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In a message dated 9/20/00 1:45:50 AM Eastern Daylight Time,
janitor@xxxxxxxxxxxx writes:
<< Go ahead and look. You'll find that CTA's, even the
best of the best, the ones who test out EVERYTHING,
have a Sharpe ratio less than 1.0. >>
Below are the results of a ranking I ran covering CTAs for the last nine
years. The results are pretty much as you described. Interesting to note that
there are only 4 CTAs who have survived this long who have Sharpe ratios
greater than 1.0, I work for one of those CTAs. The real revelation is the
fact that having a good Sharpe ratio does not mean you have found an easy way
to make money (Bob Fulks alluded to this in his recent post about Sharpe
ratios). The last nine years have been a constant battle. In other words
there may be easier ways to get similar returns. Another interesting thing I
noticed is that traders who have been around this long seem to be going
through a rough period right now. The real long term, real money results are
pretty sobering..........
Mark Benjamin
Rank Manager Sharpe Ratio Compounded ROR
Equity
1 Gamma Capital Management, LLC. (Global Macro) 1.49 457.29%
328,000,000
2 Rotella Capital Mgmt. (Composite) 1.32 369.95%
332,930,000
3 Ashley Capital Mgmt., Inc. (Composite) 1.13 1426.31%
19,500,000
4 Beach Capital Mgmt. Ltd. (Discretionary) 1.11 359.54%
341,000,000
5 ED&F Man Inv. Prod., Ltd. (Pro Forma) 0.7 249.58%
3,069,975,276
6 Coral Rock Investments (White Coral) 0.68 205.70%
89,000,000
7 Tamiso & Company (Original Currency) 0.66 322.40%
6,031,551
8 Eckhardt Trading Co. (Standard) 0.66 542.87%
264,136,611
9 Urkena Management (Currency) 0.58 375.36%
2,572,020
10 Mount Lucas Mgmt. Corporation (Craft) 0.57 331.90%
10,013,765
11 Willowbridge Associates (Vulcan ) 0.57 496.00%
36,939,150
12 Campbell & Company (Fin. Met. & Energy -Large) 0.54 228.56%
1,632,000,000
13 Witter & Lester, Inc. (Stock Index Trading) 0.5 192.31%
8,200,000
14 Willowbridge Associates (Argo ) 0.5 440.21%
178,348,045
15 Eclipse Capital Mgmt. (Global Monetary) 0.48 198.54%
423,208,776
16 Trendstat Capital Mgmt. (World Currencies) 0.47 141.25%
9,300,000
17 FX Concepts, Inc. (DMC) 0.47 212.55%
759,000,000
18 Dunn Capital Mgmt. (WMA) 0.46 457.58%
656,529,000
19 Willowbridge Associates (Titan) 0.46 510.35%
11,791,445
20 Invesco (Financial Futures) 0.45 147.25%
190,000,000
21 John W. Henry & Company, Inc. (Original Investment) 0.45 241.98%
108,000,000
22 Brandywine Asset Mgmt. (Benchmark) 0.45 262.94% 8,135,065
23 John W. Henry & Company, Inc. (Global Diversified) 0.45 283.35%
30,000,000
24 Hyman Beck & Company (Global Portfolio) 0.44 218.77%
158,318,506
25 Red Oak Commodity Advisors (Composite) 0.42 326.05% 22,500,000
26 Kottke Grain (Fin. Mkt. Overlay) 0.4 109.85%
1,000,000
27 Capital Fund Management (Global Financial) 0.4 176.30%
50,474,641
28 Estlander & Rönnlund (Global Program) 0.39 276.65%
32,000,000
29 Millburn Ridgefield (Diversified) 0.37 168.37%
358,587,000
30 Campbell & Company (Global Diversified -Large) 0.36 156.19%
161,200,000
31 Saxon Investment Corporation (Diversified) 0.36 310.15%
1,700,000
32 Mount Lucas Mgmt. Corporation (MLM Active) 0.35 182.44% 19,437,860
33 Willowbridge Associates (Siren ) 0.35 171.57%
19,061,952
34 Rabar Market Research (Composite) 0.33 204.81%
166,619,000
35 Northfield Trading L.P. (Composite) 0.33 140.64%
74,200,000
36 Mississippi River Investments (Managed Accounts) 0.32 194.14%
5,182,000
37 John W. Henry & Company, Inc. (Financial & Metals) 0.3 218.95%
326,000,000
38 Dunn Capital Mgmt. (Financial TOPS) 0.3 255.27%
162,574,000
39 Walsh, Mark J. & Co. (Standard) 0.29 314.79%
14,739,827
40 Abraham Trading Co. (Diversified) 0.29 209.85%
5,383,152
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