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

  
Nov 2013 to Nov 2017
S&P 500 S&P 500 Altegris 40 Altegris 40 Risk: 16 %, Return: 9 % Risk: 22 %, Return: 9 % Risk: 8 %, Return: 10 % Risk: 11 %, Return: 10 % Risk: 9 %, Return: 10 % Risk: 4 %, Return: 10 % Risk: 9 %, Return: 10 % Risk: 12 %, Return: 10 % Risk: 15 %, Return: 10 % Risk: 9 %, Return: 10 % Risk: 18 %, Return: 11 % Risk: 11 %, Return: 12 % Risk: 10 %, Return: 12 % Risk: 18 %, Return: 13 % Risk: 30 %, Return: 14 % Risk: 12 %, Return: 14 % Risk: 5 %, Return: 16 % Risk: 22 %, Return: 17 %
Program ARORAnnualized Rate of Return AUMAssets Under Management Std DevStandard Deviation
1 Indices - International Traders Research: Altegris 40 3.32% $110,085,717,643 8.63%
2 Indices - Standard & Poor's: S&P 500 TR Index 12.94% $ 9.45%
3 DUNN Capital Management, Inc.: World Monetary and Agriculture (WMA) Program *QEP* 16.65% $674,000,000 21.56%
4 Typhon Capital Management, LLC: Vulcan Metals Strategy *QEP* 15.62% $ 5.50%
5 White Indian Trading Company Limited: Alternative Hedge *PROP* 14.23% $500,000 11.57%
6 Mulvaney Capital Management Ltd: Global Diversified Program *QEP* 13.72% $183,000,000 30.12%
7 ISAM Systematic Management: ISAM Systematic Trend USD CLASS A *FRN* *PROP* 13.11% $3,480,000,000 17.55%
8 Millburn Ridgefield Corporation: Commodity Program *QEP* 12.48% $155,000,000 9.63%
9 Blue Diamond Asset Management AG: Blue Diamond Non-Directional Strategy 12.08% $439,000,000 10.55%
10 Sandpiper Asset Managment: SAM Liquid Program *QEP* 10.56% $ 17.76%
11 Pinstripe Trading, LLC: Standard Trading Program 10.32% $18,300,000 9.28%
12 Welton Investment Partners LLC: Welton Global *QEP* 10.31% $ 14.93%
13 Schindler Capital Management, LLC: Dairy Advantage Program 10.07% $6,108,453 12.35%
14 Millburn Ridgefield Corporation: Millburn Multi-Markets Program *QEP* 9.87% $575,000,000 8.76%
15 Warrington Asset Management, LLC: Tactical Program 9.78% $ 3.54%
16 Diamond Capital Management LLC: Diamond Enhanced S&P Program 9.74% $11,040,908 8.91%
17 Bluenose Capital Management, LLC: BNC BI Program 9.59% $2,919,000 10.81%
18 Millburn Ridgefield Corporation: Diversified Program *QEP* 9.54% $3,300,000,000 8.48%
19 KeyQuant SAS: Key Trends Program *FRN* 9.19% $345,000,000 22.36%
20 Altis Partners (Jersey) Limited: Altis PureTrend Portfolio *HYPO* *Pro-Forma* 8.87% $4,160,000 15.98%







 

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