Our weekly newsletter is out, and as the curtain opens on a new year, investors usually can’t help evaluating their performance on the year gone by, asking the same questions they always ask around this time: Could I have done better? Could I have done worse? Does my portfolio need adjusting? These questions are tricky to handle, after managed futures posted yet another lackluster year overall, with the Newedge CTA Index down -2.95% (Disclaimer: past performance is not necessarily indicative of future results).
But as we recently covered (here and here), we don’t invest in an index in the managed futures space, but individual programs utilizing different strategies. And before we judge any individual programs in our portfolios for inclusion or exclusion, we find it helpful to analyze how each of these strategy types performed. And more importantly, why they performed a certain way – so we can judge how the individual programs we’re looking at performed against their strategy group peers. A down year isn’t the end of the world, if the entire strategy type was down. But a down year when other programs approaching the markets in the same manner were all up is a different story.
We spell out the categories we use, which CTAs within those categories were noteworthy this year, how the strategies reacted to the circumstances they face, what the overall performance of the category was like, and other pieces of content related to these strategies that may be of interest to you. Read on to see what we found.
