Sun, Apr 26, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Opalesque Futures Intelligence

Top Ten Best CTAs from a ranking based on 25 statistics.

Friday, March 19, 2010

Fund performance rankings are typically based on one measure-often year-to-date or annualized return. Walter Gallwas - a contributor to OFI from its launch - and his colleagues at Attain Capital instead use 25 statistics, including not only the common Sharpe and Sortino ratios but also the Sterling ratio (returns divided by risk as measured by drawdown).

Attain's rankings are designed to identify programs that are consistently among the top rated across all different measures important for this type of investment.

The overall ranking is a combination of the 25 categories. The top ten we feature below are from the overall ranking as of the end of 2009. While we've given the compound rate of return since inception, length of track record and maximum drawdown for the programs, these are only three of the 25 measures used to compute the ranking.

More information is available at http://www.attaincapital.com

Program Compound RoR Max. Drawdown Since
Paskewitz Asset Mgt.
Contrarian 3X St. Index
23.01% 11.30% 12/2003
Mesirow Financial Commodities
Absolute Return Strategy
16.21% 1.56% 6/2005
Covenant Capital Mgt.
Aggressive
28.18% 20.41% 1/2004
NDX Capital Management
Shadrach Program
27.20% 13.67% 1/2004
Strategic Ag Trading Grains 16.31% 20.27% 4/2002
Mesirow Financial Commodities
Low Vol Absolute Return Strategy
5.19% 0.52% 6/2005
Emil Van Essen Spread Trading
Low Minimum
41.48% 35.90% 1/2007
Futures Truth Company MS4 25.55% 7.31% 10/2007
Covenant Capital Mgt.
Original
14.51% 28.61% 9/1999
TYL Trading LLC
TYL Blend Diversified Program
12.14% 8.04% 8/2005



 
This article was published in Opalesque Futures Intelligence.
Opalesque Futures Intelligence
Opalesque Futures Intelligence
Opalesque Futures Intelligence
Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing


  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. U.S. does not want hedge funds to invest in offshore re-insurers for tax purposes[more]

    Komfie Manalo, Opalesque Asia: The U.S. Treasury Department on Thursday introduced a new rule aimed at limiting hedge funds’ ability to reduce their tax bills by investing in insurance companies in offshore tax havens. As a general rule, the U.S. tax laws does not allow hedge funds to use off

  2. Ruling: Hedge funds suing Argentina can have access to bond offering details[more]

    Komfie Manalo, Opalesque Asia: U.S. District Judge Thomas Griesa in Manhattan ruled yesterday that hedge funds are entitled to details of a recent bond offering by Buenos Aires, reports

  3. Fund managers express concern of overvaluation in both equity and bond markets[more]

    Komfie Manalo, Opalesque Asia: According to the BofA Merrill Lynch Fund Manager Survey, investors see growing overvaluations in both

  4. Update: Wall Street has strong feelings about Jon Corzine trying to make a comeback[more]

    From Businessinsider.com.au: Former New Jersey Governor Jon Corzine is thinking about starting his own hedge fund, according to the Wall Street Journal, and because of the way his last firm imploded, Wall Street has strong feelings about that. “Truth is the larger seeders would never give him money

  5. Opalesque Exclusive: Cybersecurity and hedge funds - A manager’s experience, Part Four[more]

    Benedicte Gravrand, Opalesque Geneva: Ruane, Cunniff and Goldfarb, Inc. used to have their own IT infrastructure. Todd Ruoff, Executive Vice President in charge of trading, operations and technology, was responsible for its maintenance. Then he started looking at outsourced providers a couple of

banner