The 2020 CTA Challenge – February Commentary

2019 Year In Review: Pros & Cons of the Markets

In Dan Collins’ contributed article, we examine the major market events of last year and how they helped (or hurt) the top performers in the 2019 CTA Challenge. Interviews, perspectives and some key takeaways can be found below.

After several years of difficult trading environments, managed futures had its best year since 2014, as is demonstrated by the top performers in the Coquest CTA Challenge.

2019 was somewhat of a breakout year for commodity trading advisors (CTAs) and the managed futures industry. The BarclayHedge CTA Index returned 5.28%, its best year since 2014 and only its second positive year since that breakout year. The index, which only posted three negative years in its first 29 years of existence has been negative in six of the last eight years causing some to question the viability of managed futures in general and trend following—its largest strategy— in particular.

The top performers in the Coquest CTA Challenge exploited what was a positive year for trend following but mainly relied on the unique individual attributes of all the managers and strategies competing.

The CTA Challenge was created to evaluate and rank investment programs in managed futures. Unlike similar rankings, which focus exclusively on returns, The CTA Challenge incorporates the risks taken to achieve those returns. The participants are professional money managers…

Click here to read the full story.


February 2020 – Managed Futures Shine

As of close of business on Feb 27, and with one more day to go, we have endured a wild ride in the financial markets this month. The major U.S. stock market indices have dropped this week by over 11% and are peering at continued declines for Friday. Month-to-date (MTD) the S&P 500 is down 7.65%, marking it as one of the toughest monthly moves in recent memory. International counterparts followed suit, with most major global stock indices falling this week. U.S. interest rates dropped without Fed intervention and the price of gold steadily climbed as investors exhibited flight to quality behavior throughout February.

Managed Futures, on the other hand, saw a steady performance uptick during February. While tracking daily activity of the 116 participating programs in the 2020 CTA Challenge, we saw a range of -11% to +75% gross monthly rate-of-return…with a collective weighted average of +1.7% MTD. Taking out the two outliers on either end of the sample group, we still have a range of -8% to +11% with a weighted average of +1.3% MTD.

For the CTA Challenge, all but four programs we track have outperformed the major U.S. stock market indexes in February, with 55% of the group in positive territory MTD and seven of them returning +5% or greater MTD. Although this is a short sample period, it lends support into holding investments that are non-correlated with stocks and bonds as part of a diversified portfolio. Specifically managed futures and specifically when long-economy based investments are declining sharply. Some describe the behavior of managed futures as crisis alpha while others call it true diversification. Either way, managed futures is something to consider for qualified investors that do not want to suffer another 2008 with a stock and bond only investment portfolio.


The CTA Challenge at a Glance

The unpredictable nature of futures market price moves, in both direction and size, require CTAs to employ hefty risk controls if they want to protect customers from large losses in their investment accounts. In the CTA Challenge, we take a risk-adjusted approach to analyzing and ranking CTA programs to ensure we are evaluating performance and risk numbers achieved as well as performance and risk exposures. We are evaluating “what actually happened” while also looking at “what could have happened”. See below for the most recent Top 5 ranked programs year-to-date in the CTA Challenge.


2019 CTA Challenge:

Top 5 Ranking Through The End Of December

#1: Quantica Capital AG / Managed Futures Program *QEP*

#2: County Cork LLC / Acclivity Program *QEP*

#3: Fort LP / Global Contrarian Program *QEP*

#4: Automaton Trading LLC / Diversified Program *QEP*

#5: AG Capital Investments LLC / Discretionary Global Macro Program

See the full current rankings here

2020 initial rankings will be published in the next issue of this newsletter.

CTAs interested in participating, or investors interested in learning more about CTAs and Managed Futures investment strategies, should contact Coquest and the CTA Challenge by Clicking Here.


Featured Sponsor

Nesvick Trading Group, LLC (NTG) partners with several commodity trading advisors. NTG began working to develop CTAs in 2008, and has since aimed to cultivate some of the premier programs within the managed futures space in the industry. NTG currently works with over eight CTAs that trade primarily in grains, livestock, equities, and currency markets. Each are different in their trading styles in the hopes to have a product to meet anyone’s specific risk parameters.


Upcoming Events – Mark Your Calendars! 

FIA Conference
March 10-12, 2020
Boca Raton Resort & Club, Boca Raton, FL

Talking Hedge – California
March 25-26, 2020
Loews Santa Monica Beach Hotel, Santa Monica, CA

Tactical Trading Investor Forum
April 21-22, 2020
Lotos Club, New York, NY

CTA Expo / Emerging Manager Forum
April 22-23, 2020
Stewart Hotel, New York, NY

TEXPERS – 2020 Annual Conference
May 2-6, 2020
Moody Gardens Hotel, Spa & Convention Center, Galveston, TX

cmdtyExchange Grain Summit 2020
May 4-6, 2020
Venue SIX10, Chicago, IL

Context Summits Europe
May 10-12, 2020
Hotel W Barcelona, Barcelona, Spain

Talking Hedge – Toronto
June 10-11, 2020
The Westin Harbour Castle, Toronto, Ontario, Canada

MFA Forum 2020
June 16, 2020
Four Seasons Hotel, Chicago, IL

Coquest Annual Investor Appreciation Night
June 16, 2020
TBD, Chicago, IL


CTA Challenge Sponsors