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Opalesque Futures Intelligence

Top Ten: Up-and-coming managers with the best three-year risk-adjusted returns, from Altegris.

Thursday, February 24, 2011

Highest Sharpe Ratios

This issue's ranking of volatility-adjusted returns - as measured by Sharpe ratios - is from the Altegris database. The list is so interesting that we thought you might want to see it in full-which is why we're showing 20 programs instead of the usual 10.

The Altegris 40 Index is a key benchmark for managed futures. The index component CTAs tend to have substantial assets under management.

But we wanted to get a lineup of up-and-coming commodity trading advisors, so we sought a ranking of programs that are specifically not in the Altegris 40 Index. These programs did not meet the assets-under-management criterion of the index as of December 2010.

However, they all had a minimum three year track record at that time. Of course, some have much longer track records. They are ranked by the Sharpe Ratio calculated from their returns during the past three years.

Matt Osborne from Altegris pointed out that CTA performance varied a lot in these three years. He noted: "This period covers the great performance of managed futures in 2008, the difficult year in 2009 and the streaky year of 2010. Thus, it is an interesting cycle in which to look at managers.

We have in the past featured some of these managers in Opalesque Futures Intelligence-Alexei Chekhlov and Peter Kambolin of Systematic Alpha in the January 7, 2010, issue; Francisco Vaca of Vaca Capital in the June 23, 2010, issue; and Michael Clarke of Clarke Capital in the January 4, 2011, issue.

For an interview with Mr. Osborne, see Founders in this issue.

Ranking by Three-Year Sharpe Ratios, from Altegris

 

Manager

Program

Sharpe Ratio

Annualized Rate of Return

1  Atlantic Capital  Advisors  

Montauk Commodities

1.78

9.6%

2  Emil van Essen

Spread Trading                     (large minimum)

1.69

39%

3  Bluewater Trading

BWT Short Term

1.62

20.8%

4  SEMA4 Group

S&P 400 Midcap Daytrading

1.58

20.5%

5  Hamer Trading

Diversified Systematic

1.55

30.6%

6  Tactical Investment Mgt.

Institutional Commodity

1.42

44.4%

7  Systematic Alpha Mgt.

Systematic Alpha Fut. 2X

1.33

18.1%

8  Lane Capital.

Diversified

1.26

19.8%

9  Blackwater Capital Mgt

Blackwater Global

1.23

25%

10  Covenant Capital Mgt.

Original

1.19

19.4%

11  Covenant Capital Mgt

CCM Aggressive

1.18

26.3%

12  Hawksbill Capital Mgt.

Global Diversified

1.16

37.9%

13  GIC           

Global Diversified

1.16

29.5%

14  Four Seasons Comm. Corp.

Hawkeye Spread

1.14

10.5%

15  RAM Mgt. Group.

MRTP  1X Conservative

1.08

14.4%

16  Revolution Capital Mgt.

Alpha

1.08

13.7%

17  Parizek Capital Inc.

Parizek Capital  Futures           

1.07

36.5%

18  Clarke Capital Mgt.`

Worldwide

1.06

27.1%

19  Pacific Capital Advisors

Vanguard Trading

1.04

9.4%

20  Vaca Capital Mgt.

Global Diversified

1.00

19.4%



 
This article was published in Opalesque Futures Intelligence.
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