2019 has been a good year for CTAs thus far. Most CTA indices are reporting positive performance, and many strategies that had been out of favor for the past few years are making a comeback. Trend following and global macro strategies are again prevalent within managed futures and many are predicting a strong bull run for managed futures for the next five to seven years. Here are fifteen of the top performing CTAs in 2019 that are part of aiSource’s approved manager pool:
Past performance is not indicative of future results. All RORs are through September 2019 unless otherwise noted
**WDD: worst drawdown since the inception of the track record
***Sharpe: Sharpe Ratio since the inception of the track record, based on a 1% RFR
^ Performance reported through August 2019
None of the above managers are part of the trend following renaissance, but a few can be classified as macro traders: Coloma Capital Futures, Three Rock Capital Management, and Market Cipher.
There are some new entrants to our approved CTA pool this year, which are near the top of the list: Breakout Funds and Buckingham Global Advisors. Breakout Funds offers a proprietary trading firm type approach within a CTA structure, while Buckingham is an S&P option strategy focused on weekly re-balancing. Another new entrant that investors should keep an eye on is Market Cipher, a completely systematic, artificial intelligence driven macro CTA.