The 2020 CTA Challenge – February Newsletter

The 2020 CTA Challenge – Starting Off Strong

In the first month of tracking for 2020, we have already seen quite a range of performances among the participants of the CTA Challenge. January’s monthly rate of returns (RORs) range from -8.80% to +16%. The average ROR of the 115 participants is +0.50% for January…which shows that the managed futures investment strategy class is starting this year on an overall positive uptick.

With 115 programs participating in the 2020 CTA Challenge, the amount of data gathered for evaluation is quite extensive. Although the amount of information is broad, the length of time is too short to derive any viable conclusions. Performance comparative rankings do not hold much weight with only one month of data so we wait until after the end of February before posting the initial rankings. Check back in early March for the first update of the 2020 CTA Challenge estimated year-to-date rankings.


2019 CTA Challenge Winner Focus – Quantica

We sat down last year with Bruno Gmur of Quantica Capital AG to discuss the history of their CTA and how they came to develop the investment strategy which eventually won the 2019 CTA Challenge. See below for the full article.Click here to read the full story in the members section of our website. New members can sign up for free to access premium content.


2020 Sponsorship Opportunities Still Available

A few spots remain open for companies interested in becoming a sponsor of the CTA Challenge. Service providers, industry brokerage groups, technology platforms, and more are welcome to apply. Please contact our team for more information by emailing or calling 1-214-580-4220.


The CTA Challenge at a Glance

The unpredictable nature of futures market price moves, both in 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” and 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


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

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Upcoming Events – Mark Your Calendars!

Talking Hedge
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

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


CTA Challenge Sponsors