CTA Woes Continue in 2016

CTAs have been unable to profit this year according to official sources, adding to a long streak of disappointing returns in recent years. This is despite some notable downtrends in bonds, gold, commodities and currencies this year.

This article is based on actual performance data from official sources about CTA group performance in 2016 and in the past. It does not apply to any particular CTA or individual who manages futures or uses trend following as many CTAs do. Individual performance may diverge significantly from averages due to either skill or luck.

According to BarclayHedge, year-to-date top 20 CTA estimated performance is -4.09%. The majority of the CTAs in top 20 use systematic trend following. Below is a chart of top 20 performance since 1987:

In the last 13 years, top 20 CTAs (and also the whole group) have been unable to generate meaningful returns. Annualized return is less than 2.5% in that period.

CTAs should not rely on returns from many years ago when there were pit traders and no HFT. The world has changed and they also must change.

If you have any questions or comments, happy to connect on Twitter: @mikeharrisNY

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