Sun, Jan 21, 2018
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. Legal - Former Och Ziff hedge fund executive indicted for fraud in Africa investment scheme, prosecutor says, Hedge fund blasts defense of Puerto Rico restructuring law[more]

    Former Och Ziff hedge fund executive indicted for fraud in Africa investment scheme, prosecutor says From CNBC.com: A former hedge fund executive faces federal charges for defrauding a UK-based charity over investments in Africa, according to a grand jury indictment made public Wednesday.

  2. U.S. economy, inflation and alternative investments to dominate 2018 markets, says family office Wilmington Trust[more]

    Komfie Manalo, Opalesque Asia: The emergence of a late-cycle economy in the U.S., the mystery of inflation and growth from a domestic and global perspective, and the potential for alternative investments to prosper against a backdrop of rich valuations, low yields, and higher volatility are the t

  3. Performance - Some hedge funds deliver double-digit gains for 2017, Brevan Howard's hedge fund suffers biggest annual loss in 2017, Crispin Odey's flagship hedge fund plummeted about 20% in 2017, Profits fall 90% at ex-Morgan Stanley banker's hedge fund, Fannie-Freddie overhaul might mint hedge fund riches, losses[more]

    Some hedge funds deliver double-digit gains for 2017 From Reuters/Investing.com: A handful of hedge funds ended 2017 with double digit returns, their investors said, at a time the $3 trillion industry took in fresh money and posted its best returns in years, industry data show. Act

  4. Investing - Hedge funds start 2018 with record $19 billion bet on the euro, Hedge fund Kora Management invests in Satin Creditcare[more]

    Hedge funds start 2018 with record $19 billion bet on the euro From Reuters.com: Hedge funds have kicked off 2018 with their biggest bet ever on the euro rising, a clear vote of confidence in the single currency but, with positioning so stretched, one which could backfire in the near ter

  5. News Briefs - Mobius to retire from Franklin Templeton, Authorities decrypt smart phone of Princeton grad charged with killing Manhattan hedge fund dad, Investigators seize (more) antiques from hedge-fund billionaire Michael Steinhardt's collection[more]

    Mobius to retire from Franklin Templeton Emerging markets pioneer Mark Mobius will be stepping down as executive chairman of the Templeton Emerging Markets Group (TEMG) and formally retire from Franklin Templeton on 31 January. He will also be relinquishing his post as portfolio manager