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%
(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%