aiSource’s Performance Benchmark: The Investor

There are many benchmarks that a managed futures portfolio can be measured against: S&P500, BTOP 50, NewEdge CTA Index, Credit Suisse…etc.  The index an investor chooses against which he/she compares performance, largely depends on the investor’s goals and preferences.  Most traditional, every-day investors look to managed futures as a diversifier, but can’t help themselves from comparing the performance to the stock market. Other investors will rely more on the CTA indices as a measure of performance, and if their portfolio is greatly underachieving those benchmarks, they know adjustments are necessary.

The case against the S&P 500

While it’s difficult to ignore the tremendous bull run in US Stocks since 2009, it’s very important to not lose sight of the fact that most alternative investments are sought for diversification purposes.  Since most investors have a majority of their assets in traditional investments, like stocks and bonds, they turn to managed futures to add uncorrelated returns to their portfolio.  While diversification and non-correlation are the primary drivers that influence an investor to seek alternative investments, investors still find it very difficult not to compare performance to traditional assets. What’s the point of comparing performance to traditional assets when the entire goal was to diversify away from them?

The case for CTA Indices

Comparing performance to CTA indices is not the end all be all, but it still provides a good indication of the “health” of the overall asset class.  If your managed futures portfolio is underperforming in comparison to CTA indices, then it would be wise to consider some changes to your CTA allocations. However, in an ideal situation, an investor should have a basket of CTAs that is non-correlated to both the S&P500 and the various CTA indices.

The True Benchmark: YOU

Most investors treat managed futures as a stand-alone investment, which they use for diversification purposes [while also hoping to generate non-correlated returns to their traditional allocations]. At aiSource, we listen to your challenges and construct a customized CTA portfolio that meets your targeted goals.  Whether you’re seeking yield, looking to lower risk, looking to increase risk, or targeting any number of other financial objectives, the best measure of your managed futures performance should be you.  Since each investor’s goal is unique, their managed futures portfolio performance should be measured against their financial objectives. 


In essence, when we build a customized portfolio for our client, we’re creating a benchmark for each portfolio.  The benchmark is the targeted risk-to-reward profile that the investor is seeking. Our goal on an on-going basis is to analyze each portfolio against the goals outlined by each investor.