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Call us at 800.311.1145 to speak with one of our alternative investment specialists. We answer the phone in One Ring. Try It.Sign up to view performance on 100s of Managed Futures Programs, Trading Systems, and Managed Forex Programs. Sign up FREEWhat are Managed Futures? Is this the same as CTAs? How do I invest? Click here  to learn all of this and more on our extensive managed futures education pageHow to set watchlists? Build portfolios? Find correlations? and more. Click here to take a tour of our advanced toolsUse our most popular tool to create custom multi-program portfolios. Click here to get started today by signing up for FREE ACCESSClick below to learn how attain can assist your CTA in everything from back office creation and trade execution to finding a lawyer to create your D-DocNo upfront fees for managed futures funds is one of the unique benefits of a managed futures account at AttainOur alternative investment books list includes some of the most thought provoking and interesting books on alternative investmentsLearn how family offices outsource the managed futures research, due diligence, data collection, and ongoing monitoring of accounts to AttainWhat is a trading system? Who develops them, and how are they executed for client accounts? Our trading system education explains this and moreWe assist talented traders in getting their trading ideas into an automated trading system, do testing, marketing, and more

Attain Capital's Semi-Annual CTA Rankings

January 29, 2013

 

It’s that time of year again, when we have the data for all of the CTAs we track through 2012, allowing us to try and answer the question we get on a daily basis: What’s your BEST managed futures program?  That question is always a tricky one, as depending on who is asking it, they may want to know any one of several variations on who is best. Best last year? Best for all time? Best risk adjusted return? Best in terms of lowest drawdowns?

What do we base these rankings on? We've dedicated extensive resources over the years to analyzing and testing a rankings system that would best reflect what we believe to be the important metrics for measuring competency in this investment space.

This is trickier than it looks, to be sure. Put too much emphasis on returns, and you penalize those who control risk well. Too much emphasis on experience, and you penalize a potential new star who has performed well in their first 5 years. Too much reliance on the present, and you discount the past, but with too much on the past and you discount the present.

That being said, we believe the formula we've crafted is one of the most comprehensive in the industry. Why?

To begin with, we were picky. To even be considered, the program had to have a track record of at least 36 months, be a registered CTA with the NFA, offer managed accounts, and be a viable business concern.  We then measured the program across eleven different metrics related to return, risk, correlation levels, ease of access (minimum account size) and length of track record. Within these categories, risk was given more emphasis, which stood in contrast to our previous rankings, where calculations over 25 metrics wound up tilting statistics to those with a higher ROR, possibly biasing things towards those programs with higher all-time compound rates of return.  

We also time-weighted the statistics, evaluating each metric across 1, 3, 5, and 10 year time periods in addition to the full length of the program's performance. This focus on performance and risk control across time frames insures that great returns far back in a program’s track record don’t skew their ranking, and, likewise, that newer programs who haven’t "lived through the tough times" don’t dominate the rankings (as they earn scores of 0 for any period they weren’t active – i.e. the 10yr period for a program with just 6 years of track record).

Finally, the data we used was scrubbed for both investability and reality. What do we mean? We started with the entirety of the BarclayHedge CTA database, which is 2000+ strong. We then started paring it down, eliminating programs that were not registered as CTAs, those that were actually fund products, hedge funds mistakenly categorized as CTAs, programs that included proprietary data in with actual performance and other such anomalies. Once we had vetted the programs to meet technical standards, we went through and pruned the list further, weeding out programs with well-known structural or managerial weaknesses that would cause us to recommend against allocating with them. The end result? Around 300 CTAs remained for evaluation. 

Now, it’s important to remember that these rankings are backwards looking, being generated off the monthly returns and other profile information of hundreds of CTA programs, and, as such, are not meant to necessarily predict who will be winning tomorrow. As the old saying goes - past performance (and risk, and correlation, and all the rest) is not necessarily indicative of future results.

In the past, we've tried to break down the best performing programs according to specific metrics, but as we continued our research and due diligence efforts, we began to question the value in ranking according to individual metrics. After all, we would never advise a client to look at just the Sharpe Ratio of a program, or just the year to date performance. It is only through examining a cross-section of these metrics that you can really begin to understand the overall performance of a program and how it might fit into your portfolio. Instead of looking at metrics individually, we decided it was more prudent to examine how programs ranked by performance, risk management as a whole, and risk-adjusted performance.

Further, we found that the metric-by-metric approach to examining managed futures programs ignores several other factors that may not have a direct or measurable impact on performance, but often influences the decision making process for an investor. Facets such as assets under management and minimum investment requirements, for instance, can significantly impact allocation decisions, but may not influence a program's standings as far as risk management is concerned.

Of course, the most highly anticipated part of our rankings is always the breakdown of the top 15 managed futures programs overall- those that rank highest amongst their peers across a broad range of performance and program characteristic measurements. In the past, we'd limited our examination and rankings to programs we knew and were comfortable with- those on our focus list. These are programs that have been through the gauntlet with due diligence, and come out on the other side to tell the tale. However, once these rankings are published, we're inevitably contacted by someone who wants to know why such-and-such a program was not included on our list, but is highly ranked elsewhere. In the spirit of equality, this set of rankings highlights the top 15 programs overall in addition to the top 5 programs on our focus list.

So, without much further ado, our most thorough edition of the Attain Capital Semi-Annual CTA Rankings to date.

DISCLAIMER

FUTURES TRADING IS COMPLEX, AND PRESENTS THE RISK OF SUBSTANTIAL LOSSES. AS SUCH, IT MAY NOT BE APPROPRIATE FOR ALL INVESTORS. WHILE EVALUATING THE FOLLOWING METRICS, PLEASE REMEMBER THAT PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. COMPOUND ROR REFERS TO THE ANNUAL RATE OF RETURN WHICH, IF COMPOUNDED OVER THE NUMBER OF YEARS IN THE PERIOD ANALYZED, WOULD YIELD THE CUMULATIVE GAIN OR LOSS ACHIEVED DURING THAT PERIOD.  IT IS ESSENTIALLY THE AVERAGE ANNUAL RATE OF RETURN (ON A COMPOUNDED BASIS). MAX DRAWDOWN THE WORST “PAIN” EXPERIENCED BY AN INVESTOR IN A SPECIFIC INVESTMENT, AND IT IS ONE OF THE MOST VALUABLE MEASURES OF RISK FOR A TRADING SYSTEM OR CTA IN OUR OPINION. AS AN EXAMPLE, AN INVESTOR STARTING OUT WITH A $100,000 ACCOUNT, WHO SEES IT FALL DOWN TO $80,000 BEFORE IT RUNS BACK UP TO $110,000, SAW A $20,000 LOSS ($100K – $80K), WHICH WOULD EQUAL A 20% ($20K/$100K) DRAWDOWN. MINIMUM INVESTENTS ARE LISTED IN THOUSANDS OF DOLLARS DENOMINATED BY A "K" (EX. $100K) AND MILLIONS DENOMINATED BY "MM" (EX. $1MM).

TOP FIVE PROGRAMS WITH MORE THAN $100 MILLION IN ASSETS UNDER MANAGEMENT

One of the many ways investors will evaluate managed futures programs is how much the program boasts in assets under management. For those just entering the space, the idea of investing with a CTA boasting larger assets under management brings a sort of "safety in numbers." Many institutional investors won't even look at a program with less than $100 million in assets under management, as that level is often perceived as an indicator of the business having "been through the fire" (there's a reason they say that the first $100 million raised in assets is the most difficult). And to be fair, programs don't grow that large without some pretty impressive statistics to their name, and while past performance is not necessarily indicative of future results, the track records can be alluring. Using our overall ratings, here are the top rated CTAs with more than $100 million in assets under management:

Top Programs With More than $100mm in Assets Under Management

Program

Minimum Investment

Compound ROR

Max DD

Winton Capital Management, Ltd. Diversified (QEP)

$50mm

14.80%

-25.59%

Briarwood Capital Management Inc. Diversified

$3mm

9.40%

-13.00%

Mesirow Financial Commodities Mgmt, LLC Absolute Return (QEP)

$266k

9.86%

-2.04%

Transtrend, B.V. DTP / Standard Risk - USD (QEP)

$10mm

14.15%

-15.15%

JE Moody & Company Commodity Relative Value (QEP)

$20mm

8.54%

-2.75%

TOP FIVE PROGRAMS WITH $100 MILLION OR LESS IN ASSETS UNDER MANAGEMENT
While the common assumption may be that bigger CTAs are always better, as we've discussed in prior newsletters, smaller CTAs may provide lower minimum investment opportunities and more nimble maneuvering of tumultuous markets (though there are no guarantees of better performance, and losses are always a possibility).The top rated CTAs with less than $100 million in assets under management:  

Top Programs With $100mm or Less in Assets Under Management

Program

Minimum Investment

Compound ROR

Max DD

Tanyard Creek Capital, LLC  Livestock

$100k

34.78%

-14.17%

Atlantic Capital Advisors Discretionary Mult-Mngr (QEP)

$2mm

3.59%

-4.68%

Covenant Capital Management Aggressive

$250k

21.51%

-20.41%

Blackheath Fund Mgmt Inc. Volatility Arbitrage (QEP)

$500k

20.28%

-10.60%

M6 Capital Management, LLC Standard

$300k

8.29%

-15.40%

TOP FIVE RISK MANAGERS
In today's investing climate, risk management is tantamount. Investors want to know your program isn't just blindly pursuing profits, and the following managers have excelled in their dedication to measuring and responding to risk and volatility. There is no way to eliminate risk, especially in an investment as complex as managed futures, but these guys never stop trying. Using the different risk factors we included when calculating our overall rankings, including a time weighted Max DD which looks at drawdowns across the past 1, 3, 5, and 10 year periods, the best risk managers on our radar include:

Top Risk Managers

Program

Minimum Investment

Compound ROR

Max DD

JE Moody & Company Commodity Relative Value (QEP)

$20mm

8.54%

-2.75%

Atlantic Capital Advisors Discretionary Mult-Mngr (QEP)

$2mm

3.59%

-4.68%

SCT Adaptive Quant Trading (QEP)

$5mm

3.64%

-6.00%

Strategic Ag Trading Grains

$100k

11.28%

-20.27%

Futures Truth MS4 Institutional

$500k

4.22%

-3.24%

TOP FIVE REWARD MANAGERS
While the previous  categories are certainly important when considering an allocation to a managed futures program, at the end of the day, investors still need one question answered: what kind of returns will I get? While we sound like a broken record, we want to repeat that past performance is not necessarily indicative of future results, and that you should never allocate to manager based upon performance alone. We took into consideration the 2 reward metrics calculated into our rankings, including an average monthly dollar gain metric which considers how much real money a manager has actually made, not just what their past performance has been. The top reward managers were:

Top Reward Managers

Program

Minimum Investment

Compound ROR

Max DD

Global Ag, LLC (QEP)

$1mm

33.41%

-17.57%

Rosetta Capital Management, LLC Rosetta Program (QEP)

$250k

41.35%

-39.67%

Clarke Capital Management, Inc. Millennium

$1mm

14.94%

-60.98%

Pere Trading Goup, LLC Pere Trading Program

$100k

35.13%

-60.73%

Clarke Capital Management, Inc. Global Magnum

$100k

16.61%

-41.52%

TOP FIVE PROGRAMS BY RISK-ADJUSTED PERFORMANCE
If you're not supposed to allocate to managers based on performance alone, and risk management metrics alone may not tell you what kind of returns the program has been capable of in the past, it only makes sense to look at how various managers rank when the two elements are held in context. After contemplating return over risk metrics, using the time adjusted method outlined above and using drawdown and the negative standard deviation of returns as the "risk" factors in the ratio’s denominator, the following managers emerged in our rankings as the top “risk adjusted” CTAs: 

Top Programs by Risk-Adjusted Performance

Program

Minimum Investment

Compound ROR

Max DD

Mesirow Financial Commodities Mgmt, LLC Absolute Return (QEP)

$266k

9.86%

-2.04%

Blackheath Fund Mgmt Inc. Volatility Arbitrage (QEP)

$500k

20.28%

-10.60%

Rosetta Capital Management, LLC Rosetta Program (QEP)

$250k

41.35%

-39.67%

JE Moody & Company Commodity Relative Value (QEP)

$20mm

8.54%

-2.75%

Global Ag, LLC (QEP)

$1mm

33.41%

-17.57%

TOP FIVE PROGRAMS WITH MINIMUM INVESTMENTS UNDER $100,000
All of these performance rankings may sound great, but if access to the program is unattainable, the performance becomes far less important in a hurry. For investors just beginning to reach levels of risk capital that would make managed futures a possibility, a reasonable minimum investment level may play a much larger role in  their allocation decisions. The top overall rated programs with minimum investments under $100,000 were: 

Top Programs with Minimum Investments at $100K or Less

Program

Minimum Investment

Compound ROR

Max DD

Tanyard Creek Capital, LLC  Livestock

$100k

34.78%

-14.17%

Pacific Capital Advisors, Inc. Vanguard

$100k

5.87%

-6.10%

Strategic Ag Trading Grains

$100k

11.28%

-20.27%

Rosetta Capital Management, LLC Macro (QEP)

$50k

19.23%

-17.36%

Boston and Zechiel Management ACTS Conservative

$100k

12.67%

-6.06%

TOP FIVE PROGRAMS ON ATTAIN’S FOCUS LIST
Attain Capital is dedicated to conducting thorough and ongoing due diligence on any managers with whom we do business. After hours of research and monitoring, our focus list represents programs that we believe have not only done well, but will continue to be some of the best in the industry. The top overall rated programs on Attain’s focus list are: 

Top Programs on the Attain Focus List

Program

Minimum Investment

Compound ROR

Max DD

Tanyard Creek Capital, LLC  Livestock

$100k

34.78%

-14.17%

Briarwood Capital Management Inc. Diversified

$3mm

9.40%

-13.00%

Covenant Capital Management Aggressive

$250k

21.51%

-20.41%

Mesirow Financial Commodities Mgmt, LLC Absolute Return (QEP)

$266k

9.86%

-2.04%

M6 Capital Management, LLC Standard

$300k

8.29%

-15.40%

TOP 15 OVERALL
The Oscars don’t end at the Best Adapted Screenplay award, with the viewers wanting to know what the best picture overall was… and in that spirit, we’ve compiled out list of the Top 15 managed futures programs across our “scrubbed” universe of CTAs (300 strong) using our unique ranking algorithms. We believe these programs are the best available managed futures programs overall- having consistently outperformed their peers across a host of performance and risk metrics across a host of different time frames. 

Top 15 Overall

Program

Minimum Investment

Compound ROR

Max DD

Tanyard Creek Capital, LLC  Livestock

$100k

34.78%

-14.17%

Winton Capital Management, Ltd. Diversified (QEP)

$50mm

14.80%

-25.59%

Briarwood Capital Management Inc. Diversified

$3mm

9.40%

-13.00%

Atlantic Capital Advisors Discretionary Mult-Mngr (QEP)

$2mm

3.59%

-4.68%

Covenant Capital Management Aggressive

$250k

21.51%

-20.41%

JE Moody & Company Commodity Relative Value (QEP)

$20mm

8.54%

-2.75%

Mesirow Financial Commodities Mgmt, LLC Absolute Return (QEP)

$266k

9.86%

-2.04%

Blackheath Fund Mgmt Inc. Volatility Arbitrage (QEP)

$500k

20.28%

-10.60%

M6 Capital Management, LLC Standard

$300k

8.29%

-15.40%

Transtrend, B.V. DTP / Standard Risk - USD

$10mm

14.15%

-15.15%

Pacific Capital Advisors, Inc. Vanguard

$100k

5.87%

-6.10%

Global Ag, LLC (QEP)

$1mm

33.41%

-17.57%

Bleecker Street Capital, LLC Systematic Global Macro (QEP)

$2mm

5.46%

-7.18%

Atlantic Capital Advisors Global Diversified (QEP)

$2mm

6.74%

-10.96%

RAM Management Group, Ltd. MRTP Conservative

$3mm

7.41%

-14.82%

IMPORTANT RISK DISCLOSURE


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IMPORTANT RISK DISCLOSURE
Futures based investments are often complex and can carry the risk of substantial losses. They are intended for sophisticated investors and are not suitable for everyone. The ability to withstand losses and to adhere to a particular trading program in spite of trading losses are material points which can adversely affect investor returns.

Past performance is not necessarily indicative of future results. The performance data for the various Commodity Trading Advisor ("CTA") and Managed Forex programs listed above are compiled from various sources, including Barclay Hedge, Attain Capital Management, LLC's ("Attain") 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.

The dollar based performance data for the various trading systems listed above represent the actual profits and losses achieved on a single contract basis in client accounts, and are inclusive of a $50 per round turn commission ($30 per e-mini contracts). Except where noted, the gains/losses are for closed out trades. The actual percentage gains/losses experienced by investors will vary depending on many factors, including, but not limited to: starting account balances, market behavior, the duration and extent of investor's participation (whether or not all signals are taken) in the specified system and money management techniques. Because of this, actual percentage gains/losses experienced by investors may be materially different than the percentage gains/losses as presented on this website.

Please read carefully the CFTC required disclaimer regarding hypothetical results below.

HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN; IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK OF ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL WHICH CAN ADVERSELY AFFECT TRADING RESULTS.