Opalesque Futures Intelligence

Top Ten Best CTAs from a ranking based on 25 statistics.

Friday, March 19, 2010

Fund performance rankings are typically based on one measure-often year-to-date or annualized return. Walter Gallwas - a contributor to OFI from its launch - and his colleagues at Attain Capital instead use 25 statistics, including not only the common Sharpe and Sortino ratios but also the Sterling ratio (returns divided by risk as measured by drawdown).

Attain's rankings are designed to identify programs that are consistently among the top rated across all different measures important for this type of investment.

The overall ranking is a combination of the 25 categories. The top ten we feature below are from the overall ranking as of the end of 2009. While we've given the compound rate of return since inception, length of track record and maximum drawdown for the programs, these are only three of the 25 measures used to compute the ranking.

More information is available at http://www.attaincapital.com

Program	Compound RoR	Max. Drawdown	Since
Paskewitz Asset Mgt. Contrarian 3X St. Index	23.01%	11.30%	12/2003
Mesirow Financial Commodities Absolute Return Strategy	16.21%	1.56%	6/2005
Covenant Capital Mgt. Aggressive	28.18%	20.41%	1/2004
NDX Capital Management Shadrach Program	27.20%	13.67%	1/2004
Strategic Ag Trading Grains	16.31%	20.27%	4/2002
Mesirow Financial Commodities Low Vol Absolute Return Strategy	5.19%	0.52%	6/2005
Emil Van Essen Spread Trading Low Minimum	41.48%	35.90%	1/2007
Futures Truth Company MS4	25.55%	7.31%	10/2007
Covenant Capital Mgt. Original	14.51%	28.61%	9/1999
TYL Trading LLC TYL Blend Diversified Program	12.14%	8.04%	8/2005