Top Ten
CTAs Ranked by Annualized Compounded Return
Systematic Traders
For The Month Ending Apr-2020
Performance Results reported or amended subsequent to May 31, 2020 are not reflected in this Report
| Rank | Program* | Annual Compound Return |
Assets under Mgt (millions) |
Minimum Invst |
Sharpe Ratio (1% RF ROF) |
Correlation to AG CTA Index |
Standard Deviation |
Worst Drawdown |
| Last 5 Years | ||||||||
| 1 | QQFund.com LLC - Alpha Beta Program | 34.32% | $19.44 | $100,000 | 0.88 | 0.40 | 39.39% | -34.95% |
| 2 | GAIA Capital Mgt Ltd - GAIA FX+ | 33.43% | $41.87 | $250,000 | 1.75 | -0.45 | 15.87% | -20.63% |
| 3 | Deep Field Capital AG - Systematic Volatility Arb | 15.08% | $28.00 | $1,000,000 | 0.83 | -0.39 | 15.27% | -12.27% |
| 4 | SinoPacAM - SinoPacAM-SQMF | 14.77% | $34.52 | $5,000,000 | 0.85 | 0.06 | 14.60% | -14.68% |
| 5 | Buckingham Global Adv. - WEP | 11.52% | $21.00 | $200,000 | 1.00 | 0.35 | 8.93% | -13.46% |
| 6 | Linnis, LLC - Linnis ONE Program | 11.08% | $13.16 | $1,000,000 | 0.61 | -0.06 | 15.18% | -14.09% |
| 7 | 1512 SG Capital Mgt AG - St.Gallen I Counter-Trend | 7.91% | $6.70 | $500,000 | 0.34 | -0.18 | 23.12% | -24.92% |
| 8 | Adalpha Asset Mgt - Div. S-Term | 7.14% | $21.69 | $1,000,000 | 0.55 | 0.19 | 8.79% | -12.56% |
| 9 | NuWave Investment - Combined 2x | 6.65% | $28.68 | $5,000,000 | 0.33 | 0.43 | 16.25% | -20.64% |
| 10 | Jaguar Inv. - Aegir Strategy | 6.30% | $11.87 | $1,000,000 | 0.62 | 0.24 | 6.32% | -3.37% |
| Last 3 Years | ||||||||
| 1 | QQFund.com LLC - Alpha Beta Program | 57.69% | $19.44 | $100,000 | 1.23 | 0.44 | 42.36% | -34.95% |
| 2 | SinoPacAM - SinoPacAM-SQMF | 24.31% | $34.52 | $5,000,000 | 1.28 | 0.10 | 15.90% | -5.64% |
| 3 | GAIA Capital Mgt Ltd - GAIA FX+ | 16.69% | $41.87 | $250,000 | 0.84 | -0.53 | 17.13% | -20.63% |
| 4 | Deep Field Capital AG - Systematic Volatility Arb | 15.71% | $28.00 | $1,000,000 | 0.85 | -0.58 | 15.48% | -6.75% |
| 5 | HiProb Capital Mgt - HiProb-III | 15.64% | $12.25 | $1,000,000 | 2.81 | -0.02 | 4.31% | -2.17% |
| 6 | Claughton Capital - Institutional | 14.64% | $10.40 | $1,000,000 | 0.69 | 0.27 | 18.46% | -15.01% |
| 7 | Adalpha Asset Mgt - Div. S-Term | 11.70% | $21.69 | $1,000,000 | 1.07 | 0.12 | 8.33% | -5.97% |
| 8 | Deep Field Capital AG - Intraday Crisis Alpha | 11.33% | $51.00 | $1,000,000 | 1.12 | -0.43 | 7.62% | -5.91% |
| 9 | Linnis, LLC - Linnis ONE Program | 11.02% | $13.16 | $1,000,000 | 0.67 | -0.11 | 13.25% | -11.72% |
| 10 | John Locke - C. Systematic UCITS | 9.17% | €30.00 | €8,000,000 | 0.60 | 0.50 | 11.70% | -20.14% |
| Last Year | ||||||||
| 1 | QQFund.com LLC - Alpha Beta Program | 105.92% | $19.44 | $100,000 | 2.64 | 0.44 | 27.43% | -5.50% |
| 2 | Purple Valley - Div. Trend 1 | 61.46% | $2.60 | $1,000,000 | 0.93 | 0.64 | 68.43% | -19.57% |
| 3 | Claughton Capital - Institutional | 47.15% | $10.40 | $1,000,000 | 1.88 | 0.51 | 19.71% | -6.10% |
| 4 | Revolution Capital Mgt - Alpha Prg | 42.03% | $242.00 | $5,000,000 | 1.93 | 0.55 | 17.15% | -4.87% |
| 5 | Linnis, LLC - Linnis ONE Program | 40.57% | $13.16 | $1,000,000 | 2.37 | -0.57 | 13.31% | -6.70% |
| 6 | Cayler Capital LLC - Systematic Energy | 34.40% | $3.00 | $125,000 | 1.38 | 0.15 | 20.47% | -7.59% |
| 7 | Covenant Capital Mgt - Total Volatility Program | 33.55% | $8.81 | $100,000 | 0.88 | 0.55 | 35.42% | -13.84% |
| 8 | GT Capital CTA - Systematic Day Trading | 32.27% | $1.27 | $60,000 | 1.10 | 0.22 | 25.29% | -10.01% |
| 9 | SinoPacAM - SinoPacAM-SQMF | 29.07% | $34.52 | $5,000,000 | 1.09 | 0.65 | 22.45% | -5.64% |
| 10 | Quality Capital Management Ltd - GDP | 28.79% | $18.00 | $500,000 | 1.29 | 0.32 | 18.44% | -12.80% |
Top Ten Ranking Report Notes:
Please note that the monthly performance numbers, ROR and Drawdowns are based on end of month values and are not reflective of intramonth volatility.
* CTA names & Program Names may have been shortened
1) (C) indicates Client performance, 2) (P) indicates Proprietary performance, 3) (P&C) indicates a combination of Client and Proprietary performance,
4) Compounded Annual ROR represents the average return of the CTA over a number of years. It smoothes out returns by assuming constant growth,
5) The Shapre Ratio is a Risk Adjusted Statistics that measures the degree of risk involved in producing return.
6) Correlation to the Autumn Gold CTA Index measures the correlation of the program to a non-weighted average of the CTAs that report to Autumn Gold,
7) Maximum Drawdown r epresents the worst drawdown experience by a CTA from Inception,
8) Some traders may have been eliminated from this report at the sole discretion of Autumn Gold.
RISK DISCLOSURE
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
THIS MATTER MAY BE INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS AND FOREIGN EXCHANGE ("FOREX") IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE AVAILABLE ON REQUEST.
THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.
LIMITATIONS OF RANKINGS ARE THAT ONLY THOSE ADVISORS OR POOL OPERATORS THAT SUBMITTED THEIR PERFORMANCE DATA TO AUTUMNGOLD WERE RATED. THE ENTIRE CTA UNIVERSE IS NOT INCLUDED IN THE RANKINGS. THE PERFORMANCE INFORMATION PROVIDED WHEREIN HAS NOT BEEN VERIFIED BY AUTUMNGOLD. THE PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
|
© 2004 - 2020 Autumngold.com for
Novus Investments, LLC |