Risk vs. Return, For the Programs in the ITR P-40

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 our 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: ITR Premier 40 8.64% $96,129,579,081 9.15%
2 Indices - Standard & Poor's: S&P 500 Index 3.56% 9.48%
3 Livestock CTA, LLC: Livestock CTA Program 113.53% $6,831,000 80.99%
4 Di Tomasso Group Inc.: Equilibrium Program *FRN* 53.11% $72,500,000 28.81%
5 DEC Capital Inc.: World Grain & Oilseeds Portfolio 46.77% $7,200,000 67.43%
6 AIS Futures Management LLC: MAAP 3X-6X *QEP* 43.23% $213,612,991 44.22%
7 Aksel Capital Management Group, Inc.: Growth & Income Program 42.18% $11,600,000 28.48%
8 LJM Partners Ltd.: Neutral S&P Option Premium Writing Program 36.06% $242,958,292 15.55%
9 Financial Commodity Investments (FCI): Option Selling Strategy 34.24% $32,386,025 17.85%
10 Solaris Capital Management, LLC: Solaris Market Neutral Portfolio *QEP* 33.69% $2,590,993 17.66%
11 Aisling Analytics Pte Ltd: Merchant Commodity *FRN* *CLSD* 30.48% $2,030,000,000 19.59%
12 AIS Futures Management LLC: MAAP 2X-4X *QEP* 30.31% $272,369,648 29.00%
13 PTP Management Company, LLC (Formerly Parrot Trading): Parrot Trading Partners 27.57% $11,400,000 28.61%
14 Paskewitz Asset Management, LLC: Contrarian 3X Stock Index Program *QEP* 26.77% $158,450,000 18.03%
15 RAM Management Group, Ltd: MRTP - Aggressive 26.65% $1,497,700 33.76%
16 Rho Asset Management AG: Rho Altius Program *FRN* 24.66% 16.12%
17 GrowthPoint Investments, LLC: Iron Condor *PROP* 23.22% $152,723 17.17%
18 Dreiss Research Corporation: Global Diversified Program 22.65% $1,491,630 28.07%
19 Altis Partners (Jersey) Limited: Global Futures Portfolio *QEP* 21.02% $1,071,000,000 24.65%
20 Peninsula, LP: Tactical Macro Short-Term Futures Program *QEP* 20.34% $365,000,000 11.39%







 

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