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% |