Our weekly newsletter is up at: https://bit.ly/cPiALn

The topic covers some research we did looking into the performance of timing managed futures entries/exits annually in a Dogs of the Dow type approach, whereby you invest in the bottom x% of CTAs in hopes they will revert to the mean. The results weren’t as we expected, with the dogs mostly remaining dogs over the following year.

The following chart was one of the more interesting items we uncovered – showing the performance of the CTAs inside the Newedge CTA index in the following year broken down by quartiles.  Who knew the second quartile was the place to be?

Past Performance is Not Necessarily Indicative of Future Results