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The Best Diversifying Managed Futures Products Through March 2020

March has been an extremely difficult month for global markets; some of the fastest declines in history followed by large bounces has meant extreme levels of volatility everywhere, and enormous amounts of money lost - it will be a month for the financial history books. And, as is often the case during times of crisis, the best stand their ground and shine through. So, what we wanted to do is to find the best diversifying CTAs that have, at the time of writing, reported their March performance to the NilssonHedge database, a publicly available database of CTA performance..

We filtered the database in two passes using AlphaBot’s Quant Screener. First we looked for CTAs that have positive returns through and including March 2020, and found 23 of them. Then we looked at the correlation of those 23 CTAs to the S&P500 for the past 12 months (including March) and picked those with 0 correlation values or less.

We have found 10 programs which match our criteria, among which the best 12 month performer is Metolius Capital Enhanced Fund with an almost +19% return for the period April 2019 to March 2020, followed by Covenant Tactical Growth as a close second with +18.2% return (the equities returned -7%, in comparison). The best negative correlation of -0.67 is achieved by Alder Capital Global program.


Here are the same results (for the past 12 months) in a table form for those more numerically than graphically inclined:


Covenant and Metolius are also the two best performers YTD 2020 with +16.5% and +16.3% returns. And while the other programs have returned single digits this year, they are still at least 20% better than the S&P, which was down -20% through March. The last table summarizes the returns of these programs in 2019 and YTD 2020. Notice that Covenant was the best performer among these programs for the last year as well - a very impressive result considering how different the markets were back then “before the virus”.


Despite turbulent markets and high dispersion of returns in the industry, the legend of CTA diversification lives on, and we will be keeping an eye on how managed futures strategies perform during the current market chaos in the coming months.

Dmitri Alexeev is Founder and CEO of AlphaBot, a collaborative platform for alternative investment research.

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