For anyone wanting to compare the best C2 systems with the top Commodity Trading Advisor (CTA) programs in the country for 2008, the following data is from Futures Magazine, from a database of 651 traders.
Top 10 CTA Programs
2008 median annual return = 112%
2008 median max. drawdown = 17.7%
Just for kicks, I ran this criteria through the Grid, for systems at least 90 days old. A grand total of 10 systems at C2 meet this criteria. None of these is even a year old.
Kevin
Kevin,
Interesting.
What is the average AR and draw for all 651 traders in 2008?
That info was not given.
Kevin,
I agree that there is a phenomenally low count of truly "successful" (more than 1 year) systems at C2.
Help me to understand this better. I take it median is pointing somewhere in the middle to a distribution, collection or range of every "program"?
This could be stark different to the average? But still near?
When you say (top):
". . .top Commodity Trading Advisor (CTA) programs in the country for 2008, the following data is from Futures Magazine, from a database of 651 traders."
are these all CTA programs or just the "top 651"?
This seems to infer that those highlighted by Futures Magazine are certified in some way (CTA) and thus many are providing huge gains. Maybe it was just an amazing year for commodity trading.
Please correct me if I am wrong: I did not know that gains like this are readily available or accomplished!?!
Regards,
Gilbert
[LINKSYSTEM_35446481]
Well… without additional disclosure it’s hard to figure out how they got the numbers.
There is other sample from 614 CTAs at www.autumngold.com
Median is ~40-50% for top 10.
But the data is more verifiable.
Eu
The article is from the March 2009 issue of Futures Magazine. In the article it says data is from “Barclays database.” The table in the artcile list the top ten CTAs by name for above and below $10 Million in assets (20 CTAs in total listed). They are ranked by 2008 annual return.
That’s all I know. Futures Magazine can probably provide more disclosure, if needed.
Kevin,
I was only trying to show that their sample of CTAs isn’t representative. Otherwise my sample of 614 CTAs should show close numbers. Following you cannot use their numbers as benchmark.
Eu
It’s the classic problem of self-selection and survivorship bias. Who do you think reports their annual results to any database, ex post? Only those who happened to be successful.
It’s easy to denigrate C2, but keep in mind what’s going on here: we’re astoundingly honest and transparent. Anyone can join the C2 site, and they need to do so in advance. There is no walking away from your trading track record after it happens. Thus it is only to be expected that the “average” system here will be worse than the “average” system in a database where the members of the database are self-selected. How many CTAs that blew up or closed up shop after 2008 reported their results to Barclays? I’ll give you a hint. It’s a nice round number.
Matthew
Hi, EU, this was a much more accurate representation, I thought. Good link.
March-13-2009 6:20 pm CDT
Active CTAs 363 (62%)
Active Funds 219 (38%)
Thru Feb '09 327 (56%)
Last 60 days 471 (81%)
CTA Statistics for Feb '09
Mgrs with (+) ROR 123
Average (+) ROR 2.35%
Mgrs with (-) ROR 104
Average (-) ROR -2.64%
Highest ROR 12.39%
Average ROR 0.06%
Lowest ROR -35.17%
The Highest ROR appears to only be up 12.39%, with an average positive ROR of 2.35% and a average down ROR of 2.64% and the average ROR is in the middle at 0.06%. I’m marking this in my favorites b/c it is legitimate.
I know we’re just trying to have conversation, Kevin, but those apr’s are probably posted through people paying to advertise through futures magazine.
To Matt, Eu, and Beau -
I apologize that my first post was apparently not clear. These numbers are the median numbers for the best of the best CTAs (top 10 CTAs). It is not the median of all CTAs, or median of just the CTAs tracked, or median of just the survivors, or the median of just those advertising in Futures Magazine.
Those numbers are for the top 10 CTAs as tracked by Barclay’s, a major financial player. That is why I titled the post “Benchmark Comparisons” - benchmark means "a standard of excellence, achievement, etc., against which similar things must be measured or judged."
You can rationalize all you want that these numbers do not matter, or that they are invalid, or that they are biased, or whatever, but they are what they are, and they are the facts.
And don’t worry. I will never post benchmark numbers again. Rather than using this benchmark as a bar for performance, people here seem to be threatened by the existence of such numbers.
Kevin,
No need for apology. The first of all I read the article. 
The second I don’t feel myself uncomfortable with the numbers. “The best of the best of one year” definition is fine for me.
Eu
Thank you. That is all it is, "best of the best of one year."
No Kevin nice contribution now clarified. It makes total sense now.
"It is what it is": Collective2, Barclays, as well as the data presented etc.
Shows I am on track:
[LINKSYSTEM_30875056]
In this business, we must be ROCKS not swayed by anything.
. . .but I am disheveled that you failed to include my name.
Regards Always,
Gilbert
Matthew said: "It’s easy to denigrate C2"
Just for the record, that was never my intent. If C2 had no systems comparable to the “best of the best,” that might call C2 into question. But that’s not the case.
In other trader forums I particpate in, I routinely try to recruit folks for C2 (both subscribers and developers). My latest recruit joined about 2 weeks ago and is now offering his system here.
Kevin
Kevin,
Take it easy. Few times Matthew declared that he is trading C2’s systems with C2’s autotrading. As trader you have to understand that there are some bad days when you think that “sky is falling” and you start acting well… not as usual
Eu
P.S. Of course my explanation is far away from cool corp. culture of Customer satisfaction, but at least it’s understandable and well… just understandable.
Kevin,
It seems a lot more legit when you said it was an average of the top 10. I thought when you said it at first that it was the average of all the systems. I would have little doubt that out of 600+ systems the top 10 would average 100%. Its a hell of a return if your money was with them. I’d be curious if any of those 10 were in the top 50 last year, or next year.
Craig
Sorry, Kevin, my words were sloppy. I didn’t mean to say that you personally were mean-spirited or were denigrating C2. My argument was only that there’s a survivorship bias in most financial databases (whether of mutual funds, hedge funds, CTAs, etc). But in hindsight, my argument is actually beside the point. Your post was about the top systems in the Barclays CTA database, and about the longevity of these systems versus the performance and longevity of C2’s top systems. So it’s more or less an apples-to-apples comparison. Good post.
