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Opalesque Futures Intelligence

Top Ten: CTAs with the smallest drawdowns.

Tuesday, May 19, 2009


We feature top managers from a different database every issue.

We decided to do something different for this issue’s Top Ten. Instead of the programs with the highest returns, picked the programs with smallest drawdowns.

These commodity trading advisors have track records of more than two years. The average rate of return refers to the track record.

Ranking Based on Drawdown,from database and CTA Index.

CTA and programDrawdownAverage RoR
QuantMetrics Capital Management LLP QM Multi Strategy Fund (EUR)0.1133.34%
Conservative Concept Portfolio Management AG CC Athena OS Fund LTD (USD Instit.class) 0.5612.90%
QuantMetrics Capital Management LLP QM Premier Strategy1.0610.29%
Da Vinci Invest Ltd. Da Vinci Arbitrage Fund1.2746.38%
DynexCorp Ltd. Dynamic Currency Alpha1.825.46%
Geo Economic Management System Ltd. Low-Leveraged FX Model 1.879.93%
Hyman Beck & Company Volatility Analytics Portfolio *QEP only*1.908.54%
John Locke Investments S.A. Cyril High Frequency Program2.845.49%
Quantam S.A. Global Statistical Arbitrage 1x2.845.00%
Quaesta Capital AG Quaesta Capital FX-MMP2.943.05%

This article was published in Opalesque Futures Intelligence.
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