Measuring Risk and Return

Investors often consider historical risk versus return when evaluating a particular opportunity. The chart below measures risk versus return for the top 20 CTA programs in the Altegris Analytics database. Risk, or uncertainty, is represented by annualized standard deviation over the life of the investment program, and return is represented by annualized returns over the same time period.

The relative size of the program, as measured by assets under management for the program, is also indicated.

Click the bubbles to reveal the name of the managed futures program. You can click on the program name in the list below the chart to highlight a particular bubble.

Risk vs. Reward - Last 48 Months

  
Feb 2013 to Feb 2017
S&P 500 S&P 500 Altegris 40 Altegris 40 Risk: 12 %, Return: 9 % Risk: 27 %, Return: 9 % Risk: 6 %, Return: 9 % Risk: 8 %, Return: 9 % Risk: 8 %, Return: 10 % Risk: 17 %, Return: 10 % Risk: 9 %, Return: 10 % Risk: 16 %, Return: 10 % Risk: 12 %, Return: 10 % Risk: 13 %, Return: 12 % Risk: 21 %, Return: 13 % Risk: 12 %, Return: 14 % Risk: 18 %, Return: 14 % Risk: 14 %, Return: 15 % Risk: 5 %, Return: 18 % Risk: 23 %, Return: 19 % Risk: 30 %, Return: 21 % Risk: 30 %, Return: 22 %
Program ARORAnnualized Rate of Return AUMAssets Under Management Std DevStandard Deviation
1 Indices - International Traders Research: Altegris 40 1.99% $103,636,583,007 8.89%
2 Indices - Standard & Poor's: S&P 500 TR Index 14.23% $ 10.13%
3 Dreiss Research Corporation: Global Diversified Program *QEP* 21.89% $8,269,466 30.47%
4 Mulvaney Capital Management Ltd: Global Diversified Program *QEP* 20.78% $197,000,000 30.02%
5 DUNN Capital Management, Inc.: World Monetary and Agriculture (WMA) Program *QEP* 18.74% $614,000,000 23.06%
6 Typhon Capital Management, LLC: Vulcan Metals Strategy *QEP* 17.75% $ 5.39%
7 Ancile Capital Management, LLC: Global Markets Program 15.15% $3,500,000 14.32%
8 Sandpiper Asset Managment: SAM Liquid Program *QEP* 14.10% $23,000,000 18.22%
9 Blue Diamond Asset Management AG Switzerland: Blue Diamond Non-Directional Strategy 13.51% $452,000,000 11.62%
10 KeyQuant SAS: Key Trends Program *FRN* 12.70% $385,000,000 21.31%
11 Schindler Capital Management, LLC: Dairy Advantage Program 11.95% $6,788,891 13.45%
12 White Indian Trading Company Limited: Alternative Hedge *PROP* 10.39% $375,000 11.84%
13 Ring Capital Management, LLC: S&P E-Mini Select Program 10.39% $3,910,000 16.09%
14 Millburn Corporation: Commodity Program 10.08% $225,000,000 8.86%
15 ISAM Systematic Management: ISAM Systematic Trend USD CLASS A *FRN* *PROP* 9.97% $2,150,000,000 17.10%
16 Goldman Management, Inc.: Goldman Management Stock Index Futures *QEP* 9.64% $56,000,000 8.10%
17 Goldman Management, Inc.: Goldman Management Stock Index Futures *PROP* *QEP* 9.32% $11,500,000 7.94%
18 Global Sigma Group, LLC: Global Sigma Plus Program *QEP* 9.12% $193,064,256 6.00%
19 Opus Futures, LLC : Opus Futures, LLC Advanced Ag Trading Program 8.92% $22,371,796 26.80%
20 Camkay Capital Management, LLC: Stock Indices Short-Term 8.65% $4,104,309 12.40%







 

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