Measuring Risk and Return
Investors often consider historical risk versus return when evaluating a particular
opportunity. The chart below measures risk versus return for the top 20 CTA programs
in the Altegris Analytics database. Risk, or uncertainty, is represented by annualized standard
deviation over the life of the investment program, and return is represented by
annualized returns over the same time period.
The relative size of the program, as measured by assets under management for the
program, is also indicated.
Click the bubbles to reveal the name of the managed futures program. You can click
on the program name in the list below the chart to highlight a particular bubble.
Risk vs. Reward - Last 48 Months
|
|
Program
|
ARORAnnualized Rate of Return
|
AUMAssets Under Management
|
Std DevStandard Deviation
|
|
1
|
Indices - International Traders Research:
Altegris 40
|
0.75%
|
$104,299,385,225
|
8.66%
|
|
2
|
Indices - Standard & Poor's:
S&P 500 TR Index
|
21.07%
|
$
|
14.61%
|
|
3
|
Dendrich Ltd:
Dendrich Ltd Program *QEP* *PROP*
|
41.89%
|
$1,570,000
|
29.39%
|
|
4
|
Novus Investments, LLC:
Precious Commodities *QEP*
|
38.60%
|
$6,000,000
|
50.55%
|
|
5
|
Paramount Capital Management, LLC:
Paramount Capital Management *QEP*
|
36.34%
|
$1,846,372
|
67.23%
|
|
6
|
AIS Futures Management LLC:
MAAP 3x-6x Composite*QEP*
|
29.78%
|
$74,557,340
|
60.58%
|
|
7
|
AIS Futures Management LLC:
MAAP 2x-4x Composite *QEP*
|
21.31%
|
$123,939,852
|
39.41%
|
|
8
|
Blackheath Fund Management Inc:
Blackheath Volatility Arbitrage Strategy*QEP*
|
19.57%
|
$46,500,000
|
10.62%
|
|
9
|
RAM Management Group, Ltd:
RAM Aggressive
|
19.13%
|
$14,250,000
|
29.02%
|
|
10
|
White Indian Trading Company Limited:
STAIRS Program *PROP*
|
18.96%
|
$50,000
|
26.07%
|
|
11
|
Insignia Futures & Options:
Medallion
|
16.92%
|
$1,099,800
|
31.72%
|
|
12
|
FORT LP:
FORT Global Contrarian *QEP*
|
16.61%
|
$424,271,800
|
10.50%
|
|
13
|
Esulep LLC:
Permo Investment Program*QEP*
|
16.52%
|
$56,250,000
|
7.34%
|
|
14
|
Triple Alpha, LLC:
Triple Alpha Perpetual Portfolio (TAPP) *PROP*
|
15.86%
|
$2,000,000
|
10.61%
|
|
15
|
White Indian Trading Company Limited:
STAIRS Futures Only
|
15.52%
|
$188,904
|
33.26%
|
|
16
|
Kinkopf Capital Management, LLC:
Kinkopf S&P Program *PROP*
|
15.22%
|
$342,449
|
25.05%
|
|
17
|
Purple Valley Capital, Inc:
Diversified Trend I
|
14.84%
|
$2,414,673
|
43.72%
|
|
18
|
Covenant Capital Management, LLC:
CCM Aggressive Program
|
14.16%
|
$105,800,264
|
16.90%
|
|
19
|
Goldman Management, Inc.:
Goldman Management Stock Index Futures *PROP**QEP*
|
13.61%
|
$6,200,000
|
10.92%
|
|
20
|
White Indian Trading Company Limited:
STAIRS Program
|
13.13%
|
$1,720,848
|
26.90%
|
PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
AROR: Annualized Rate of Return; AUM: Assets Under Management as represented by
notional value; Std Dev: Standard Deviation of Monthly Returns.
Data Provided by Altegris Clearing Solutions, LLC. Altegris Clearing Solutions, LLC is an affiliate of Altegris Investments Inc.
The rankings above include the trading programs that have submitted performance
information for the most recent full month.
Emerging programs are defined as those with less than $50M in assets under management.
Established programs are defined as those with assets under management equal to
or in excess of $50M.
*When using the 'since inception' filter, returns shown for programs with track
records of less than 12 months are shown as Total Return, and not Annualized. As
a result these numbers may not be valid for comparison against programs with longer
track records.
**The list above includes only commodity trading advisors (CTAs) tracked by Altegris Clearing Solutions, LLC.
There may be other programs not tracked by Altegris Clearing Solutions, LLC that
outperformed or under performed those listed above which, if tracked would affect
the order of the rankings. When reviewing the information, you should be aware that
some of the programs:
- Are only available to (a) non-US persons, (b) persons who meet the financial requirements
for Qualified Eligible Persons as describe in CFTC Regulation 4.7;
- Reflect proprietary trading results and may not accurately reflect the performance
a client could expect because of differences in fees and costs, leverage and trading
and may not have tested with customer funds;
- Are closed to new investments.
The rankings do not include rates of return for any single fund or pool that is
not incorporated into a composite track record.
In each of the following cases the trader is not required to file a disclosure document
with the Commodity Futures Trading Commission (CFTC) or the National Futures Association
(NFA). As a result the numbers reported are those provided by the trader directly
to Altegris Clearing Solutions, LLC or its affiliates.
QEP: These programs may only be available to QEP's (Qualified Eligible Persons)
as defined under the (CFTC) Regulation 4.7.
CLSD: These programs are currently closed to new investments.
FXE: These programs trade only the foreign exchange markets and are exempt from
CFTC registration and NFA membership.
FRN: The traders of these programs may be registered with a regulatory body outside
of the United States but are not necessarily registered with the CFTC or NFA members.
Therefore, these programs may be closed to U.S. investors.
PROP: Proprietary
View Correlations
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