There’s no denying Managed Futures performance has struggled in the recent bout of no volatility with the SG CTA Index down -1.64% thru October and the SG CTA Mutual Fund Index down an even worse -6.45% {Disclaimer: Past performance is not necessarily indicative of future results}.
But anyone who’s been around the block a couple of investment cycles of maybe even 10 cycles knows that successful long-term portfolio growth isn’t just about how big the gains are, but also how to avoid the lowest of the drawdowns. After all, the bigger the loss – the bigger the gain needed to recoup said loss, as we were reminded by a recent Bloomberg piece with this graphic:
(Disclaimer: Past performance is not necessarily indicative of future results)
Source: Bloomberg
Which brings us to one of the best, managed futures programs we’ve seen out there at protecting against the downside – Auctos Capital Management. They recently published the following table showing how their Multi-Strategy Managed Futures Mutual Fund, $ACXIX, stacks up from a risk standpoint against some of the largest funds in the space.
Color us impressed, with the current drawdown, time since last equity highs, and trailing volatility all the best of the bunch. And they don’t stop there, with a full analysis of past such periods for their program and how this current environment may be a buying opportunity for those who are willing to do some deeper analysis. Check out their whitepaper on drawdowns, here.
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