After a volatile few days of trading, with commodities selling off sharply (before rallying back today), stock markets going negative on the year, and the yen rallying to the highest levels seen since World War II, we took a minute to see how the various managed futures strategies we track have done through the madness…

Short-term systematic strategies have performed best as the increase in volatility has been a boon for these programs, many of which have struggled mightily as volatility declined throughout the past 6 months.

Discretionary multi-market strategies have also out performed as the extra latitude of not having to follow a system has allowed managers to pull risk from the table.

Finally, it does not come as a surprise to us that systematic multi-market and option trading are the two worst performing strategy sets thus far. Explosions in volatility can catch systems by surprise and it can take a short period for these strategies to re-calibrate themselves to the market. Most option programs are considered short volatility investments and losses are to be expected when there are drastic moves across commodities, currencies, and stock- index futures.

The average, best, and worst performance for the programs we track in each of the below categories (47 CTAs total) over the past week is listed below, showing just how important it is to have a well diversified portfolio within managed futures. Of course, a lot of this may change after today…