Mon, Jun 27, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Opalesque Futures Intelligence

Top Ten: Best performing Newedge index constituents, ranked by Sortino ratio

Thursday, June 24, 2010

Ranking by Sortino Ratio

 

In accounting for volatility, the widely used Sharpe ratio makes no distinction between monthly losses and gains. But what investors typically worry about are drawdowns, not big upward spikes. The Sortino ratio may be a more useful measure of performance-it factors in downside volatility only, not upside volatility.

 

The following CTA programs are Newedge index constituents. They have been ranked by Sortino ratio for the 36 months through March 2010.

 

 

                                                            Sortino Ratio             36-Month Total Return                                                       

Winton Capital (Diversified)                          3.03                             51.66%

 

Transtrend (Enhanced - USD)                        2.84                             56.63%

 

Graham Cap. Mgmt. (K4D-15)                      2.57                             79.29%

 

Skandinaviska Enskilda

(SEB Asset Sel)                                              2.09                             34.45%

 

Brummer & Partners                                       1.95                             58.51%

 

Kaiser Trading Group Pty                               1.75                             16.82%

 

Altis Partners (GFP Composite)                     1.74                             84.27%

 

QIM (Global)                                                  1.72                             38.41%

 

C-View Limited (3X)                                     1.64                             7.30%

 

Crabel Capital (Multi-Product)                       1.62                             24.91%



 
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. Opalesque Roundup: Hedge funds shrink as liquidations outpace new launches in Q1: hedge fund news, week 27[more]

    In the week ending 17 May, 2016, HFR said hedge fund liquidations declined narrowly to begin 2016 after rising sharply to conclude 2015, as investors positioned f

  2. Europe - Hedge funds keep powder dry over big Brexit bets, Hedge funds sense profit in Europe shock waves after Brexit vote, Soros warns Brexit may cause pound plunge worse than Black Wednesday, After Brexit: What will happen if Britain votes to leave the UK?[more]

    Hedge funds keep powder dry over big Brexit bets From FT.com: Hedge funds are shying away from big bets on Brexit, with many unwilling to risk further losses having already suffered a painful first half of the year. With the outcome of a UK vote on the country’s membership of the Europea

  3. News Briefs - ’Flash Boys’ get green light to launch stock exchange, Pimco says ‘storm is brewing’ in U.S. commercial real estate, Bankers get ready to rumble at Hedge Fund Fight Night, AIMA Australia celebrates 15th anniversary[more]

    ’Flash Boys’ get green light to launch stock exchange In an investing environment ruled by fast, the newest U.S. public stock exchange is banking on slow. Well, slower. IEX Group, which won Securities and Exchange Commission approval on Friday to go head-to-head with the New York Stock E

  4. 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,

  5. 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