Our weekly newsletter is out, and sadly we must add 2012 to the list of poor managed futures years. It wasn’t supposed to be this way. 2012 was supposed to the bounce back year for managed futures after a negative 2011. Managed futures as an asset class had never had back to back losing years, so it surely wasn’t going to happen this time… right?

Wrong. As the disclaimer says – past performance is not necessarily indicative of future results. Managed futures did indeed put in back to back losing years, with the main managed futures indices finishing down between –1.65% and –3.21%. And the bigger problem – that’s three out of four losing years for the poster child for portfolio diversification after 2008. What’s worse, it’s not like managed futures losses came in the context of larger losses for stocks or bonds or real estate. Nope, they performed poorly on a relative scale too, coming in last among the asset classes we track.

The main culprit, a lack of trends – with our Average % Trending Days indicator clocking in at the lowest level in 13 years:

Disclaimer: past performance is not necessarily indicative of future results.

The question is – what’s next? What does 2013 hold? Do we give up? Is trend following really dead? Has high frequency trading (HFT) really changed the game for non trend followers?

Well, it’s pure folly to pretend we can say with any accuracy where managed futures will end up over the next 12 months. We’re not interested in playing that game. No, we’re interested in analyzing the conditions which caused managed futures as an asset class to perform the way it did in 2012, and discussing whether those conditions will persist in the new year, reverse course, or yield to different conditions. Click through to see what we found.

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To read more Managed Futures research pieces, visit Attain’s Managed Futures Newsletter archive and our Managed Futures Blog.

DISCLAIMER

Forex trading, commodity trading, managed futures, and other alternative investments are complex and carry a risk of substantial losses. As such, they are not suitable for all investors.

The entries on this blog are intended to further subscribers understanding, education, and – at times- enjoyment of the world of alternative investments through managed futures, trading systems, and managed forex. Unless distinctly noted otherwise, the data and graphs included herein are intended to be mere examples and exhibits of the topic discussed, are for educational and illustrative purposes only, and do not represent trading in actual accounts.

The mention of asset class performance is based on the noted source index (i.e. Newedge CTA Index, S&P 500 Index, etc.) , and investors should take care to understand that any index performance is for the constituents of that index only, and does not represent the entire universe of possible investments within that asset class. And further, that there can be limitations and biases to indices: such as survivorship and self reporting biases, and instant history.

Managed Futures Disclaimer:

Past Performance is Not Necessarily Indicative of Future Results. The regulations of the CFTC require that prospective clients of a managed futures program (CTA) receive a disclosure document when they are solicited to enter into an agreement whereby the CTA will direct or guide the client’s commodity interest trading and that certain risk factors be highlighted. The disclosure document contains a complete description of the principal risk factors and each fee to be charged to your account by the CTA.

Copyright Β© 2011 Attain Capital Management, licensed Managed Futures, Trading System & Commodity Brokers. All Rights Reserved. Reprinted with permission.

This entry was posted on Wednesday, January 16th, 2013 at 3:53 pm and is filed under Managed Futures, Research. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.