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De bästa CTA förvaltarna enligt Attain Capital

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Stockholm (HedgeNordic.com) – I sin nyligen publicerade “semi-annual CTA ranking” har Attain Capital rangordnat de CTA program som de utifrån en egenutvecklad rankingmodell anser vara de bäst presterande.

Rapporten börjar med att filtrera ut program från BarclayHedge databasen med följande kriterier; programmet ska ha minst 36 månaders historik, det skall vara registrerat med NFA (National Futures Association), det skall erbjuda så kallade Managed Accounts och ha en utvecklad affärsmodell (inga konton som enbart handlats i egensyfte, så kallade proprietary trading accounts).

I nästa steg utvärderar Attain programmen över 11 olika matriser relaterade till avkastning, risk, korrelationsnivåer, lättillgänglighet (minsta investering) och längd av avkastningshistorik.

I ett tredje steg tidsviktas flera statistiska mått där varje matris utvärderas över en 1,3,5 och 10 års period utöver att titta på den fulla längden av avkastningshistoriken. Detta för att undvika att program med stark avkastning långt bak i sin förvaltningshistorik inte får en skev ranking eller att program som inte levt genom historiska perioder av svag branschavkastning inte dominerar rankingen.

För resultatet av rankingen, se Attain’s Semi Annual CTA ranking här: CTA ranking

 

Bild: (c) Olivier Le Moal—shutterstock.com

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HedgeNordic Editorial Team
HedgeNordic Editorial Team
This article was written, or published, by the HedgeNordic editorial team.

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