2019: Edition #16
Stay Tuned – Sign-Ups Begin Soon For The 2020 CTA Challenge
October begins the initial sign-up period for the 2020 CTA Challenge. CTAs that are not currently participating in 2019 should contact Coquest to have their programs added to the tracking for 2020. This is a free campaign for CTAs to join and provides unbiased comparative results to their peer group of Managed Futures investment products.
Now in its 7th consecutive year, the Coquest CTA Challenge finds success in utilizing a proprietary model for performing quantitative and qualitative evaluations of alternative investment programs. The results of these evaluations are presented as annual rankings and advertised to the investing public that is specifically looking for this type of product. Qualified high net worth investors, wealth managers, capital introduction teams, institutional investors and industry brokers are among the many groups that regularly monitor the year to date progress of the participants and the annual final results. The CTA Challenge uses the below seven criteria to analyze, compare and rank the daily performance and daily risk of the participating liquid alternative investment programs:
- Daily Rate of Return [ROR]
- Daily Rate of Return vs. Daily Volatility [Sharpe Ratio]
- Daily Rate of Return vs. Daily Downside Volatility [Sortino Ratio]
- Daily Rate of Return vs. Maximum Daily Drawdown [Sterling Ratio]
- Daily Rate of Return vs. Daily Margin to Equity [Return on Margin]
- Daily Rate of Return vs. Daily Value at Risk [Return on VaR]
- Daily Rate of Return vs. Daily Conditional Value at Risk [Return on CVaR]
The CTA Challenge was specifically structured to provide a large portion of the heavy lifting analysis that is required in institutional investment program reviews. We have arguably automated the majority of the quantitative, in-depth number crunching that institutions prefer to be conducted before making any formal consideration on a liquid alternative investment program. Although the CTA Challenge cannot fully replace the respected investment analysts and their hands on reviews, it sure is a great tool to help investors fast track the entire review process. By providing risk-adjusted rankings and using daily transparency, the CTA Challenge has become a key tool for use in picking investments in the liquid alternative space.
Of the 90 programs in the 2019 CTA Challenge, we have seen performance range from -40% to +127% ROR since January 1st (gross performance numbers). Just like the futures market prices, the performance moves for CTA managed futures programs have been all over the place. The unpredictable nature of market price moves, both in direction and size, require CTAs to employ hefty risk controls if they want to protect their customers from large losses in the investment accounts. In the CTA Challenge, we take a risk-adjusted approach to analyzing and ranking CTA programs to ensure we are evaluating performance and risk numbers achieved as well as performance and risk exposures. We are evaluating “what actually happened” and also looking at “what could have happened”. See below for the most recent top 5 ranked programs year-to-date in the CTA Challenge
2019 CTA Challenge:
Top 5 Ranking Through The End Of September
#1: Quantica Capital AG / Managed Futures Program *QEP*
#2: County Cork LLC / Acclivity Program *QEP*
#3: AG Capital Investments LLC / Discretionary Global Macro Program
#4: Dreiss Research Corporation / Global Diversified Program
#5: Emil Van Essen LLC / Global Tactical Allocation Program *QEP*
See the full current rankings here.
CTAs interested in participating, or investors interested in learning more about CTAs and Managed Futures investment strategies, should contact Coquest and the CTA Challenge by Clicking Here.
Tennessee-based Persistent Capital Management offers a long-term, diversified, systematic, trend-following program that trades 50 futures markets worldwide in 7 sectors. Its goal is to provide investors with attractive risk-adjusted returns that are independent of traditional asset classes.
ADM Investor Services, Inc. (ADMIS) has been a leader in the futures brokerage industry for over 50 years. The company is a registered Futures Commission Merchant known for its financial strength and expert customer service. ADMIS serves a broad base of managed futures professionals and their clients as well as institutional, commercial and retail customers.
Headquartered in Chicago, ADMIS is a wholly owned subsidiary of the Archer Daniels Midland Company (NYSE:ADM). It’s work is supported through a diverse network of institutional and introducing brokers, branch offices and global affiliated companies located in London, Hong Kong, Taiwan and Singapore.
Upcoming Events – Mark Your Calendars!
Talking Hedge: Alternative Strategies
November 20-21, 2019
The Driskill Hotel, Austin, TX
2019 CTA Challenge Sponsors