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

  
Jul 2013 to Jul 2017
S&P 500 S&P 500 Altegris 40 Altegris 40 Risk: 12 %, Return: 9 % Risk: 20 %, Return: 9 % Risk: 14 %, Return: 10 % Risk: 17 %, Return: 10 % Risk: 4 %, Return: 10 % Risk: 21 %, Return: 11 % Risk: 15 %, Return: 11 % Risk: 18 %, Return: 11 % Risk: 30 %, Return: 12 % Risk: 29 %, Return: 12 % Risk: 12 %, Return: 12 % Risk: 27 %, Return: 13 % Risk: 13 %, Return: 13 % Risk: 11 %, Return: 13 % Risk: 21 %, Return: 15 % Risk: 30 %, Return: 18 % Risk: 13 %, Return: 19 % Risk: 30 %, Return: 60 %
Program ARORAnnualized Rate of Return AUMAssets Under Management Std DevStandard Deviation
1 Indices - International Traders Research: Altegris 40 2.09% $107,349,559,314 8.46%
2 Indices - Standard & Poor's: S&P 500 TR Index 13.48% $ 9.97%
3 Alpha Z Advisors, LLC: Alpha Z Futures CTA *QEP* 59.76% $12,070,000 29.65%
4 Ancile Capital Management, LLC: Global Markets Program 18.69% $3,500,000 13.22%
5 Dreiss Research Corporation: Global Diversified Program *QEP* 17.61% $2,524,601 29.78%
6 Dendrich Ltd: Dendrich Ltd Program *QEP* *PROP* 14.61% $3,596,000 21.34%
7 Goldenwise Capital Management Inc.: Goldenwise Quantitative Multi-Strategy *QEP* 13.33% $126,000,000 10.97%
8 Schindler Capital Management, LLC: Dairy Advantage Program 13.22% $7,795,341 12.57%
9 Opus Futures, LLC : Opus Futures, LLC Advanced Ag Trading Program 12.86% $27,342,121 27.21%
10 Blue Diamond Asset Management AG: Blue Diamond Non-Directional Strategy 12.28% $436,000,000 11.85%
11 Tomas Capital Pty Ltd: GCAF USD 12.04% $1,164,566 29.33%
12 Mulvaney Capital Management Ltd: Global Diversified Program *QEP* 11.58% $149,000,000 30.22%
13 Tactical Investment Management Corp.: Institutional Commodity Program *QEP* 11.05% $68,154,174 18.05%
14 Ring Capital Management, LLC: S&P E-Mini Select Program 10.94% $5,770,000 15.15%
15 DUNN Capital Management, Inc.: World Monetary and Agriculture (WMA) Program *QEP* 10.89% $559,000,000 21.10%
16 Warrington Asset Management, LLC: Tactical Program 10.19% $ 3.55%
17 ISAM Systematic Management: ISAM Systematic Trend USD CLASS A *FRN* *PROP* 9.95% $2,830,000,000 16.89%
18 Amplitude Capital International Limited: Klassik Strategy *QEP* 9.65% $979,400,000 13.82%
19 Advanced Arbitrage Concepts: Advanced Arbitrage Concepts Account 2 9.40% $9,103,712 20.43%
20 Gamma Q, LLC: Commodity Program Managed Account 9.27% $ 12.44%







 

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