Thu, Feb 23, 2017
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. People - Kuwait wealth fund head Al Saad said to step down after 14 years[more]

    From Bloomberg.com: Kuwait Investment Authority is set to name Farouk Bastaki as managing director, replacing Bader Al Saad who ran the world's fifth-largest sovereign wealth fund for 14 years, a person familiar with the matter said. The KIA, as the fund is known, is finalizing the appointment, said

  2. Manager Profile - Eddie Lampert: a painful entanglement with Sears[more]

    From Moneyweek.com: "In the long run we are all dead." Lex in the Financial Times reached for the famous quote from John Maynard Keynes in January when, after a long and unforgiving decline, the clock finally appeared to be running out on Sears, the iconic US department store group. Yet the group's

  3. Investing - Hedge funds quit Aberdeen shorts as shares begin to recover, Hedge funds' next big short: U.S. malls, O'Connor fund owns 9.5% of Protalix Biotherapeutics, U.S. hedge fund takes position in Macau hotel The 13[more]

    Hedge funds quit Aberdeen shorts as shares begin to recover From Investmentweek.co.uk: The last two hedge funds to short Aberdeen Asset Management have removed their positions, as the fund group's shares begin to show signs of recovery after a difficult few years. According to the Financ

  4. Latin America, high yields and Asia Pacific strategies dominate hedge fund returns in January[more]

    Komfie Manalo, Opalesque Asia: Latin America (+7.04%), high yield (5.63%), and Asia-Pacific (+5.06%) strategies dominated hedge fund performance in January, data provider Hennesee Fund Research said. The bottom three strategies for the mont

  5. Investing - Hedge funds loading up on this dividend stock, The biggest hedge funds have been piling into bank stocks[more]

    Hedge funds loading up on this dividend stock From Incomeinvestors.com: Hedge funds are backing up the truck on Cameco Corp stock. Billionaire Jim Simons owns 389,000 shares. Other Wall Street titans - including Ray Dalio, Ken Griffin, and Chuck Royce - have been quietly building positio