Forgive my ignorance, but is there an "Unmanaged" futures category?? The term "managed" makes sense when used viz a viz index funds, but what is the corollary in futures to begin with?
trillenium, you sound scared and distrusting of your system. even great winemakers have bad years, sometimes two in a row. others' opinions about the return they foresee for managed futures is irrelevant - no one has a crystal ball. stick to your system. if it falls apart, so what? there are people with much worse fates than those managing a broken trading trading system. if you believe in your system, trust it, and ride it out. many of the world's greatest traders have experienced 50% drawdowns.
haven't been trading much recently but this all sounds like CTA's and hedge funds are a bunch of sheeps all trading the same systems, why do they keep trading the systems when they lose ? if I am down 3 % on the month or even take 3 losses in a row with the same methodology I want to step back and see what is going on ex: in stock indexes I trade almost exclusively the long side, short on long reversed occasionally , the first week of April I went long after the 2-3 day rally , even though it was risky I was convinced a big LONG TERM rally was in the works and about to run away in the following days but the market kept falling that day and I got out before noon before it got real bad (forget the long term!) , before that I was long on FOMC day and saw a nice gain erased , twice the market was weak on the "signals" telling me something was up and caution was necessary. I always take one or two significant losses before the market really plunges. .
You have some serious issues. You say you just want others opinions about the direction of managed futures but you keep dredging up this thread again and again to tell everyone how bad they suck every day. Since you claim to manage money for others, are you forthright about your dire predictions to your potential clients? I assume you are also not a member of the NFA.
http://www.elitetrader.com/vb/showthread.php?s=&threadid=18263 Q Highlights: CTAs have a 50% survival rate; better than daytraders or new business failure rates, but significantly less than mutual funds Survivors are better performers, but the best performers weren't necessarily the survivors Monthly returns weren't indicative of survival capabilities; as in the "trader's edge" did not give the CTAs an edge in surviving Survivors survive by praticing money management: 1) they experienced lower than average max drawdowns 2) recovered from drawdowns faster and more consistently 3) were less volatile 4) had better Sharpe ratios than non-survivors There was no advantage of a "diversified" or "non-diversified" CTA, but systematic CTAs were better survivors than discretionary CTAs Variables that influenced mortaltiy rates: max monthly return, sharpe ratio, avg monthly winning return, management fee, incentive fee, std dev of monthly returns, max monthly drawdowns, max time to recover from drawdown as % of business life, and max # of months to recover from drawdown. UQ
I understand your concerns and in such case only thing you can do is quantitative analysis, to see if the underlying premise you've built upon is persisting. Markets DEFINATELY change over time, and strategies which worked for decades, stopped working. This change has happened gradually: I'd say first shift in "managed futures" was in 1996 and again in 2001. Obviously there any many different potential strategies in "managed futures" (or "diversified futures"), but the truth is that if a manager wants to be able to have capacity for over $100million AUM, then the strategies are basically the same. Hence the results are very much correlated. The dollar volume in the phsyical commodity *futures* markets is much smaller vs the underlying *cash* markets, compared to interest rate derivatives, indices or forex, so there could be quite more room to grow. Also, commodity futures get practically zero volume from smaller traders (due to being still pit-traded).