2016 will not go down as a year to remember in the Managed Futures/Global Macro space. There were moments where managers found returns in bouts of strong market movement (like 12 months ago in January of ‘16), but that’s about it. As a whole, the asset classes finished down -2.89% in 2016, via the SocGen CTA Index. But an index is an average of sorts, and not all strategy types (or for that matter programs) fared the same as the index – as not all strategies attack the market the same way. Which types of trading programs were able to capture returns in an otherwise poor environment for managed futures/macro? Which suffered more than the rest? We try our best at outlining the differences in the sectors and how they responded to 2016 in our new whitepaper: Managed Futures 2016 Strategy Review.
But there’s those out there who don’t care much about the nuances of strategy types, risk adjusted metrics, and relative performance. There’s more than a few of you out there who just want to know – who did the best in 2016? Per our brand new database, we sorted by the past year’s return, finding the top 10 Managed Futures programs in 2016 by return only! One caveat, we only list those programs with at least 36 months of returns here.
PS – that’s only the very beginning of what our new database has to offer. The searching and filtering and analyzing is endless. Sign up for access here: Database Registration. In the meantime, enjoy the top ten performers of 2016.
(Disclaimer: past performance is not necessarily indicative of future results. Programs listed consist of those with at least a 3 year track record tracked by RCM Alternatives and do not represent all available programs in the managed futures universe. The Max DD represents the worst drawdown of all time for the listed programs).
|Managers and Programs||2016 ROR||Max DD||Min. Invst.|
|Quantitative Investment Management — Global Fund (3X) (QEP)||56.70%||-16.63%||1,000,000|
|Brandywine Asset Management – Symphone Preferred||36.38%||-70.03%||100,000|
|Amplitude Capital International – Klassik Strategy (QEP)||29.41%||-21.47%||200,000,000|
|LJM Partners – Aggressive Premium Writing (QEP)||25.25%||-63.65%||500,000|
|Hamer Trading, Inc – Hamer Fund (QEP)||23.08%||-44.96%||200,000|
|Andurand Capital, Commodities||22.00%||-15.33%||2,000,000|
|Blue Diamond Asset Management – Blue Diamond Non Directional Strategy||21.78%||-7.71%||100,000|
|Amapa Capital Advisors – Amapa Investment Fund (QEP)||21.18%||-25.84%||500,000|
|Galnet Asset Management – Galnet Alpha Fund (QEP)||19.64%||-33.34%||1,000|
|Emil Van Essen – Spread Trading Program – (QEP)||18.38%||-7.25%||5,000,000|
Article by RCM Alternatives