March 25, 2013
Attain Capital
Like
The performance metric picked to advance from 32 CTAs to our “sweet sixteen” is Best Lowest 3-Year Return.
“Best Lowest?” What on Earth does that mean? As confusing as it may be to read, it’s actually quite straightforward: we comb through each manager’s track record to find their worst 3-year stretch, and the program with the best (or if you like, “least bad”) figure advances to the next round.
We incorporated programs’ “best worst” returns into our ranking algorithm because we have been there living through tough drawdown phases, and all things being equal – we would prefer a program whose worst is better than the next guy’s worst period. 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. Everyone looks great during the good times, but it is a rare few who control losses and look great during the bad times.
Now, this metric can reward newer programs somewhat, as a program with twenty separate 3-year periods is more likely to have had a bad one that someone with just two 3-year periods. But, considering how tough 3 out of the last 4 years have been for the universe of managed futures, it’s not necessarily a guaranteed win for the younger programs. Instead, this round is about risk control: penalizing the programs that have had larger than normal bad periods (even if they recovered from them), while rewarding those programs which have managed to limit losses (or even have gains) during their worst stretches.
The range of returns here wasn’t quite as wide as it was when we looked at total return in the previous round. The best lowest 3-year return was 102% (Global Ag), while the worst was -26% (Clarke Capital Management) [Disclaimer: Past performance is not necessarily indicative of future results]. Of the 32 programs in this round, 14 of them had “lowest 3-year” returns higher than zero. That’s right, almost half of them have never experienced a 3-year stretch in which they lost money (no wonder they are among the largest and highest ranked managed futures programs out there).
But many of the high seeds in our contest were unable to avoid upsets in this round: two of the #1 seeds were knocked out, along with all four of our tournament’s #2 seeds. The overall #1 seed Winton fell to #9 seed Four Seasons in a narrow upset, sporting 13.1% for their lowest 3-year return, versus an 11.8% figure for Winton. Meanwhile, #8 seed Global Sigma’s lowest 3-year return of 67.0% led to a comfortable victory over Transtrend’s -6.8%.
Of course, Transtrend fans would likely call foul due to the winner in its “game” only having 5 rolling 3 year periods versus 180 such periods in Transtrend’s track record. But unlike basketball and a fixed set of rules there (although even there the interpretation of the rules by the referees can cause angst), the rules of investors in picking managers to invest in aren’t nearly as fixed. One investor may (we would say correctly) discount a program’s near perfect rolling three year returns with the fact that it has only been around for a little over three years, another may discount an established programs 15 years of history and say “what have you done for me lately” when looking at just the past three years.
The moral of the story – use more than just the best worst three year return.
For those that entered our contest, click here to see the results and current standings.
Disclaimer
The performance data displayed herein is compiled from various sources, including BarclayHedge, 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.
The programs listed here are a sub-set of the full list of programs able to be accessed by subscribing to the database and reflect programs we currently work with and/or are more familiar with.
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. Individuals cannot invest in the index itself, and actual rates of return may be significantly different and more volatile than those of the index.
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.
Limitations on RCM Quintile + Star Rankings
The Quintile Rankings and RCM Star Rankings shown here are provided for informational purposes only. RCM does not guarantee the accuracy, timeliness or completeness of this information. The ranking methodology is proprietary and the results have not been audited or verified by an independent third party. Some CTAs may employ trading programs or strategies that are riskier than others. CTAs may manage customer accounts differently than their model results shown or make different trades in actual customer accounts versus their own accounts. Different CTAs are subject to different market conditions and risks that can significantly impact actual results. RCM and its affiliates receive compensation from some of the rated CTAs. Investors should perform their own due diligence before investing with any CTA. This ranking information should not be the sole basis for any investment decision.
See the full terms of use and risk disclaimer here.
Disclaimer
The performance data displayed herein is compiled from various sources, including BarclayHedge, 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.
The programs listed here are a sub-set of the full list of programs able to be accessed by subscribing to the database and reflect programs we currently work with and/or are more familiar with.
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. Individuals cannot invest in the index itself, and actual rates of return may be significantly different and more volatile than those of the index.
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.
Limitations on RCM Quintile + Star Rankings
The Quintile Rankings and RCM Star Rankings shown here are provided for informational purposes only. RCM does not guarantee the accuracy, timeliness or completeness of this information. The ranking methodology is proprietary and the results have not been audited or verified by an independent third party. Some CTAs may employ trading programs or strategies that are riskier than others. CTAs may manage customer accounts differently than their model results shown or make different trades in actual customer accounts versus their own accounts. Different CTAs are subject to different market conditions and risks that can significantly impact actual results. RCM and its affiliates receive compensation from some of the rated CTAs. Investors should perform their own due diligence before investing with any CTA. This ranking information should not be the sole basis for any investment decision.
See the full terms of use and risk disclaimer here.