Commodity Trading Advisers, commonly referred as to CTA Global funds or Managed Futures, invest in listed financial and commodity markets as well as in currency markets all over the world.

Most of CTA Global funds play on market momentum (i.e. trend followers) or follow discretionary strategies. The others either use quantitative, fundamental or technical analysis. The great majority of these funds are specialized “boutiques” relying on proprietary trading techniques.

Most of CTA Global funds use leverage either explicitly or implicitly (through the use of derivatives) to increase the impact of market moves on their portfolios.

CTA Global funds’ performances tend to offer a relatively good protection against market downturns. As a consequence, CTA Global funds may be used as “Risk Reducers” in portfolios.

Monthly returns201620172018
January2.29%-1.02%3.57%
February2.36%1.49%-5.68%
March-2.01%-1.37%-0.29%
April-0.91%-0.17%0.08%
May-1.76%0.11%-0.74%
June3.52%-2.22%0.23%
July0.67%0.94%-0.58%
August-2.25%1.60%1.66%
September-0.66%-1.94%-0.54%
October-2.57%3.67%-3.14%
November-0.50%0.04%n.a.
December0.58%1.15%n.a.
Annual-1.45%2.14%-5.56%
S&P 50011.96%21.83%3.01%
Lehman Treasury1.04%2.31%-2.14%
Quarterly returns201620172018
1st Quarter2.61%-0.92%-2.60%
2nd Quarter0.77%-2.28%-0.43%
3rd Quarter-2.25%0.57%0.53%
4th Quarter-2.49%4.90%-3.14%
Annual-1.45%2.14%-5.56%
S&P 50011.96%21.83%3.01%
Lehman Treasury1.04%2.31%-2.14%
Risk ProfileEdhec CTA Global IndexS&P 500Lehman Treasury
Monthly Std Dev Ann'd7.98%14.28%4.43%
Sharpe Ratio0.020.230.00
Information ratio-0.19n.a.n.a.
Min. Monthly Return-5.68%-16.80%-4.39%
Max. Monthly Return6.55%10.93%5.31%
Mean Monthly Return0.34%0.59%0.33%
Median Monthly Return0.11%1.07%0.36%
Exc. Kurtosis-0.261.381.53
Skewness0.07-0.670.04
% of winning Months53.27%65.89%58.41%
Average Winning Return2.07%2.86%1.13%
% of losing Months46.73%34.11%41.59%
Average Losing Return-1.63%-3.80%-0.80%
Correlation AnalysisEdhec CTA Global IndexS&P 500Lehman Treasury
S&P 500-0.051.00-0.34
S&P 500 Value-0.060.97-0.34
S&P 500 Growth-0.050.97-0.32
S&P Mid Cap-0.030.92-0.33
S&P Small Cap-0.060.87-0.34
Lehman Treasury0.31-0.341.00
Baa-Aaa0.02-0.070.06
Chg in Baa - Aaa0.01-0.120.17
10 years - 3 Months0.03-0.050.12
Chg in 10 years - 3 Months-0.06-0.03-0.05
VIX0.05-0.440.27
Chg in VIX-0.07-0.670.19
in %CSFBHF NetBarclayCISDMS&P
2006 Q220.2%20.3%19.3%20.2%19.9%
2006 Q320.3%20.4%19.3%20.1%19.9%
2006 Q420.3%20.4%19.4%20.2%19.8%
2007 Q120.3%20.5%19.3%20.2%19.7%
2007 Q220.2%20.8%19.5%20.2%19.4%
2007 Q320.0%20.8%20.7%19.9%18.6%
2007 Q419.8%20.8%20.7%20.1%18.4%
2008 Q124.6%25.7%25.2%24.5%n.a.
2008 Q224.6%25.5%25.0%24.9%n.a.
2008 Q324.5%25.5%25.0%25.1%n.a.
2008 Q424.7%25.4%25.0%25.0%n.a.
2009 Q125.1%24.9%24.7%25.4%n.a.
2009 Q225.1%24.9%24.7%25.4%n.a.
2009 Q325.0%24.7%24.8%25.5%n.a.
2009 Q425.0%24.7%24.9%25.5%n.a.
2010 Q125.0%24.6%25.0%25.4%n.a.
2010 Q225.0%24.7%24.9%25.4%n.a.
2010 Q325.0%24.7%24.9%25.4%n.a.
2010 Q425.2%24.7%24.8%25.4%n.a.
2011 Q132.9%33.2%33.8%n.a.n.a.
2011 Q233.1%33.1%33.7%n.a.n.a.
2011 Q333.1%33.2%33.7%n.a.n.a.
2011 Q433.2%33.1%33.7%n.a.n.a.
2012 Q132.9%33.4%33.7%n.a.n.a.
2012 Q232.9%33.4%33.7%n.a.n.a.
2012 Q333.1%33.5%33.4%n.a.n.a.
2012 Q433.1%33.5%33.4%n.a.n.a.
2013 Q133.2%33.5%33.3%n.a.n.a.
2013 Q233.2%33.5%33.3%n.a.n.a.
2013 Q333.0%33.6%33.3%n.a.n.a.
2013 Q433.1%33.6%33.3%n.a.n.a.
2014 Q133.0%33.7%33.3%n.a.n.a.
2014 Q232.9%33.7%33.3%n.a.n.a.
2014 Q332.9%33.7%33.4%n.a.n.a.
2014 Q432.8%33.9%33.3%n.a.n.a.
2015 Q132.8%33.9%33.3%n.a.n.a.
2015 Q232.9%33.7%33.4%n.a.n.a.
2015 Q333.2%33.4%33.4%n.a.n.a.
2015 Q433.1%33.5%33.4%n.a.n.a.
2016 Q133.0%33.5%33.4%n.a.n.a.
2016 Q233.1%33.6%33.4%n.a.n.a.
2016 Q332.9%33.2%33.8%n.a.n.a.
2016 Q433.0%33.2%33.9%n.a.n.a.
2017 Q133.0%33.1%33.9%n.a.n.a.
2017 Q233.1%33.1%33.8%n.a.n.a.
2017 Q333.2%33.1%33.7%n.a.n.a.
2017 Q433.2%33.0%33.8%n.a.n.a.
2018 Q133.3%33.0%33.7%n.a.n.a.
2018 Q233.1%33.3%33.6%n.a.n.a.
2018 Q333.0%33.3%33.7%n.a.n.a.
2018 Q433.1%33.3%33.6%n.a.n.a.
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