Thanks, Banjo! I hadn't seen that. The long term trend follower CTA's had a tough June, so I guess our 15.2% return was able to rise to the top.
You're not kidding, Aaron, about the long term trend followers having problems. John Henry's results are up at his website www.jwh.com and June was down for every one of his programs. The losses ranged from –3.9% for the Dollar Program to –14.0% for the Original Investment Program. So to any futures traders out there...you weren't alone if you had a lousy June.
It's not that bad. The CSFB/Tremont "Managed Futures" is down 2.2% in June and up 10.5% YTD. BTW: Did you noticed that managers who trade financials and metals have the best performance? Jan 1987 - Dec 2002 BARCLAY FINANCIAL/METALS TRADERS INDEX Compound Annual Return % 13.65 Sharpe 0.79 BARCLAY DIVERSIFIED TRADERS INDEX Compound Annual Return % 11.98 Sharpe 0.41 BARCLAY CURRENCY TRADERS INDEX Compound Annual Return % 10.06 Sharpe 0.38 BARCLAY AGRICULTURAL TRADERS INDEX Compound Annual Return % 9.38 Sharpe 0.35 Source: http://www.barclaygrp.com/indices/cta/sub/cta.html Speaking of JWH... their Financials & Metals fund has 20-year track reckord with avg +30% p.a. but also over 4 years flat period (Jan 1998 to Apr 2002).