Managed Futures Madness: Round 3

Two more rounds of college basketball have come and gone, which means it’s time to narrow our field of CTAs. So far, the metrics selected from our CTA ranking algorithm have focused on returns: In the first round of our Managed Futures Madness, the managers with the higher total rate of return advanced; in the second round, it was the managers with the best worst 3-year return.

But our rankings are about much more than returns – we place a heavy emphasis on risk management, as well. Because in the end, it’s all well and good for a program to post impressive returns, but if the program is taking on huge risk to achieve those returns, investors may end up watching in dismay as gains turn into losses when the going gets tough.

One of those risk management metrics was selected to determine which CTAs would advance past the 3rd round to our Elite 8: Sterling Ratio. What is the Sterling Ratio? This is how we explained it in the past when defining the metrics you’ll find on our rankings page:

Developed by Deane Sterling Jones, the Sterling Ratio is a risk adjusted return ratio which helps investors measure returns per unit of risk, and therefore compare managers with differing risk and reward profiles on that basis. The Sterling ratio measures return per unit of risk, with risk defined as the average annual drawdown. Theoretically, a higher Sterling ratio is better because it means that the investment is receiving a higher return relative to risk. The formula is: Sterling = (Compound ROR) / (Average Annual Drawdown – 10%).

This round didn’t produce quite as many bracket-busters as the previous one. The two remaining #1 seeds – Aspect Capital and Man AHL – both made it to the next round. But the two Cinderella stories of our tournament persisted: #10 seed White River won over #2 seed Mesirow and #11 seed Junzi Capital prevailed over #5 seed Briarwood.

 

One comment

  1. Hey Attain

    I do not see the standings and rankings updated….. just FYI!

    Have a great weekend.

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Disclaimer
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.

See the full terms of use and risk disclaimer here.

Disclaimer
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.

See the full terms of use and risk disclaimer here.