managed futures

Discussion in 'Trading' started by Banjo, Jul 14, 2003.

  1. Banjo

    Banjo

  2. man

    man

    where exactly is information on aaron?


    peace
     
  3. Banjo

    Banjo

    sorry, should have noted. Click on red type@ top left, scroll down to managed futs.
     
  4. man

    man

    right. I missed it.
     
  5. Aaron

    Aaron

    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.
     
  6. Foz

    Foz

    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.
     
  7. 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).