2015 was a bounce back year for some strategies, but was a down year some strategies that had been performing well in years past. Global macro and diversified commodity CTAs performed well, while many agriculture and livestock CTAs performed poorly . Obviously, there are exceptions (good and bad) in both categories.
Here’ s a look at some of the best performing CTAs of 2015 (this list was compiled based on CTAs our clients invest with, or have invested with in the past):
*WDD is the worst drawdown the strategy has experienced since inception
**Sharpe Ratio of the strategy since inception
Past performance is not indicative of future results.
CTAs such as M&R Capital and Wharton Capital, both of whom specialize in the livestock sector, outperformed their peers in that category. Similarly, Typhon Capital’s Plutus strategy outperformed its peers in the grain sector. Soaring Pelican was one of the only short-term S&P500 systematic strategies to do well, along with Ring Capital Management. Coloma Capital and Three Rock were able to capitalize on some global macro trends, while Red Rock outperformed most CTAs using a wide basket of global commodities. All strategies in the above table have minimum investments ranging from $100,000 to $500,000. It’ll be interesting to see if the above CTAs are able to make the 2016 list at the end of the year!