Cantab Capital Partners http://www.managedfutures.com/program_performance.aspx?fundtype=mf&productId=48059 Altis Partners http://www.managedfutures.com/program_performance.aspx?fundtype=&productId=19740 Look at the sharpe ratios and return profiles relative to the S&P... how are funds like this still in business?
The founders and managers' lineage and futures involve being a member of the lucky sperm club. (i'm really bored right now)
https://www.standard.co.uk/business...ped-up-by-swiss-wealth-firm-gam-a3283666.html Cantab was bought by swiss GAM in 2016 for $300 million, 10 years after Cantab was founded. Why would they buy a firm with a 10 year track record that is not meaningfully different than that of the S&P?
Main benefit of CTA type strategies is the diversification benefit particularly in tail events (so Sharpe Ratio is a poor measure as it's symmetric, and any kind of CAPM type analysis isn't much better as it assumes linear correlations). There are numerous studies explaining this. Basically you would expect to pay for an insurance policy that will protect you when the world ends and the rest of your portfolio tanks. If a CTA actually makes you money over time then that is a bonus. The only other quantitative strategies that made money in 2008 were short biased equity (obviously) and tail protection type strategies (Taleb style smart buying of vol essentially). [Oh and Paulson et al; but that's hardly a repeatable methodology] Both of these have much lower SR than managed futures. That doesn't mean you shouldn't have them in your portfolio, but I'd probably give them less weighting. 100% in managed futures obviously wouldn't make sense, but a 20% allocation to a classic long only 80:20 portfolio will improve things significantly. GAT Disclosure; I used to work for AHL (another managed futures shop), I use managed futures type signals in my own trading (alongside a long only portfolio - as that is what makes sense), and I know (and respect) Ewan and many of his guys. So yes, I'm biased.
The difference between Cantab and SP500 seems to be in the correlation. They seem uncorrelated: your first link shows a correlation of -0.01 (http://www.managedfutures.com/program_performance.aspx?fundtype=mf&productId=48059). If somebody is looking for diversification then this could be an important parameter.
Sorry Bob - I don't trade outside money (and I have no intention of doing so) But you are welcome to peruse https://www.systematicmoney.org/ GAT