Current Drawdowns across CTAs

While the recent months have offered a string of strong returns across the managed futures / cta space, most managers are still in fairly large drawdowns. Approximately 1/3rd of the CTAs are still in a drawdown larger than 5%. The table below shows the managers with the largest drawdowns, that are still reporting (there are probably funds that have imploded but when reporting stops, that’s it folks).

manager	program	CurrentMonth	PriorMonth	YTD	PriorYTD	Risk	AvgRet	CurDrawDown	Sharpe
World Cup Advisor	Lananh Dang	-1%	-8%	-71%	10%	43%	-57%	-76%	(1.35)
AIS Capital Management	MAAP 2-4X	-3%	-6%	-2%	-4%	27%	8%	-76%	0.30
AIS Capital Management	MAAP 3-6X	-4%	-9%	-5%	-6%	43%	14%	-92%	0.33
District Capital Management	Diversified	-16%	22%	10%	-5%	43%	11%	-91%	0.25
Estlander & Partners	Alpha Trend 3x	-17%	19%	11%	-14%	36%	-3%	-75%	(0.09)
World Cup Advisor	Kurt Sakaeda Lunar Cycles	-40%	-29%	-34%	38%	111%	113%	-65%	1.02
Glenhaven Capital	Glenhaven Global II		12%	4%	-44%	37%	-14%	-75%	(0.39)
Henrik Hallenborg	Hedgehog		1%	-1%	-28%	42%	2%	-70%	0.04
World Cup Advisor	Stefano Serafini Moon Watch		-4%	-61%	-59%	75%	28%	-88%	0.37

The reason for why drawdowns is an important measure, is that it gets progressively harder to recoup a large loss. For a small loss, 5%, the required gain is almost 1-1. For larger losses, the required gain becomes unrealistic. At those points, not only has the investors lost a lot of capital, but the fund manager is facing a very different economic.

Loss	Required Gain
-5%	5%
-10%	11%
-15%	18%
-20%	25%
-25%	33%
-30%	43%
-35%	54%
-40%	67%
-45%	82%
-50%	100%
-55%	122%
-60%	150%
-65%	186%
-70%	233%
-75%	300%
-80%	400%
-85%	567%
-90%	900%
-95%	1900%