It’s Monday at the Attain Capital office, which usually means we’re hard at work crafting our newsletter for the week. This week, however, is particularly busy, because we’re putting together the Attain Capital Semi-Annual CTA Rankings.
The goal of the Attain Capital Semi-Annual CTA Rankings is to provide a more sophisticated picture than the simple ‘Best by YTD performance’ most rankings show, by including risk adjusted ratios and factors such as assets under management and length of track record.
The goal is to show which CTAs are ‘best’ across all of the factors important to this type of investment – including all of the risk factors – not just return based rankings. With some improvements to our backend database, we have been able to amend our formula slightly since the rankings released six months ago, and will include several new factors in the rankings including a ranking on the highest lowest 1 and 3 year return for all the programs in our database.
Highest lowest… What? In looking at this factor, we’re not just interested in how well a CTA has done when it is doing well, but are also interested in the perhaps even more telling statistic of how well each CTA has performed during bad market environments for the program. In this light, one of the factors used in our ranking formula measures programs against one another on how well they have done during their worst one and three year (rolling) periods.
For example, in the chart below showing two fictitious CTA programs, the green line program would rank higher on highest lowest 3yr return, with its worst three year return being -9%, versus the blue line program having a worst three year return of -26%. So, in this case, despite the blue line program having much higher highs on a rolling three year basis, its lower lows causes it to score lower than the green line program on this ‘highest lowest’ factor.
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The performance data displayed herein is compiled from various sources, including BarclayHedge, RCM's own estimates of performance based on account managed by advisors on its books, and reports directly from the advisors. These performance figures should not be relied on independent of the individual advisor's disclosure document, which has important information regarding the method of calculation used, whether or not the performance includes proprietary results, and other important footnotes on the advisor's track record.
Benchmark index performance is for the constituents of that index only, and does not represent the entire universe of possible investments within that asset class. And further, that there can be limitations and biases to indices such as survivorship, self reporting, and instant history.
Managed futures accounts can subject to substantial charges for management and advisory fees. The numbers within this website include all such fees, but it may be necessary for those accounts that are subject to these charges to make substantial trading profits in the future to avoid depletion or exhaustion of their assets.
Investors interested in investing with a managed futures program (excepting those programs which are offered exclusively to qualified eligible persons as that term is defined by CFTC regulation 4.7) will be required to receive and sign off on a disclosure document in compliance with certain CFT rules The disclosure documents contains a complete description of the principal risk factors and each fee to be charged to your account by the CTA, as well as the composite performance of accounts under the CTA's management over at least the most recent five years. Investor interested in investing in any of the programs on this website are urged to carefully read these disclosure documents, including, but not limited to the performance information, before investing in any such programs.
Those investors who are qualified eligible persons as that term is defined by CFTC regulation 4.7 and interested in investing in a program exempt from having to provide a disclosure document and considered by the regulations to be sophisticated enough to understand the risks and be able to interpret the accuracy and completeness of any performance information on their own.
RCM receives a portion of the commodity brokerage commissions you pay in connection with your futures trading and/or a portion of the interest income (if any) earned on an account's assets. The listed manager may also pay RCM a portion of the fees they receive from accounts introduced to them by RCM.