Top CTAs - Ranked by Calmar Ratio
Rankings by Calmar Ratio
For Traders Reporting Results as of Wednesday, November 19, 2008


Untitled Document

Rank Manager 3 Year
Calmar
Ratio
3 Year
Annualized
ROR
3 Year
Maximum
Drawdown
Assets
Under Mgt
Millions
Minimum
Investment
1 Tri Global FX
Metro Forex Inc. Managed Accounts
23.3433.29%-1.43%119.461,000,000
2 Edge Investment Mgt Ltd
Global Diversified Program
11.16171.63%-15.38%15.24250,000
3 John Locke Investments
High Frequency Prg
4.787.47%-1.56%17.0010,000
4 Quantam S.A.
Quantam GSA 1X Fund
4.346.42%-1.48%549.0910,000
5 Attain Portfolio Advisors LLC
Strategic Diversified Program
3.9224.32%-6.20%24.331,000,000
6 Global Advisors LP
Global Commodity Systematic Class
3.7620.52%-5.45%243.50250,000
7 Plimsoll Capital
Headwind Program
3.695.66%-1.53%22.10500,000
8 Molinero Capital Management LLP
Global Markets Program
3.0017.60%-5.87%55.733,000,000
9 Rochester Capital Ltd
Managed Account Prg
2.9625.02%-8.44%75.003,000,000
10 Paskewitz Asset Mgt
Contrarian 3X S&P Prg
2.9433.22%-11.30%85.091,000,000
11 EuroCapital Management LLC
ECM Eurofin (Proprietary)
2.8628.03%-9.80%0.38100,000
12 Transtrend B.V.
Standard Risk (USD)
2.5213.25%-5.26%138.0010,000,000
13 FX Concepts Trading Advisor, Inc
Global Currency Prg (Funded)
2.5113.77%-5.48%3,200.00250,000
14 Clarke Capital Mgt, Inc.
Orion Program
2.2518.38%-8.17%4.901,000,000
15 Scully Capital Mgt, LLC
Poniente Program
2.1932.49%-14.85%16.185,000,000
16 Dominion Capital Mgt, Inc.
Sapphire Program
2.158.48%-3.94%25.003,000,000
17 Merit Alternative Investments GmbH
MERIT Futures Portfolio
2.109.10%-4.33%25.002,000,000
18 Transtrend B.V.
DTP - Enhanced Risk (USD)
2.0919.25%-9.19%4,894.0010,000,000
19 EMC Capital Mgt, Inc.
EMC Classic Program
2.0928.32%-13.52%207.792,000,000
20 Rhicon Currency Mgt (UK) Ltd
Rhicon Strategic Program
2.0510.37%-5.07%445.005,000,000
21 Eckhardt Trading Company
Standard Program
2.0215.99%-7.91%416.0010,000,000
22 Scully Capital Mgt, LLC
Mistral Program
2.0142.80%-21.26%15.495,000,000
23 Quantitative Investment Mgt LLC
Global Program
2.0015.54%-7.77%3,459.4720,000,000
24 John Locke Investments
Cyril Systematic USD
1.9920.37%-10.25%76.00100,000
25 Traderight Limited
Global Resources Programme
1.938.99%-4.65%16.005,000,000
26 Transtrend B.V.
DTP - Enhanced Risk (EUR)
1.9319.11%-9.91%1,359.0010,000,000
27 Clarke Capital Mgt, Inc.
Jupiter Program
1.8631.40%-16.85%15.603,000,000
28 Red Rock Capital Mgt, Inc.
Diversified Program
1.8621.75%-11.71%4.98500,000
29 Eckhardt Trading Company
Standard HL Program
1.8517.26%-9.34%238.5010,000,000
30 Dighton Capital
Multi-Strategy Program
1.8319.02%-10.37%15.0050,000
31 Winton Capital Mgt Ltd
Diversified Programme
1.7917.24%-9.65%5,000.0010,000,000
32 DeSoto Capital Mgt
E-Mini Program
1.7628.19%-16.06%2.13100,000
33 Beach Horizon LLP
MAP
1.7426.92%-15.43%139.005,000,000
34 Golden West CTA, LLC
Options Program
1.7423.58%-13.58%1.11100,000
35 Mobius Asset Mgt
Energy Weighted Program
1.7112.05%-7.06%8.40250,000
36 Heyden & Steindl
TOMAC 2
1.7027.77%-16.38%39.303,000,000
37 FTC Capital GmbH
FTC Commodity Fund Alpha
1.6722.79%-13.66%66.95100,000
38 MIGFX
Retail Program
1.6523.20%-14.08%10.50100,000
39 Transtrend B.V.
DTP - Enhanced Risk (JPY)
1.6517.34%-10.53%0.1010,000,000
40 Zone Capital
FX Managed Account
1.6227.73%-17.14%1.50100,000
41 Transtrend B.V.
Standard Risk (EUR)
1.6111.05%-6.86%631.0010,000,000
42 TYL Trading, LLC
Blend Diversified Program
1.5812.74%-8.04%9.08100,000
43 Abraham Trading Company
Diversified Program
1.5823.34%-14.79%290.7510,000,000
44 Fall River Capital LLC
Global Strategies High Leverage Prg
1.5629.20%-18.67%86.431,000,000
45 NuWave Investment Corp
Combined Futures Portfolio (2x)
1.5221.18%-13.91%407.4420,000,000
46 Claughton Capital
Institutional Program
1.4819.65%-13.29%34.101,000,000
47 MIGFX
Institutional Program
1.4612.73%-8.72%28.001,000,000
48 Fall River Capital LLC
Global Strategies STD Program
1.4513.47%-9.29%54.931,000,000
49 Altis Partners (Jersey) Limited
Altis Global Futures Portfolio - Composite
1.4433.94%-23.58%1,344.0710,000,000
50 Hyman Beck & Company
Global Portfolio
1.4324.70%-17.23%428.911,000,000
51 Clarke Capital Mgt, Inc.
Millennium Program
1.4233.60%-23.74%72.201,000,000
52 Livestock CTA, LLC
MAP
1.3977.09%-55.42%6.5425,000
53 Alpha Asset Mgt s.r.l.
Stock Index Premium Collection
1.3811.64%-8.46%0.2715,000
54 Jaguar Investments Ltd
Commodity Trading Program
1.356.66%-4.93%42.00250,000
55 Eckhardt Trading Company
Global Financial Program
1.3412.74%-9.50%153.6010,000,000
56 Tactical Investment Mgt Corp
Institutional Commodity Program
1.3429.81%-22.23%34.602,000,000
57 Dighton Capital
Aggressive SP
1.3354.82%-41.13%200.0050,000
58 Rivoli Fund Management
Rivoli International Fund
1.3320.64%-15.49%106.015,000,000
59 Northfield Trading L.P.
Diversified Program
1.3314.65%-11.01%104.702,000,000
60 Waypoint Capital Management
Diversified Futures
1.2721.37%-16.87%50.661,500,000
61 RAM Management Grp, Ltd
MRTP Aggressive Program
1.2645.65%-36.36%2.04250,000
62 Saxon Investment Corp
Aggressive Diversified Program
1.2431.44%-25.34%51.405,000,000
63 Rivoli Fund Management
Rivoli Managed Account Program
1.2317.71%-14.35%32.405,000,000
64 Reynoso Asset Mgt, LLC
Options Arbitrage Program
1.209.85%-8.18%1.941,000,000
65 Hawksbill Capital Mgt
Global Diversified Half Leverage
1.1717.26%-14.76%3.201,000,000
66 FTC Capital GmbH
FTC Futures Fund Classic
1.1722.66%-19.40%83.99100,000
67 Red Oak Advisors, Inc.
Fundamental Program
1.1524.97%-21.78%35.405,000,000
68 Strategic Investments
Equity Hedge Program
1.1311.58%-10.22%2.24350,000
69 Madgroup Investments LLC
Aggressive Growth
1.1234.90%-31.18%0.13100,000
70 RAM Management Grp, Ltd
MRTP 1X Conservative Program
1.1214.51%-13.01%6.56750,000
71 Somers Brothers Capital, LLC
Diversified Futures Program #1
1.1137.14%-33.53%4.101,000,000
72 Dighton Capital USA
Swiss Futures Trading Program
1.0940.14%-36.91%28.70100,000
73 Saxon Investment Corp
Diversified Program
1.0816.82%-15.56%10.605,000,000
74 FTC Capital GmbH
FTC Futures Fund Dynamic
1.0733.11%-30.94%38.14100,000
75 Hawksbill Capital Mgt
Global Diversified Program
1.0533.58%-31.87%60.702,000,000
76 Briarwood Capital Mgt, Inc
Diversified Trading Program
1.0510.66%-10.14%180.812,000,000
77 Global Wealth Analytics, Inc.
Class B Program
1.0451.55%-49.72%0.46200,000
78 John Locke Investments
Cyril Systematic
1.0314.83%-14.36%59.006,000,000
79 Vaca Capital Mgt, LLC
Global Diversified Program
1.0114.38%-14.30%3.301,000,000
80 Millburn Ridgefield Corp
Millburn Diversified Program
0.9814.56%-14.84%1.25250,000
81 Keck Capital Mgt, LLC
Keck Program
0.9627.89%-28.98%33.442,000,000
82 Rosetta Capital Mgt, L.L.C.
Rosetta Trading Program
0.9518.34%-19.24%87.6050,000
83 Strategic Investments
Commodity Program
0.9313.25%-14.31%1.76200,000
84 Scalae Management, LLC
Diversified Program
0.9212.82%-14.00%29.001,000,000
85 Clarke Capital Mgt, Inc.
Worldwide Program
0.9023.48%-26.04%18.70250,000
86 Covenant Capital Mgt of Tennessee
Aggressive Program
0.9018.32%-20.41%1.90500,000
87 Clarke Capital Mgt, Inc.
Global Basic Program
0.8922.25%-24.87%15.00100,000
88 Merit Alternative Investments GmbH
CRISTL
0.887.45%-8.47%11.002,000,000
89 Parizek Capital Inc.
Diversified Program
0.8836.08%-41.21%0.001,000,000
90 Dominion Capital Mgt, Inc.
Forex Program
0.876.22%-7.13%10.003,000,000
91 2100 Xenon Group LLC
2100 Xenon Diversified Program
0.856.27%-7.37%27.943,000,000
92 FX Concepts Trading Advisor, Inc
Multi-Strategy Prg (Funded)
0.848.80%-10.45%3,500.00250,000
93 Alder Capital
Alder Capital 10
0.845.88%-7.04%34.002,000,000
94 Tamarkin Managed Futures LLC
Managed Account Program
0.8117.42%-21.38%0.171,000,000
95 Mobius Asset Mgt
New Diversified Program
0.818.51%-10.56%6.20300,000
96 District Capital Mgt
Diversified Program
0.7936.90%-46.72%5.35150,000
97 Sunrise Capital Mgt, Inc
Expanded Diversified Program
0.7714.91%-19.32%998.5910,000,000
98 Mobius Asset Mgt
Combo Program
0.747.87%-10.61%0.00100,000
99 Madgroup Investments LLC
Standard Growth Program
0.7415.59%-21.12%0.6325,000
100 John W. Henry & Company
Global Analytics
0.7322.24%-30.57%161.0020,000,000

Excerpts from "Building Wealth with Managed Futures"

Annualized Compound Rate of Return: "...the higher the Rate of Return, the great the historical annual rate of performance."
Annualized Standard Deviation: "indicates variance of return from the mean return.."
Annualized Sharpe Ratio: "a rusk-adjusted return statistic calcuated using a 5.0% Risk-Free Rate of Return."
Downside Deviation: "Measures downside volatility by only including monthly performance less than a 7.5% Minimal Acceptable Rate of Return."
Annualized Sortino Ratio "considers excess return over Minimum Acceptable Rate of Return (7.50%) and divides it by Downside Deviation."
Sterling Ratio "a rusk-adjusted return statistic calcuated using the last 36 months of data."
Calmar Ratio -"...represents the historical amount gained for each dollar risked � it is calculated over the last 36 month period."
 

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE SUCCESS

THE RISK OF TRADING COMMODITY FUTURES, OPTIONS AND FOREIGN EXCHANGE ("FOREX") IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD CAREFULLY CONSIDER WHETHER COMMODITY FUTURES, OPTIONS AND FOREX IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS.

PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY.

THE ABOVE PERFORMANCE NUMBERS HAVE BEEN SUPPLIED BY THE CTAS. CAPITAL TRADING GROUP, IN NO WAY GUARANTEES THE ACCURACY OF THESE NUMBERS AND HAS SUPPLIED THEM TO YOU FOR INFORMATIONAL PURPOSES ONLY. THIS DOES NOT CONSTITUTE A SOLICITATION TO BUY OR AN OFFER TO SELL. NO INVESTMENT SHOULD BE MADE WITHOUT FULLY REVIEWING THE ASSOCIATED RISK FACTORS, FEES AND CONFLICTS OF INTEREST AS OUTLINED IN EACH CTA'S RISK DISCLOSURE DOCUMENT. THERE MAY BE CTAS WHO HAVE CHOSEN NOT TO PARTICIPATE THAT MAY HAVE BETTER OR WORSE PERFORMANCE THAN THOSE LISTED HERE.

PLEASE NOTE THAT THERE IS AN INHERENT RISK OF LOSS ASSOCIATED WITH TRADING FUTURES AND OPTIONS CONTRACTS. PLEASE CAREFULLY CONSIDER YOUR FINANCIAL CONDITION BEFORE INVESTING IN FUTURES AND OPTIONS CONTRACTS. FUTURES TRADING IS NOT SUITABLE FOR ALL INVESTORS.