Systematic Futures Performance: Benchmarking, Markets, and Slippage
Summary
This annual review evaluates a systematic futures portfolio over the UK tax year ending in April 2025. It separates pure futures results from cash-like ETFs and foreign-exchange effects, compares the portfolio with the SG CTA index and an AHL fund, and also reports volatility-adjusted annual returns and geometric growth. The author notes that the portfolio lost less than the adjusted benchmarks during the year, though the result was its worst futures year on record. Performance varied across markets, with gains and losses spread across several contracts; dynamic optimisation could make individual market contributions hard to interpret.
The review also compares rule-group backtests before dynamic optimisation and describes execution costs: estimated market-order slippage versus the savings attributed to a simple execution algorithm. The comparisons have limits: the benchmark figures include fees, the author's figures do not, and the review does not provide a complete benchmark analysis. The report is a single portfolio's historical account, not evidence that its results will generalise or persist.
Key ideas
- The review separates futures performance from cash-like ETF and foreign-exchange effects.
- It compares returns with CTA and AHL benchmarks, including a volatility-adjusted view.
- Market-level results were mixed, and dynamic optimisation can complicate attribution.
- A simple execution algorithm reduced the reported slippage cost relative to market orders.
- Benchmark comparisons are affected by differences in fee treatment and volatility adjustment.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.