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

  
Sep 2013 to Sep 2017
S&P 500 S&P 500 Altegris 40 Altegris 40 Risk: 8 %, Return: 9 % Risk: 8 %, Return: 9 % Risk: 15 %, Return: 9 % Risk: 30 %, Return: 10 % Risk: 4 %, Return: 10 % Risk: 9 %, Return: 11 % Risk: 9 %, Return: 11 % Risk: 27 %, Return: 11 % Risk: 13 %, Return: 12 % Risk: 17 %, Return: 12 % Risk: 11 %, Return: 12 % Risk: 17 %, Return: 12 % Risk: 21 %, Return: 12 % Risk: 30 %, Return: 14 % Risk: 12 %, Return: 15 % Risk: 5 %, Return: 16 % Risk: 13 %, Return: 20 % Risk: 29 %, Return: 63 %
Program ARORAnnualized Rate of Return AUMAssets Under Management Std DevStandard Deviation
1 Indices - International Traders Research: Altegris 40 2.67% $107,914,660,063 8.48%
2 Indices - Standard & Poor's: S&P 500 TR Index 13.57% $ 9.59%
3 Alpha Z Advisors, LLC: Alpha Z Futures CTA *QEP* 62.78% $13,187,540 29.46%
4 Ancile Capital Management, LLC: Global Markets Program 20.06% $3,300,000 13.36%
5 Typhon Capital Management, LLC: Vulcan Metals Strategy *QEP* 15.92% $32,000,000 5.45%
6 White Indian Trading Company Limited: Alternative Hedge *PROP* 14.96% $375,000 11.52%
7 Mulvaney Capital Management Ltd: Global Diversified Program *QEP* 14.22% $152,000,000 29.86%
8 DUNN Capital Management, Inc.: World Monetary and Agriculture (WMA) Program *QEP* 12.29% $557,000,000 20.91%
9 Red Rock Capital, LLC: Commodity Long-Short Program 12.07% $24,000,000 16.92%
10 Blue Diamond Asset Management AG: Blue Diamond Non-Directional Strategy 11.98% $445,000,000 11.36%
11 ISAM Systematic Management: ISAM Systematic Trend USD CLASS A *FRN* *PROP* 11.55% $3,050,000,000 17.07%
12 Schindler Capital Management, LLC: Dairy Advantage Program 11.52% $6,933,877 12.82%
13 Opus Futures, LLC : Opus Futures, LLC Advanced Ag Trading Program 10.73% $29,351,595 27.01%
14 Diamond Capital Management LLC: Diamond Enhanced S&P Program 10.57% $10,377,399 9.10%
15 Pinstripe Trading, LLC: Standard Trading Program 10.57% $12,800,000 9.31%
16 Warrington Asset Management, LLC: Tactical Program 9.97% $ 3.56%
17 Tomas Capital Pty Ltd: GCAF USD *QEP* 9.91% $ 29.84%
18 Welton Investment Partners LLC: Welton Global *QEP* 9.32% $ 15.00%
19 Goldman Management, Inc.: Goldman Management Stock Index Futures *QEP* 9.21% $67,000,000 7.55%
20 Demeter Capital Management: Livestock & Grain Trading Program 8.93% $17,000,000 7.66%







 

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