# Managed Futures Madness: Semi-Finals and Final

This is it. From our scrubbed database of 300+ managers we picked 64 CTAs to run the gauntlet of our tournament. Round after round, one performance metric after another, we’ve narrowed the field down to just 4 surviving CTAs. The end is in sight, and two more metrics from our database will determine which CTA gets the bragging rights as the winner of Managed Futures Madness.

In Round 3 we turned to a ratio of risk to reward to decide the round. The Sterling Ratio, which is Compound ROR divided by Average Annual Drawdown – 10%, is just one of veritable alphabet soup of acronyms and eponymous formulas that investors use to evaluate managers. And another of these metrics has been selected to determine who will make it to the final round of our tournament: Sortino Ratio.

Like the Sterling Ratio, the Sortino Ratio is a measure of risk-weighted returns – risk in this case being defined as volatility. But unlike Sterling, which penalizes a program for any volatility, whether positive or negative, Sortino only penalizes a program for downside volatility. This is pretty intuitive… investors probably aren’t going to be upset with a program that brings huge upward spikes in returns, but they’re sure to get nervous around one with lots of large downturns. We’ve discussed the Sortino Ratio in depth before if you’re interested in learning more. The Sortino Ratio is calculated using the following formula: Sortino = (Compound ROR – risk free ROR) / (Standard Deviation of Negative Returns).

So how did the Semi-Final matchups wind up with Sortino Ratio as the deciding metric? Between the two lower seeded programs in the Semi-Final, Junzi Capital advanced over White River, while on the other side of the bracket it was Global Ag over Covenant.

And that left us with a final round matchup between #11 seed Junzi Capital and #3 seed Global Ag. So what metric was selected to determine the final? Lowest Maximum Drawdown. It may not be as complex as some of the other measures we’ve looked at, but it’s no less important. Max DD is very simple – it’s the largest peak-to-valley equity loss that a program has experienced in its track record.

No program is without losses, but it can be tough for an investor to stick with a manager when their account is down -25% or -50% from a previous high. And of course, climbing out of a hole is always more work than falling into one – it takes a 33.3% gain to erase a -25% loss, and a 100% gain to erase a -50% loss. If you can’t imagine yourself being able to stomach a progam’s Max DD hitting your allocation, then that program probably isn’t for you. And how did the final round turn out with Max DD as the deciding metric? Junzi Capital prevailed with a Max DD of -9.0% versus Global Ag’s -17.6%.

That brings our tournament to a close. Congratulations to Junzi Capital for winning our gauntlet of performance measures, and to the winner of our bracket-picking contest.

Click here to see the final standings. And to see more about the programs in our “tournament” and the performance metrics for all of them, check out our CTA rankings.

1. As these rounds were knock-out the winner is by nature both a result of the initial pairings and also path-dependent – if the rounds were carried out in a different order (eg drawdown, then Sharpe then, … etc) there would have been a different winner. It might be interesting to consider all possible starting pair-combinations and all round/selection sequences and see how many times each fund wins through to the top. I guess we’d see a distribution with the better ones winning most often. Though if not it might suggest they all have strengths and weaknesses.

2. This is absolutely true – and why we don’t actually recommend a single-elimination format for picking CTAs in real life. With numerous iterations of various starting pairings or order of metrics, you’d see the programs with the best overall score in our rankings winning most often, since by definition they have better results on more of the metrics. Although it wouldn’t necessarily be a 1-1 correlation, due to the weightings that go into our rankings process.

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.

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.

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.

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.