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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.
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