It’s that time of year again, when we have the data for all of the CTAs we track through the end of 2011, allowing us to try and answer the question we get on a daily basis: What’s your BEST managed futures program?  That question is always a tricky one, as depending on who is asking it, they may want to know any one of several variations on who is best. Best last year? Best for all time? Best risk adjusted return? Best in terms of lowest drawdowns?

This time around, we’re mixing things up- with an exciting new ranking algorithm, and a breakdown designed to be more useful to investors attempting to gain insight into the industry.

First up – our new rankings system. We’ve dedicated extensive resources over the past six months to analyzing and running tests on dozens of arrangements of data, attempting to create a rankings system that would best reflect what we believe to be the important metrics for measuring competency in this investment space.

This is trickier than it looks, to be sure. Put too much emphasis on returns, and you penalize those who control risk well. Too much emphasis on experience, and you penalize a potential new star who has performed well in their first 5 years. Too much reliance on the present, and you discount the past, but with too much on the past and you discount the present.

That being said, we believe the formula we’ve crafted is one of the most comprehensive in the industry. Why? Click through to find out.