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