Top Ten CTAs
For Apr-2024
Performance Ranked by Annualized Compounded Rate of Return
Performance for traders reporting as of as of
Sunday, May 5, 2024
View Performance Ranked by Sharpe Ratio View Printable Report
| Rank |
Program |
QEP
Restrictions |
Annualized
Compounded
ROR |
Assets
under Mgt
(millions) |
Minimum
Invst |
Sharpe
Ratio
|
Correlation
to AG CTA
Index |
Standard
Deviation |
Worst
Drawdown |
| Last 5 Years | | 1 |
Purple Valley - Div. Trend 1 |
|
41.59% |
$10.00 |
$100,000 |
0.83 |
0.70 |
56.26% |
-45.45% |
| 2 |
Winoma Capital - FX Growth |
QEPs Only |
26.43% |
$0.00 |
$100,000 |
1.76 |
0.13 |
12.40% |
-14.87% |
| 3 |
Opus Futures, LLC - Advanced Ag |
|
18.60% |
$247.59 |
$200,000 |
1.26 |
0.16 |
12.19% |
-15.41% |
| 4 |
Red Rock Cap. - Commodity L/S |
|
17.57% |
$19.68 |
$500,000 |
0.94 |
0.39 |
16.00% |
-15.91% |
| 5 |
WaveFront - Global Investment |
QEPs Only |
13.90% |
$19.59 |
$2,000,000 |
0.69 |
0.75 |
17.28% |
-14.79% |
| 6 |
Drury Capital - Diversified T-Following |
QEPs Only |
12.87% |
$363.00 |
$10,000,000 |
0.64 |
0.70 |
17.45% |
-24.67% |
| 7 |
HiProb Capital Mgt - Neutral Plus |
QEPs Only |
11.51% |
$5.00 |
$1,000,000 |
2.51 |
-0.06 |
3.39% |
-2.17% |
| 8 |
Quest Partners LLC - AQO |
QEPs Only |
11.01% |
$2347.00 |
$20,000,000 |
0.57 |
0.63 |
16.31% |
-21.48% |
| 9 |
Hamer Trading Inc - Diversified Systematic |
|
10.15% |
$18.97 |
$3,000,000 |
0.54 |
0.65 |
15.83% |
-19.47% |
| 10 |
HiProb Capital Mgt - Neutral A |
QEPs Only |
8.40% |
$6.25 |
$500,000 |
2.16 |
-0.04 |
2.64% |
-2.17% |
| |
| Last 3 Years | | 1 |
J.D. Turner Capital, LLC - Diversified Trend Following |
|
20.39% |
$0.13 |
$100,000 |
0.88 |
-0.19 |
20.55% |
-10.79% |
| 2 |
Winoma Capital - FX Growth |
QEPs Only |
17.84% |
$0.00 |
$100,000 |
1.26 |
0.04 |
11.64% |
-14.87% |
| 3 |
Moddco Capital Associates - MCA Strategy (P) |
|
16.62% |
$0.19 |
$50,000 |
0.51 |
0.30 |
38.95% |
-50.31% |
| 4 |
Red Rock Cap. - Commodity L/S |
|
15.29% |
$19.68 |
$500,000 |
0.92 |
0.35 |
13.73% |
-15.91% |
| 5 |
Opus Futures, LLC - Advanced Ag |
|
14.87% |
$247.59 |
$200,000 |
1.23 |
0.20 |
9.61% |
-6.36% |
| 6 |
HiProb Capital Mgt - Neutral Plus |
QEPs Only |
13.97% |
$5.00 |
$1,000,000 |
3.69 |
-0.07 |
2.88% |
0.00% |
| 7 |
PGM Asset Mgt, LLC - Trident Program |
QEPs Only |
12.74% |
$3.62 |
$1,000,000 |
0.58 |
0.02 |
19.48% |
-26.05% |
| 8 |
Agile Investment Mgt - Senti-Wave V Program |
QEPs Only |
12.58% |
$1.01 |
$350,000 |
0.96 |
-0.24 |
10.28% |
-9.94% |
| 9 |
WaveFront - Global Investment |
QEPs Only |
11.39% |
$19.59 |
$2,000,000 |
0.64 |
0.70 |
14.56% |
-14.79% |
| 10 |
Drury Capital - Diversified T-Following |
QEPs Only |
11.19% |
$363.00 |
$10,000,000 |
0.54 |
0.63 |
18.15% |
-24.67% |
| |
| Last Year | | 1 |
Moddco Capital Associates - MCA Strategy (P) |
|
98.12% |
$0.19 |
$50,000 |
1.87 |
0.52 |
38.15% |
-6.68% |
| 2 |
Purple Valley - Div. Trend 1 |
|
57.38% |
$10.00 |
$100,000 |
1.03 |
0.82 |
51.54% |
-16.39% |
| 3 |
Drury Capital - Diversified T-Following |
QEPs Only |
22.70% |
$363.00 |
$10,000,000 |
1.06 |
0.44 |
17.83% |
-14.81% |
| 4 |
Opus Futures, LLC - Advanced Ag |
|
21.99% |
$247.59 |
$200,000 |
1.94 |
0.08 |
8.92% |
-2.31% |
| 5 |
Quantica Capital AG - MAP |
QEPs Only |
16.57% |
$718.00 |
$5,000,000 |
1.32 |
0.16 |
9.79% |
-5.67% |
| 6 |
O'Brien Investment Group - Quantitative GM Futures |
QEPs Only |
15.85% |
$62.50 |
$3,000,000 |
0.91 |
0.69 |
14.00% |
-9.22% |
| 7 |
HiProb Capital Mgt - Neutral Plus |
QEPs Only |
14.03% |
$5.00 |
$1,000,000 |
5.28 |
-0.25 |
1.96% |
0.00% |
| 8 |
Drury Capital - Multi-Strategy Program |
QEPs Only |
13.27% |
$16.00 |
$10,000,000 |
1.17 |
0.72 |
8.56% |
-4.69% |
| 9 |
Hamer Trading Inc - Diversified Systematic |
|
12.65% |
$18.97 |
$3,000,000 |
0.68 |
0.60 |
15.10% |
-9.97% |
| 10 |
Red Rock Cap. - Commodity L/S |
|
12.30% |
$19.68 |
$500,000 |
0.90 |
0.24 |
10.45% |
-7.72% |
| |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
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.
Footnotes:
(C) = Client Trading Results | (P) = Proprietary Trading Results | (P&C) = A Combination of Proprietary & Client Results.
1. Manager/Program - The names of the Manager and/or Programs may have been shortened for formatting reasons
2. QEPS Only: Participation is limited to QEPs. A Qualified Eligible Person ("QEP") must meet the following two requirements: 1) the investor must first be an accredited investor. The most common ways for this are to either have a net worth of $1,000,000 or more OR an annual income of $200,000 or more for the last two years OR, combined with a spouse, $300,000 per year for two years, 2) the investor must meet an additional portfolio requirement, which is having $2,000,000 in securities holdings OR $200,000 in margin on deposit with a Futures Commission Merchant OR a combination of the two (for example, $1,000,000 in securities and $100,000 in margin)
3. Annualized Compounded ROR - Annualized Compounded Return over the time-period indicated. It smoothes out returns by assuming constant growth
4. Assets Under Mgt (millions) - Current Assets Under Management in Millions
5. Minimum Investment - Minimum Account Size required to particpate in the program
6. Sharpe Ratio - Sharpe Ratio is a risk adjusted ratio that rewards consistancy of returns. There is a penalization for volatility regardless of whether it is on the up or downside.
7. Correlation to AG CTA Index - The Correlation to the Autumn Gold CTA Index
8. Standard Deviation - represents consistency of returns. It measures the degree by which the monthly returns vary from the average (mean) return
9. Worst Drawdown - Worst Drawdown reflects the greatest loss since inception. Worst Drawdown can be defined as the potential cost of higher return.
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