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Alternative Investments, Managed Futures, CTAs, Commodity Trading Advisors, Managed Capital Advisory Group Ltd.
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Alternative Investments, Managed Futures, CTAs, Commodity Trading Advisors, Managed Capital Advisory Group Ltd.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE SUCCESS

CTA Ranking Reports
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Managed Capital Advisory Group
Manager 3 year
Annual
ROR*
3 year
Drawdown*
3 year
Calmar
Ratio*
3 year
Sharpe
Ratio*
Assets
Under Mgt
(millions)
Report Month
Livestock CTA, LLC
MAP
90.54% -55.42% 1.63 1.05 $7.45 Sep-2008
Global Wealth Analytics, Inc.
Class B Program
41.25% -49.72% 0.83 0.65 $0.36 Sep-2008
Dreiss Research Corp
Diversified Program
28.60% -22.42% 1.28 0.85 $1.50 Sep-2008
DeSoto Capital Mgt
E-Mini Program
26.71% -17.31% 1.54 0.97 $1.90 Sep-2008
EuroCapital Management LLC
ECM Eurofin (Proprietary)
23.95% -9.80% 2.44 1.29 $0.35 Sep-2008
Clarke Capital Mgt, Inc.
Global Basic Program
22.25% -24.87% 0.89 0.63 $15.40 Sep-2008
District Capital Mgt
Diversified Program
19.37% -46.72% 0.41 0.49 $3.48 Sep-2008
Clarke Capital Mgt, Inc.
Worldwide Program
18.48% -25.85% 0.71 0.57 $15.80 Sep-2008
KMJ Capital LLC
KMJ Currency Program
16.59% -2.95% 5.62 1.08 $101.00 Sep-2008
Clarke Capital Mgt, Inc.
Global Magnum Program
15.18% -22.57% 0.67 0.50 $32.00 Sep-2008
Madgroup Investments LLC
Aggressive Growth
14.92% -31.18% 0.48 0.40 $0.57 Sep-2008
Lone Wolf Investments LLC
Diversified Program
12.47% -14.62% 0.85 0.62 $1.00 Sep-2008
Future Gate Consultants Limited
Aggressive Growth Program (USD)
12.15% -28.91% 0.42 0.35 $2.26 Sep-2008
Becker Asset Mgt, LLC
Program 1
9.54% -30.08% 0.32 0.29 $0.24 Sep-2008
TYL Trading, LLC
Blend Diversified Program
9.42% -8.04% 1.17 0.37 $9.41 Sep-2008
Kinkopf Capital Mgt, LLC
S&P Program (Proprietary Trading)
7.29% -36.64% 0.20 0.21 $0.14 Sep-2008
Roy Funds, The
Systematic Equity Indices Large-Cap
2.65% -25.92% 0.10 -0.05 $0.21 Sep-2008
Lambay Capital Limited
Short Term FX
1.71% -6.44% 0.27 -0.59 $21.22 Sep-2008
District Capital Mgt
Select Program
1.13% -32.06% 0.04 -0.01 $0.24 Sep-2008
Marathon Capital Growth Partners L.L.C.
System Financial Portfolio
0.18% -14.14% 0.01 -0.49 $5.74 Sep-2008
Futures Truth Co
MSS ( Multiple Systems Strategy)
-1.54% -26.55% -0.06 -0.31 $1.20 Sep-2008
Wallwood Consultants Ltd
Forex Managed Accounts
-1.73% -13.65% -0.13 -0.63 $0.00 Sep-2008
 

The following are the statistics used in Managed Capital Advisory Group Rankings Report

Annual Compound Rate of Return: "The higher the Rate of Return, the great the historical annual rate of performance."

                                                                                                            (1/# of months)
Monthly Annualized Compound ROR = (Ending VAMI / Beginning VAMI)                       - 1
Annualized Compound ROR = (1 + Monthly Compound ROR) 12 - 1

Three Year ROR: Is the Total Compound Rate of Return over the last 36 months

Maximum Drawdown: "...reflects the greatest to date loss of a CTA". It can also be defined as "... the potential cost of higher return..."

Maximum Drawdown = (Valley VAMI - Peak VAMI) / Peak VAMI

Three Year Maximum Drawdown: Reflects the maximum drawdown for the last 36 months.

The Calmar Ratio: "... the historical amount gained for each dollar risked … it is calculated over the last 36 month period."

Calmar Ratio = Annualized Compound ROR / Maximum Drawdown Calmar Ratio

The Sharpe Ratio: "... is calculated by dividing Excess Return by the Risk-Free Rate of Return."

 The Sharpe Ratio first calculates Excess Return (which equals the Average Monthly Rate Of Return - Monthly Risk-Free Rate Of Return

Then Excess Return is then divided by the Monthly Standard Deviation

Monthly Sharpe Ratio = Excess Return / Monthly Standard Deviation

The Monthly Sharpe Ratio is then annualized