It’s Monday at the Attain Capital office, which usually means we’re hard at work crafting our newsletter for the week. This week, however, is particularly busy, because we’re putting together the Attain Capital Semi-Annual CTA Rankings.
The goal of the Attain Capital Semi-Annual CTA Rankings is to provide a more sophisticated picture than the simple ‘Best by YTD performance’ most rankings show, by including risk adjusted ratios and factors such as assets under management and length of track record.
The goal is to show which CTAs are ‘best’ across all of the factors important to this type of investment – including all of the risk factors – not just return based rankings. With some improvements to our backend database, we have been able to amend our formula slightly since the rankings released six months ago, and will include several new factors in the rankings including a ranking on the highest lowest 1 and 3 year return for all the programs in our database.
Highest lowest… What? In looking at this factor, we’re not just interested in how well a CTA has done when it is doing well, but are also interested in the perhaps even more telling statistic of how well each CTA has performed during bad market environments for the program. In this light, one of the factors used in our ranking formula measures programs against one another on how well they have done during their worst one and three year (rolling) periods.
For example, in the chart below showing two fictitious CTA programs, the green line program would rank higher on highest lowest 3yr return, with its worst three year return being -9%, versus the blue line program having a worst three year return of -26%. So, in this case, despite the blue line program having much higher highs on a rolling three year basis, its lower lows causes it to score lower than the green line program on this ‘highest lowest’ factor.
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