Tag: Sharpe Ratio

  • There is a Story behind Every Futures Program

    | | Education

    As one of the world’s largest futures databases, we begin talking to traders often at the earliest stages of their evolution up to billions of dollars in assets. But not all beginnings are equal, as some achieve early success and others never find it at all. Part of our challenge is trying to determine which ones provide the best opportunities to our investors. One might think that this is a simple process.  A few favorite search methodologies on our site include Sharpe ratio, returns, or minimum investment amount. Each of these can be a good way to filter but ultimately … Read more There is a Story behind Every Futures Program
  • Commodity Trading Advisors (CTAs) in Perspective

    | | Commodity Trading Advisor

    The following is a guest post from Spring Valley Asset Management: Disclaimer: While an investment in managed futures can help enhance returns and reduce risk, it can also do just the opposite and in fact result in further losses in a portfolio. In addition, studies conducted of managed futures as a whole may not be indicative of the performance of any individual CTA. The results of studies conducted in the past may not be indicative of current time periods.   Commodity Trading Advisors (CTAs) are a class of hedge funds that trade primarily in liquid global futures markets. These include currencies, … Read more Commodity Trading Advisors (CTAs) in Perspective
  • Sortino: A Sharper Ratio

    | | Financial Ratios, sortino ratio

    Many traders and investment managers have the desire to measure and compare CTA managers and / or trading systems. Risk-adjusted returns are one of the most important measures to consider since, given the inherent / free leverage of the futures markets, more return can always be earned by taking more risk. The most common risk-adjusted performance indicator is the Sharpe ratio. While the Sharpe ratio is definitely the most widely used, it is not without its issues and limitations. We believe the Sortino ratio improves on the Sharpe ratio in a few areas. However, the purpose of this article is … Read more Sortino: A Sharper Ratio
  • Sortino: A ‘Sharper’ Ratio – What are the Differences?

    | | Managed Futures, Statistics

    Earlier this week we discussed the Red Rock Capital research paper discussing different metrics used to evaluate CTA risk adjusted performance. Sharpe has long been considered the go to statistic commonly referred to by brokers and CTAs in Managed Futures. Today we intend to cover the differences and make some conclusions on the Sortino vs. Sharpe ratio debate and give a different perspective on analyzing a CTA … Read more Sortino: A ‘Sharper’ Ratio – What are the Differences?
  • Red Rock Capital – Sortino: A ‘Sharper’ Ratio

    | | Statistics

    Many traders and investment managers have the desire to measure and compare CTA managers and / or trading systems. We believe risk-adjusted returns are one of the most important measures to consider since, given the inherent / free leverage of the futures markets, more return can always be earned by taking more risk. The most popular measure of risk-adjusted performance is the Sharpe ratio. While the Sharpe ratio is definitely the most widely used, it is not without its issues and limitations. We believe the Sortino ratio improves on the Sharpe ratio in a few areas. The purpose of this article, however, is not necessarily to extol the virtues of the Sortino ratio, but rather to review its definition and present how to properly calculate it since we have often seen its calculation done incorrectly … Read more Red Rock Capital – Sortino: A ‘Sharper’ Ratio