Hot new CTAs: Exploiting trends and managing reversals

摘要

This is the 14th year Futures has profiled up and coming commodity trading advisors (CTAs). This year we selected three that managed to fulfill the oft-stated goal of taking advantage of existing trends while designing strategies that avoid taking large hits when trends reverse. As noted above we believe this past year is a particularly good one in which to analyze CTA performance because managers faced such volatile markets. When reviewing candidates, we look at not only recent returns but also overall performance and the manager's general approach to trading. Because new traders with limited money under management may be more susceptible to volatility, we do not judge drawdowns as harshly as we would with experienced managers. Although drawdowns are a factor, we believe it is important to see how a trader handled the drawdown, how he corrected the situation and how long it took to get back to previous levels. The managers we featured all have learned to make adjustments to their strategies in order to improve overall risk-adjusted returns.