Key Takeaways
- • Severe Performance Disparity in Managed Futures: As of September 2007, two of the industry's oldest and most prominent managers—Dunn and Henry—are experiencing significant losses, with Dunn suffering a 40%+ drawdown over the past two months and down four of the past five years, while Henry has recorded no positive years in some programs since 2002.
- • Widespread Drawdowns Across Major Funds: Campbell Capital faces its largest drawdown in 13 years (~17%), Chesapeake is down over 20%, Superfund down over 25%, and Mulvaney down 35%, indicating systemic stress across established managed futures platforms.
- • Assets Under Management Collapse: Dunn's AUM has shrunk to near zero, suggesting investor redemptions and loss of confidence in legacy managed futures strategies during this period.
- • Outperformance by Newer and Quantitative Managers: Rydex Managed Futures (RYMFX) launched six months prior and is up slightly, Quantitative Investment Management (QIM) is up 17% with no down years since inception, and Eckhardt is up approximately 6% without a down year since 1999, indicating structural advantages held by quantitative and newer entrants.
- • Industry Transition Signaling Change: Rentech's announced entry into managed futures represents potential market reshuffling as newer, technologically-driven platforms challenge traditional trend-following managers struggling with 2007 market conditions.
Summary
The managed futures industry is experiencing a bifurcated performance landscape in 2007, with established trend-following managers facing unprecedented losses while newer quantitative-driven platforms demonstrate resilience. Two of the sector's most storied firms—Dunn Capital Management and Henry—are hemorrhaging investor capital at an accelerating rate, with Dunn experiencing a catastrophic 40%+ drawdown over the past two months alone. Dunn's performance has deteriorated over multiple years, recording losses in four of the past five years, and the firm's assets under management have contracted to near-zero levels, reflecting significant investor redemptions.
The distress is not isolated to these legacy managers. Campbell Capital is navigating its worst drawdown in 13 years, though limited to approximately 17%, while other major platforms are sustaining even steeper losses: Chesapeake down over 20%, Superfund down over 25%, and Mulvaney experiencing a 35% decline. Most notably, Henry has failed to post a positive year in certain program structures since 2002—a five-year drought that underscores the challenge facing traditional trend-following strategies in the current market environment.
In stark contrast, newer entrants and quantitatively-oriented managers are delivering positive returns. Rydex Managed Futures (RYMFX), which launched approximately six months prior, is posting modest gains, while Quantitative Investment Management—founded by Virginia alumni—is up 17% since inception with no down years recorded. Eckhardt has achieved a 6% gain and has not experienced a down year since 1999, suggesting that systematic, algorithm-driven approaches are outperforming discretionary or traditional trend-following methodologies during this volatile period.
The timing is noteworthy: Rentech's announcement of a major expansion into managed futures comes precisely as the sector's old guard faces existential challenges. This confluence suggests an industry inflection point where established managers built on traditional trend-following models are losing share to technologically sophisticated newcomers, raising questions about whether the historical managed futures paradigm is becoming obsolete.
The distress is not isolated to these legacy managers. Campbell Capital is navigating its worst drawdown in 13 years, though limited to approximately 17%, while other major platforms are sustaining even steeper losses: Chesapeake down over 20%, Superfund down over 25%, and Mulvaney experiencing a 35% decline. Most notably, Henry has failed to post a positive year in certain program structures since 2002—a five-year drought that underscores the challenge facing traditional trend-following strategies in the current market environment.
In stark contrast, newer entrants and quantitatively-oriented managers are delivering positive returns. Rydex Managed Futures (RYMFX), which launched approximately six months prior, is posting modest gains, while Quantitative Investment Management—founded by Virginia alumni—is up 17% since inception with no down years recorded. Eckhardt has achieved a 6% gain and has not experienced a down year since 1999, suggesting that systematic, algorithm-driven approaches are outperforming discretionary or traditional trend-following methodologies during this volatile period.
The timing is noteworthy: Rentech's announcement of a major expansion into managed futures comes precisely as the sector's old guard faces existential challenges. This confluence suggests an industry inflection point where established managers built on traditional trend-following models are losing share to technologically sophisticated newcomers, raising questions about whether the historical managed futures paradigm is becoming obsolete.
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