The CTA Challenge — How Rankings are Calculated
The CTA Challenge and
Managed Futures — How Rankings are Calculated
The CTA Challenge is an alternative investment product research and ranking campaign specifically focused on asset managers that trade managed futures investment programs. Given the unique characteristics of this alternative investment strategy, where traders employ leverage and have the ability to go long or short a market at any time, the CTA Challenge requires a unique set of criteria for evaluating and ranking the participating programs. Here are those criteria:
- Daily Rate of Return (ROR)
- Daily Rate of Return vs. Daily Volatility (Sharpe Ration)
- 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)
These seven criteria give us a clear view into the risk and reward metrics of each participating managed futures program. By evaluating performance and positions, we are able to determine which programs actually give an investor the best bang for their buck. The weighting of each of these criteria in the CTA Challenge rankings is our secret sauce.
The overall use of robust metrics is why Coquest is viewed as the premier managed futures research team in North America, servicing institutional investment clients with an extremely high degree of competency. The CTA Challenge gives us clarity on a daily basis as to what each of the participating programs is doing and helps us gain further confidence in the winning programs.
About the CTA Challenge
The CTA Challenge is a year-long research campaign that aims to evaluate and promote best-of-breed managed futures investment products. The CTA Challenge provides active risk-adjusted rankings, based on daily data and analysis, and distributes the results to investors around the globe. There is no cost to register or participate.
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.
Are You An Investor Who Wants To Know More?
To learn more about the investment programs participating in the CTA Challenge, or others that are performing well in this current environment, please contact Coquest by clicking here or calling 1-214-580-4220.
Visit CTAChallenge.com for more details.
2020 CTA Challenge
Final Top 5 Overall Rankings For 2020
#1: AG Capital Investments LLC/Discretionary Global Macro Program
#2: Revolution Capital Management LLC/Alpha Program *QEP*
#3: Metolius Capital LLC/Diversified Systematic Global Macro *QEP*
#4: Four Seasons Commodities Corp/Hawkeye Spread Program
#5: Teza Capital Management LLC/Systematic Macro 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.
Breakout Funds LLC incorporates quantitative global macro thematic views with current news events to place discretionary short-term concentrated trades in futures markets. The trading approach draws on a combined 30 years of experience in the proprietary trading space where they have learned that protecting principal is the primary goal of any trading strategy. The Breakout team believes there is always an underlying theme that shapes the direction of the market, and it is their goal to adapt and implement strategies suitable for each particular market regime.
Visit CoquestTradersResearch.com to learn more about this CTA and to become a premium member of the site.
ADM Investor Services, Inc. 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). Its 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.