Looking Back At CTAs In 2019
With 2019 now in the books, this week we're looking back at CTA performance last year. While it was challenging it was also the best year for managed futures strategies in 5 years, by a very wide margin, and only the 3rd year in the last decade with returns greater than 1%!
Of course, we are waiting for the official BarclayHedge CTA Index value for December. Our daily CTA index proxy, which is built from 15 CTAs with daily returns, shows slightly negative returns of -0.18% for the month.
From the beginning of 2019 CTAs through August, CTAs enjoyed a great run, up approximately 8% before a portion of that melted away. On risk adjusted basis the CTAs were even able to beat equities - albeit briefly - before falling back down.
(Performance in the chart above is risk adjusted to 15% annualized volatility)
The return to form of CTAs in 2019 was short but wonderful, and definitely felt great. And while the pull back is not over yet, as available daily data suggests a negative December return, it was great to see that last year the managed futures industry was able to get some wind back in its sails once again, and we'll watch with interest to see if the strategy can keep going and do even better in 2020.
Happy New Year Everybody!
Dmitri Alexeev is Co-Founder of AlphaBot
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