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

  
Apr 2013 to Apr 2017
S&P 500 S&P 500 Altegris 40 Altegris 40 Risk: 8 %, Return: 8 % Risk: 8 %, Return: 9 % Risk: 17 %, Return: 9 % Risk: 6 %, Return: 9 % Risk: 21 %, Return: 9 % Risk: 18 %, Return: 9 % Risk: 10 %, Return: 9 % Risk: 4 %, Return: 10 % Risk: 18 %, Return: 11 % Risk: 16 %, Return: 11 % Risk: 13 %, Return: 12 % Risk: 12 %, Return: 12 % Risk: 11 %, Return: 12 % Risk: 12 %, Return: 13 % Risk: 22 %, Return: 13 % Risk: 14 %, Return: 15 % Risk: 30 %, Return: 16 % Risk: 30 %, Return: 21 %
Program ARORAnnualized Rate of Return AUMAssets Under Management Std DevStandard Deviation
1 Indices - International Traders Research: Altegris 40 1.26% $106,084,714,056 8.91%
2 Indices - Standard & Poor's: S&P 500 TR Index 13.15% $ 10.06%
3 Dreiss Research Corporation: Global Diversified Program *QEP* 21.45% $7,375,411 29.96%
4 Mulvaney Capital Management Ltd: Global Diversified Program *QEP* 16.28% $163,000,000 30.24%
5 Ancile Capital Management, LLC: Global Markets Program 15.33% $3,500,000 14.29%
6 DUNN Capital Management, Inc.: World Monetary and Agriculture (WMA) Program *QEP* 13.08% $603,000,000 21.81%
7 Blue Diamond Asset Management AG Switzerland: Blue Diamond Non-Directional Strategy 12.79% $451,000,000 11.70%
8 Goldenwise Capital Management Inc.: Goldenwise Quantitative Multi-Strategy *QEP* 11.86% $110,000,000 11.31%
9 White Indian Trading Company Limited: Alternative Hedge *PROP* 11.66% $375,000 11.87%
10 Schindler Capital Management, LLC: Dairy Advantage Program 11.55% $7,728,295 13.47%
11 Ring Capital Management, LLC: S&P E-Mini Select Program 11.20% $3,748,000 16.11%
12 Sandpiper Asset Managment: SAM Liquid Program *QEP* 11.07% $18,500,000 18.46%
13 Warrington Asset Management, LLC: Tactical Program 10.07% $ 3.56%
14 Pinstripe Trading, LLC: Standard Trading Program 9.46% $5,800,000 9.88%
15 Tactical Investment Management Corp.: Institutional Commodity Program *QEP* 9.35% $66,274,882 18.05%
16 KeyQuant SAS: Key Trends Program *FRN* 9.17% $380,000,000 21.39%
17 Global Sigma Group, LLC: Global Sigma Plus Program *QEP* 8.91% $195,534,867 5.99%
18 ISAM Systematic Management: ISAM Systematic Trend USD CLASS A *FRN* *PROP* 8.90% $2,600,000,000 17.21%
19 Goldman Management, Inc.: Goldman Management Stock Index Futures *QEP* 8.72% $54,000,000 8.02%
20 Goldman Management, Inc.: Goldman Management Stock Index Futures *PROP* *QEP* 8.42% $11,700,000 7.86%







 

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