fund is a systematic trend-following strategy that has delivered a compound annual rate of return of 28.07% with an annualised standard deviation of 25.37% and a downside volatility of 10.63%.

“Investors are of course chasing returns at the moment, but we think it is essential that they try to understand a strategy from a longer-term perspective,” says Schmid. “As futures provide easy access to leverage, outright returns don’t tell you anything. That’s why the focus on risk-adjusted returns and measures is crucial in selecting trend followers.”

Schmid’s colleague at PCP, Daniel von Allmen, adds that, aside from analysing a track record over an extended period, investors should focus on CTAs’ research capability and business stability.

“Unfortunately, the whole industry is preoccupied with Sharpe ratios, which are very bad indicators because they penalise managers for upside volatility,” he says. “We therefore believe that investors should be looking at the Sortino ratio instead, because by only taking into account downside volatility, that gives a much fairer view of risk-adjusted returns.”

Perhaps. But however much CTAs like to accentuate the resilience of their long-term returns, there is no question that it is in highly stressed markets that managed futures come into their own. That much is clear from the track record that they have established throughout all the most tumultuous recent global crises.

Greg Taylor, head of product development at fund of funds manager FRM, lists a few of them: during the stock market crash of 1987, he says, the Barclay CTA Index rose 9.6% while the S&P 500 declined by 31.9% and the Barclay High Yield Index dipped by 3.5%. During the crisis fuelled in 1998 by the Russian debt default and the collapse of LTCM, the CTA Index advanced by 5.9% in August alone while the S&P 500 retreated by 14.4% and the High Yield Index fell by 5.5%. Similar patterns were observed during the US banking crisis of 1990, the stock market declines of September-November 2000 and February-March 2001, in the immediate aftermath of the 9/11 attacks, in the wake of the WorldCom collapse in the summer of 2002, and at the time of the stock market falls in September of the same year.

None of those patterns, however, are as extreme as the divergent performances of the three indices between August 2007 and February 2009. During the present global crisis, according to the data assembled by FRM, while the S&P 500 and the Barclay High Yield indices nose-dived by 47.53% and 22.13%, respectively, the CTA Index has surged by 21.41%.

It is not difficult to grasp why managed futures strategies have flourished so conspicuously over the past 18 months. While most other crises since 1987 have been characterised by sudden shocks and quick downward lurches, the most recent downturn has manifested itself in a series of trends that were predictable, strong, and long. The result, as Thayer Brook’s Stoltzfus puts it, is that “2008 was definitely a year in the sun for trend-followers.”

Those trends were very strongly pronounced across all major asset classes, although commodities, in particular, trended like a dream for some of the more concentrated players, such as Beach Horizon. It posted a return just shy of 60% in 2008, and did so without increasing its leverage. “It was the exact opposite,” says Beach Horizon’s Paul Netherwood. “Our average margin to equity ratio prior to 2008 was about 15%, which is fairly modest and well below the average leverage of most CTAs. In 2008, we were able to bring that ratio down to 10% because our systems were continuously reducing risk in response to rising volatility.”

or outside observers, the obvious assumption to make is that successful managed futures strategies specialising in commodities owed the bulk of their success to capturing the very clear trend in the highly liquid crude oil market in 2008. The truth of the matter, however, is that commodities specialists benefited from firmly established trends in a number of smaller commodities markets as producers and consumers battened down the hatches in anticipation of a recession or a depression.

“One of the key things about our portfolio is that it avoids over-concentration of risk and, in 2008, that proved to be a highly successful approach,” Netherwood explains. “Oil is only a smallish part of our portfolio, and many other commodities saw very strong moves last year. Livestock markets, for example, are considered to be good recession indicators, as are base metals, where prices fell as the market priced in a decline in construction activity. So, for us, it was a story that was applicable across the board.”


Salem Abraham, Abraham Trading Company

Another commodities specialist, who did well by maintaining a diversified presence in markets other than oil last year, was Salem Abraham who has been trading commodities since 1987. He says that his best three trades in 2008 were being short orange juice, nickel and zinc. “Our biggest money maker last year was our short orange juice position, although that accounted for less than one tenth of our profits in 2008,” he explains. “Some people in the managed futures world focus on making very big concentrated bets, but as a diversified CTA our goal is to hit a lot of singles.” In the case of the Abraham Trading Company’s flagship fund, those singles contributed to a return in 2008 of just over 30%.

Although the Texas-based Abraham’s roots are in commodities, its diversified strategy also had exposure in 2008 to interest rates (16%), currencies (15%) and global stocks (12%), and it is clear that diversified trend-followers were also able to exploit last year’s extreme conditions highly effectively.

“Our Aspect Diversified fund trades long-term bonds, short-term interest rates, currency markets, stock indices, energy, metals and agriculturals,” says Todd at Aspect Capital. “We made positive returns in six out of those seven sectors, and those returns were reasonably well-balanced across all six. So although people may assume that managed futures programmes such as ours made all their money from being short equities last year, we had a broad spread of different sources of alpha and avoided concentration risk.”

Another manager that did considerably more than shorting equities last year is Quality Capital Management (QCM), a systematic macro manager set up in 1995 by Aref Karim, which had $800 million under management at the end of 2008. Its flagship QCM Global Diversified Programme has posted significant double-digit returns each year since a number of enhancements were made to the system in February 2005. In 2008, the flagship programme, which uses QCM’s proprietary Advanced Resource Allocator (ARA) to shift resources between assets and strategies, was up by just under 60%.

“A number of CTAs made money last year from the linear trend moves in equities and commodities,” says Karim. “We traded a little differently, looking to profit from linear opportunities in the first half of the year and some non-linear movements in the latter. For example, we picked up a lot of our returns in the last quarter from fixed income, which was a more opportunistic non-linear participation than many of our peers.”

In re-emphasising their ability to deliver strong returns, CTAs may also have enjoyed the opportunity to indulge in a little schadenfreude at the expense of some other alternative investment strategies. “Historically, the term trend-follower has been used in a somewhat derogatory way, often preceded by the words ‘only a’,” says Winton’s David Harding. “Some of my hedge fund manager friends consider trend-following to be intellectually trivial, and some even go further and regard it as charlatanry. That is because most people in the securities industry believe in the efficient market theory which makes trend-following impossible. What the so-called ‘respectable’ hedge funds do is find deviations from the

efficient market theory and arbitrage them out. When we do well, people seem to think what we do is either lucky or fraudulent, whereas neither is the case.”

There was clearly nothing lucky or nefarious about the strategies or performance of most trend-following CTAs last year. When GLC’s Lawrence Staden explains how trend-following works by saying that “CTAs make money by front-running institutional orders,” he is not suggesting any impropriety. His point is that trend-followers can only make money by effectively riding on the coat tails of sizeable institutional trading, rather than by responding to movements caused by more speculative market participants. “The reason last year was so good for trend-followers is because the institutions were so busy, while prop desks and macro funds were less active,” he says.

Generating trading decisions from oil tanker-style trends created by institutions generally means passing up on some of the upside – or waiting for a confirmation before trading. It also means imposing a rigid discipline of never fighting the market. In other words, it means following the mantra that ‘the trend is your friend’ and responding to the emergence of those trends quickly.


Jerry Parker, Chesapeake Capital Corporation

“The lesson of 2008 was to be ready for things that are unlikely to happen,” says Jerry Parker, a former Turtle Trader who set up the Richmond, Virginia-based Chesapeake Capital Corporation in 1988. Chesapeake, which is exclusively a long-term trend-follower, now has about $1 billion under management and has been delivering roughly 15% per year on an annualised basis, according to Parker. “The essence of CTAs is following price trends without adding any overlays, opinions or fundamental analysis – you just go with the flow. Your absolute and relative performance will be a pure reflection of how strong the trends are and, in 2008, the trends were very powerful,” he says.

That makes the strategy sound beguilingly simple. But there are a number of clear reasons explaining why a handful of CTAs were such stellar performers in 2008, while at the opposite end of the spectrum, several were notable underperformers.

“The average CTA was up by roughly 12% or 13% in 2008, which is a perfectly admirable performance,” says Pat Welton of Welton Investment Corporation. “But, as in previous years, the dispersion of performance was extremely high. It’s not uncommon for the difference between the top and bottom 10% of funds to be as high as 50%. If there weren’t substantive differences between CTAs, you wouldn’t see this huge dispersion in returns. If you look at large versus small-cap US equity funds, the top and bottom quartile are often separated by a couple of per cent, and in the fixed-income universe the gap can be as small as 50bp.”


Kenneth Shewer, Kenmar Group

Foremost among the reasons for this divergence of performance is that although long-term trend-followers account for the bulk of CTAs, there is a wide range of other strategies under the broader managed futures umbrella. “People tend to categorise CTAs as long-term trend-followers, but we believe that is not what the space is all about,” says Kenneth Shewer, chairman, co-CEO and co-CIO of the Kenmar Group. “It is also about multi-systems, varying time frames, idiosyncratic strategies and specialisations in different sectors. Trend-following has less of a representation in our portfolio than many of our peers, and we have found that by diversifying the management styles within our portfolio, we have been able to deliver a significantly lower standard deviation than the equity market and the hedge fund index.”

Others agree that the dispersion of returns among CTAs in 2008 was underpinned by the diversity of strategies available to investors in the managed futures universe. “All you needed last year was a very slight tilt in your frequency spectrum to deliver very different returns,” says Aspect Capital’s Todd.

The onshore Swedish krone-denominated Lynx Fund is one example of a strategy that believes its outperformance (it returned 42% in 2008) is a by-product of its diversification. “We have consistently outperformed all CTA indices in recent years, and the main driver for that has been our more diversified portfolio models,” explains Bergström. “What makes us different from other CTAs is that we allocate roughly 60% to trend-following strategies and the balance into others, including contrarian, intra-market and short-term models. In total, we trade 20 different models.”

Other managers corroborate the view that diversification away from pure long-term trend-following has a very palpable impact on returns and diversification. It also helped to erode the correlation coefficient between long-term trend-followers, which is generally high, at between 0.7 and 0.8.

Witness the example of Salem Abraham’s Trading Company, which until 2005 was exclusively a long-term trend-follower. “Since then, we have aimed to reduce our correlation with other traders by expanding from one strategy to five,” says Abraham. The result is that while long-term trend-following accounted for 35.6% of Abraham’s strategy in 2008, mean reversion accounted for 29.2%, short-term momentum for 14.9%, stock index momentum for 12.3% and short-term trend-following for 8%. “Going multi-strategy also reduced our volatility,” says Abraham, “which has come down from 30% on an annualised basis to 13%, roughly half of the volatility of stocks.”

Diversification within the trend-following discipline has also been an important cornerstone of the strategy for the French manager, John Locke Investments, which has some $700 million under management. Its flagship product, the Cyril Systematic USD, is a trend-following strategy capturing long (one to four month) and medium (one week to one month) trends as well as some high frequency movements. Since inception, Cyril Systematic USD has posted a net annualised return (to February 2009) of 16.12% with a Sharpe ratio of 0.89.


François Bonnin, John Locke

A more recently launched programme is the Cyril High Frequency, which was launched at the start of 2005 and has returned 30.99% to February 2009, with a Sharpe ratio of 1.47. John Locke launched a third fund in May 2008, based on the same high frequency programme, called the Global Systematic ST SPC, which has posted a net annualised return (to February 2009) of 20.96%, with a Sharpe ratio of 1.9 “The High Frequency programme aims to make money on short-term trends but also on noise, so as well as trend-following systems, it uses contrarian systems to buy and sell exaggerated upward and downward moves,” says François Bonnin, John Locke’s managing director and founding partner.



How sustainable are trend-followers’ returns?
CTAs concede that the strong performance of 2008 begs an obvious question. “Is now the wrong time to invest in CTAs because they have just done exactly what they were supposed to do?” asks Russell Newton, co-founder and director at Global Advisors Ltd, a commodity specialist. “In other words, if we go back to a more well-behaved environment, are CTAs going to carry on performing?”

The general consensus, unsurprisingly, is that the performance of 2008 is unlikely to repeat itself in 2009 or 2010. But managers argue that to gauge CTAs by short-term performance fluctuations is inappropriate. “If you compare the volatility-adjusted performance of CTAs with the S&P 500 index between 1980 and 2000, which was a period of strong gains for equities, the returns are similar, although there is no correlation between the two,” says Bonnin of John Locke. “But, since 2000, CTAs have continued to perform well on a risk-adjusted basis, while the equity market has recorded a negative performance. Anyone investing in a CTA with a one-year horizon is making a mistake. But, if you invest over a three-year horizon, you’re much more likely to make money because trend-following moves occur in cycles.”

Peter Matthews, the former co-founder of Mint who is now back in the game with his new PJM Capital strategy, makes a similar point: “Systematic managed futures traders earn their risk premium by managing the unexpected risks of an unknowable future and capturing excess returns from the large surprise moves,” he says.

Barry Hines, a managing partner at Boomerang Capital, a leading hedge fund development firm that works with PJM, adds: “Clearly, there are those looking at CTAs now just because of their recent performance, but they’re missing the point. There is no good or bad time for managed futures, no point in ‘timing’ an allocation.”

Others agree that the longer-term performance of CTAs, combined with their proven capacity to offer protection against the impact of crises, means they should be regarded as a form of insurance policy. “Because we’ve been producing consistent double-digit returns each year, we can almost be seen as an insurance policy that even pays out when you’re not claiming,” says Beach Horizon’s Netherwood.

So much for the longer term. What of the short-term prospects for directional strategies? The principal concern, for long-term trend-followers, is that a fall in volatility will erode returns for CTAs across the board. Thayer Brook’s Stoltzfus says that, in broad terms, the performance of the Thayer Brook Fund has been related to the Merrill Lynch Option Volatility Estimate (MOVE) index, a yield-curve weighted average of the normalised implied volatility of one-month Treasury options expressed in basis points. “If you look at our flagship strategy, we have generally been flat to slightly positive during lower periods of volatility measured by the MOVE index, and consistently making double-digit returns during periods of higher volatility,” says Stoltzfus. “Equally, volatility in other asset classes is a performance driver of trend-following strategies as a whole.”

Stoltzfus is, however, relaxed about the threat of nose-diving volatility and its likely impact on Thayer Brook’s funds. “If we were to go back to the environment of ultra-low volatility that we saw in 2005 and 2006, that would tend to favour short-term strategies,” he says. “Will that happen? I think the probability is very low. If you look at the past 20 years, the period of ultra-low volatility was anomalous.”

That view appears to mirror a wider belief that the outlook for the macro-economy is such that the odds against the world slipping back into a calm, low volatility gear are long. A more realistic threat for long-term trend-followers is that the strong influence of institutional players recedes. That may well happen if last year’s exceptionally strong trends were chiefly a by-product of a once-in-a-generation phase in which institutional investors have made wholesale asset allocation shifts, which have now been completed. “If we have a year in which institutional investors just don’t trade, things could turn a bit ugly for managed futures,” says GLC’s Staden.

While a reversion to a more normal trend pattern would erode returns for long-term trend-followers, it need not have the same impact for those focused on capturing shorter-term trends. “Last year was a good year for CTAs because price patterns were exceptional,” says Jean-Pierre Aguilar, CEO of the Paris-based multi-strategy quantitative manager, CFM. “But the CTA part of our programme was not necessarily helped by those patterns because we’re high frequency traders, which means we take advantage of the very short-term price dislocations our systems identify. Those patterns take place regardless of whether or not we have long-term trends.”

Implicit in that explanation is the suggestion that the higher frequency model may be a more sustainable one in markets that don’t trend quite as conveniently as they did in 2008. “The likelihood of a repeat of 2008’s trends is remote,” says Aguilar. “That is because trends aren’t generally friendly. They usually start in a very active way, develop for a while and then end violently.”

Some investors certainly appear to be favouring shorter-term strategies in today’s macro-economic environment. “We’re not aggressively going after trend-following strategies at the moment,” says Dan McAlister of Ermitage. “We are going more for the non-trend, systematic, high frequency strategies. Of course, they may also have trend-following characteristics, but those tend to be coincidental as their strategies and ideas aren’t generated in the same way.”

Irrespective of the degree to which trends play out over the short to medium term, investors emphasise the importance of diversifying their exposure to CTAs. Lyxor Asset Management, for example, has increased its allocation to managed futures over the last 18 months.

“We have been overweight CTAs, with an allocation of between 20% and 30%,” says Mathieu Vaissié, of the fund of funds management group at Lyxor in Paris. “One of the main reasons for that is the diversification properties that CTAs can provide, which varies according to the strategy. For example, if you’re looking for downside risk management, then short-term high frequency CTAs are a very good fit. If it’s more about maximising the upside potential, longer-term CTAs can be very interesting.”

“When volatility is high but you don’t have strong trends, it is better to overweight short-term CTAs,” says Vaissié. “But when volatility declines and clear trends reappear, longer-term CTAs that are able to deliver strong returns become more interesting. That is very important because it means that whatever the market conditions are, there will always be an appealing sub-strategy for investors in the CTA market. So CTAs certainly shouldn’t be looked at as a homogenous asset class.”





Top 20 CTA performers with AUM >$250m over 1 year


Fund name
Last 12 months
Inception

1
Tulip Trend Fund - USD C
59.96%
Mar-03

2
QCM Global Diversified Programme
59.51%
Dec-95

3
SMN Diversified Futures Fund
58.53%
Nov-96

4
Altis Global Futures Portfolio $ Lead Series - Altis Master Fund ICC
56.91%
Jul-01

5
Roy G. Niederhoffer Negative Correlation Fund Ltd
54.62%
Nov-03

6
NuWave Combined Futures Portfolio Ltd
51.34%
Aug-04

7
Roy G. Niederhoffer Diversified Offshore Fund Class A
51.32%
Sep-95

8
Hyman Beck Global Portfolio
48.98%
Apr-91

9
Conquest Macro
45.03%
May-99

10
BlueTrend - USD
43.37%
Apr-04

11
Global Commodity Systematic Fund Class B2
42.06%
Jun-07

12
Brummer & Partners Lynx (Bermuda) Ltd. - USD
36.76%
Apr-04

13
Quantitative Global Fund (3X)
35.73%
Jun-05

14
Graham Global Investment Fund (BVI) Ltd - K4D-15
35.67%
Oct-01

15
Man AHL Diversified plc
33.22%
Mar-96

16
Transtrend Diversified Trend Program - Enhanced Risk - USD
29.38%
Jan-95

17
Abraham Trading Company - Diversified Program
28.77%
Jan-90

18
Graham Global Investment Fund (BVI) Ltd - Global Monetary Policy Portfolio
27.48%
Mar-06

19
Aspect Diversified Fund - USD
25.41%
Dec-98

20
Graham Global Investment Fund (BVI) Ltd - Proprietary Matrix Portfolio
25.14%
Jul-99