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).

managerprogramCurrentMonthPriorMonthYTDPriorYTDRiskAvgRetCurDrawDown Sharpe 
World Cup AdvisorLananh Dang-1%-8%-71%10%43%-57%-76%    (1.35)
AIS Capital ManagementMAAP 2-4X-3%-6%-2%-4%27%8%-76%     0.30
AIS Capital ManagementMAAP 3-6X-4%-9%-5%-6%43%14%-92%     0.33
District Capital ManagementDiversified-16%22%10%-5%43%11%-91%     0.25
Estlander & PartnersAlpha Trend 3x-17%19%11%-14%36%-3%-75%    (0.09)
World Cup AdvisorKurt Sakaeda Lunar Cycles-40%-29%-34%38%111%113%-65%     1.02
Glenhaven CapitalGlenhaven Global II 12%4%-44%37%-14%-75%    (0.39)
Henrik HallenborgHedgehog 1%-1%-28%42%2%-70%     0.04
World Cup AdvisorStefano 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%


Categories: NilssonHedge

Leave a Reply

Please log in using one of these methods to post your comment:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out /  Change )

Google photo

You are commenting using your Google account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

Connecting to %s

This site uses Akismet to reduce spam. Learn how your comment data is processed.

%d bloggers like this: