Wed, Jun 29, 2016
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. Blackstone buys minority stake in New York-based credit hedge fund Marathon[more]

    Benedicte Gravrand, Opalesque Geneva: Blackstone Strategic Capital Holdings Fund, a vehicle managed by Blackstone Alternative Asset Management (BAAM), has acquired a passive, minority interest in Marathon Asset Management, for an undisclosed sum. Based in New York,

  2. Investing - Soros, Druckenmiller among hedgies profiting in market plunge, Hedge funds were most bullish on bonds since 2004 before Brexit, Surprise Brexit vote unleashes scramble for dollars, High-yield hit on Brexit but no panic selling, Scientist turned hedge fund founder lured to pound, euro, Hedge fund avoids commodities, posts big gains[more]

    Soros, Druckenmiller among hedgies profiting in market plunge From HITC.com: Bullish positions in gold and volatility and well-timed short bets on China and emerging markets, among other areas, were some of the trades that benefited hedge funds on Friday as markets digested Britons' s

  3. Manager Profile - A 26-year old hedge fund manager called Brexit — here's what he thinks about the historic vote[more]

    From Businessinsider.com: Taylor Mann is not your typical fund manager. The twenty-six year old Texas A&M graduate manages Pine Capital in Larue, Texas (population 160), where he resides with his three-year old daughter. Also atypical compared with many of the largest funds out there, Mann makes

  4. Visium hedge fund manager Sanjay Valvani found dead[more]

    Benedicte Gravrand, Opalesque London: A hedge fund manager connected with an insider trading case has apparently committed suicide. Sanjay Valvani, 44, a hedge fund manager at New York-based Visium Asset Management, was found dead in an apparent suicide on 21 June in his Brooklyn residence,

  5. People - Mariner Investment’s co-CIO Williams to leave $5.5bn firm, IOOF hires new alternatives portfolio manager[more]

    Mariner Investment’s co-CIO Williams to leave $5.5bn firm From Bloomberg.com: Basil Williams, co-chief investment officer of Mariner Investment Group, is leaving the $5.5 billion hedge-fund firm after negotiations to renew his contract failed. Williams will stay in his role until t