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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
Covenant Capital Mgt of Tennessee
Optimal Prg
39.80% -27.36% 1.45 0.87 $0.34 Jun-2010
District Capital Mgt
Diversified Program
39.09% -46.37% 0.84 0.80 $5.54 Jun-2010
GT Consulting Inc
GT Dynamic Trading (P)
35.27% -7.22% 4.88 2.06 $1.20 Jun-2010
Clarke Capital Mgt, Inc.
Worldwide Program
32.36% -13.74% 2.36 1.03 $22.80 Jun-2010
Becker Asset Mgt, LLC
Program 1 (Proprietary)
31.88% -12.15% 2.62 1.29 $0.55 Jun-2010
Emil Van Essen
Spread Trading Low Minimum
31.06% -29.88% 1.04 0.88 $17.90 Jun-2010
District Capital Mgt
Select Program
28.20% -30.90% 0.91 0.85 $0.00 Jun-2010
Dreiss Research Corp
Diversified Program
24.64% -28.50% 0.86 0.67 $0.59 Jun-2010
Tzanetatos Capital Management LLC
Global Titan Original Program
23.53% -15.07% 1.56 0.95 $2.54 Jun-2010
DeSoto Capital Mgt
E-Mini Program
20.43% -16.49% 1.24 0.85 $1.68 Jun-2010
Covenant Capital Mgt of Tennessee
Aggressive Program
19.96% -12.48% 1.60 0.83 $13.24 Jun-2010
NDX Capital Mgmt
Shadrach Program
19.94% -12.79% 1.56 0.75 $7.58 Jun-2010
White Indian Trading Company Ltd
STAIRS Program (Proprietary)
19.37% -16.74% 1.16 0.78 $1.80 Jun-2010
Linn Hare & Huckabay
Apex Trading Prg (P)
18.41% -24.87% 0.74 0.64 $12.00 Jun-2010
Mobius Asset Mgt
Custom Program
17.45% -9.74% 1.79 1.17 $11.50 Jun-2010
Chadwick Investment Group, Inc
Global Trend Following Large Account
17.30% -24.75% 0.70 0.62 $4.75 Jun-2010
Drury Capital, Inc.
Diversified Trend-Following
16.91% -13.43% 1.26 0.67 $226.28 Jun-2010
Clarke Capital Mgt, Inc.
Global Basic Program
16.74% -38.70% 0.43 0.55 $16.50 Jun-2010
Red Rock Capital Mgt, Inc.
Diversified Program
16.32% -7.98% 2.05 0.79 $5.52 Jun-2010
Cypress Capital Management, LLC
Classic Program (P)
16.07% -7.38% 2.18 0.94 $5.40 Jun-2010
Pacific Capital Advisors Inc.
Vanguard
14.66% -5.09% 2.88 1.51 $13.70 Jun-2010
Covenant Capital Mgt of Tennessee
Original Program
14.46% -8.21% 1.76 0.82 $26.71 Jun-2010
Global Advisors LP
Global Commodity Systematic B2
14.09% -18.80% 0.75 0.58 $54.82 Jun-2010
TYL Trading, LLC
Blend Diversified Program
13.95% -8.04% 1.74 0.75 $14.60 Jun-2010
Mobius Asset Mgt
Energy Weighted Program
13.77% -4.54% 3.03 1.58 $9.75 Jun-2010
Lane Capital Mgt, LLC
Global Macro
13.14% -21.05% 0.62 0.61 $1.00 Jun-2010
Clarke Capital Mgt, Inc.
Global Magnum Program
12.29% -41.51% 0.30 0.44 $17.30 Jun-2010
Mobius Asset Mgt
Diversified Program
12.16% -4.57% 2.66 1.10 $11.50 Jun-2010
Typhon Capital Management
Drakon Yield Curve Strategy
10.68% -8.44% 1.27 1.44 $45.80 Jun-2010
Clarke Capital Mgt, Inc.
Orion Program
10.59% -28.87% 0.37 0.53 $2.10 Jun-2010
Global Wealth Analytics, Inc.
Class B Program (C)
10.23% -43.11% 0.24 0.39 $1.25 Jun-2010
Quiddity LLC
QED Program
9.86% -17.53% 0.56 0.71 $13.00 Jun-2010
Typhon Capital Management
Options Probability Program
9.85% -17.53% 0.56 0.71 $13.00 Jun-2010
Aurora Futures Corp
Foreign Exchange Asset Mgt Prg
9.55% -6.73% 1.42 1.06 $2.22 Jun-2010
Hoffman Asset Mgt, Inc.
Modified Global Trend Program
9.42% -17.06% 0.55 0.50 $15.78 Jun-2010
Robinson-Langley Capital Mgt, LLC
RL Capital MAP
9.11% -17.82% 0.51 0.43 $5.00 Jun-2010
Typhon Capital Management
Low Levered FX Strategy
8.55% -3.80% 2.25 1.38 $75.80 Jun-2010
Villano Capital Mgt, Inc.
Global Diversified
7.94% -39.29% 0.20 0.31 $0.72 Jun-2010
Belair Capital Asset Mgt, LLC
Managed Account Program
7.80% -24.05% 0.32 0.33 $3.35 Jun-2010
Rosetta Capital Mgt, L.L.C.
Rosetta Trading Program
6.90% -17.38% 0.40 0.32 $74.00 Jun-2010
NDX Capital Mgmt
Abednego Program
6.66% -6.53% 1.02 0.46 $7.46 Jun-2010
Cervino Capital Management LLC
Diversified Options Strategy 1X
6.19% -5.93% 1.04 0.71 $1.97 Jun-2010
GrowthPoint Investments LLC
Index Condor Program
5.52% -36.02% 0.15 0.27 $2.86 Jun-2010
M6 Capital Management, LLC
Standard Program
5.32% -11.66% 0.46 0.30 $25.61 Jun-2010
Lafayette Trading, LLC
U.S. Equity Index Program
4.53% -17.22% 0.26 0.21 $0.40 Jun-2010
Millburn Ridgefield Corp
Millburn Diversified Program
3.63% -14.71% 0.25 0.15 $1015.89 Jun-2010
Robust Methods LLC
Managed Account Program
3.46% -11.33% 0.31 0.17 $0.00 Jun-2010
Haar Capital Mgt LLC
Discretionary Commodity Trading Prg
2.76% -16.27% 0.17 0.08 $73.72 Jun-2010
NDX Capital Mgmt
Methuselah Program
2.72% -28.76% 0.09 0.09 $0.11 Jun-2010
Attain Portfolio Advisors LLC
Modified Program
2.60% -58.05% 0.04 0.17 $0.98 Jun-2010
Kinkopf Capital Mgt, LLC
S&P (Proprietary)
2.56% -37.04% 0.07 0.12 $0.25 Jun-2010
Lone Wolf Investments LLC
Emission Instrument Program
2.36% -11.67% 0.20 0.03 $0.20 Jun-2010
Madgroup Investments LLC
Aggressive Growth
2.10% -47.68% 0.04 0.20 $0.07 Jun-2010
Lambay Capital Limited
Short Term FX
1.71% -7.48% 0.23 -0.09 $22.68 Jun-2010
Arch Capital Mgt, Inc.
1X Program
1.55% -10.30% 0.15 -0.04 $0.50 Jun-2010
Marathon Capital Growth Partners L.L.C.
System Financial Portfolio
0.02% -9.12% 0.00 -0.23 $6.78 Jun-2010
Clarke Capital Mgt, Inc.
Omega Program
-0.51% -46.21% -0.01 0.07 $0.20 Jun-2010
Commodity Capital Inc
Agricultural Commodities Trading Program (ACTP)
-0.53% -10.32% -0.05 -0.56 $2.50 Jun-2010
Optimal Models & Decisions
Active Beta
-1.19% -18.74% -0.06 -0.26 $8.39 Jun-2010
Rohrs & Company LLC
Seasonal Commodities Program
-1.33% -18.12% -0.07 -0.26 $0.10 Jun-2010
Waypoint Capital Management
FX Global Yield
-2.78% -26.33% -0.11 -0.21 $0.59 Jun-2010
Madgroup Investments LLC
Standard Growth
-3.49% -41.51% -0.08 -0.10 $0.41 Jun-2010
Stein Investment Mgt LLC
Trading Edge LT
-6.84% -29.37% -0.23 -0.63 $2.16 Jun-2010
Shield Plus LLC
Natural Gas
-8.22% -31.10% -0.26 -0.78 $0.55 Jun-2010
American Companies, LLC
American System
-11.20% -54.15% -0.21 -0.61 $0.60 Jun-2010
Stein Investment Mgt LLC
Trading Edge
-24.56% -70.19% -0.35 -0.37 $2.11 Jun-2010
 

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