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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

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.
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.
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.
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