In 1992, it was easy to forget that managed futures do achieve above-average performance: the industry saw one of its worst years so far, with average performance for managed futures funds languishing at a loss of 7.90 per cent at the end of June. However, by September 1992, it was clear that generally June, July and August were good months, while the volatility of September’s markets - particularly with the currency crisis-had caused havoc with performance figures generally.

The year before, 1991, was not a lot better, languishing over the year with lacklustre performance and then finally and suddenly putting on a spurt of performance in December. By 1993, performance had improved somewhat, with average CTA performance to August 1993 showing an increase of 15 per cent over the year, according to TASS Management. The key reason for this somewhat erratic performance pattern is that most CTAs are trend-followersand recently the markets have not been forming trends, tending rather to drift.

The key point about performance in managed futures is that, in contrast to more traditional asset classes, performance can be achieved whether the underlying markets are going up or down. The clearest and most dramatic example of this is the period October/November 1987 when the world’s equity markets collapsed. During these two months, Credit Lyonnais Rouse’s Systemtrend fund achieved 14 per cent growth, and the managed futures industry’s average performance was 60.97 per cent.

Possibly related posts: (automatically generated)
The Spectre of Under-performance

• Can Managed Futures Improve Performance of Stock and Bond Portfolios?
• Performance Measurement
• Gaining Profile—Press Relations
• Introductory Commission
• Money under Management
• Common Terms Used in Measurement of Futures Funds
• Managed Futures the Lintner Theory
• How Does Performance Compare to Other Investments?
• Performance Measurement—The Issues
• The Successful Discretionary Override