From the October 01, 2011 issue of Futures Magazine • Subscribe!

Hot New CTAs: Short-term traders on a roll

HNC legacies perform well

Our 2010 Hot New CTAs, while not all hitting it out of the ballpark in 2011, are all positive in what has been a difficult environment, showing that they have staying power.

Stratford Capital Management
Stratford gave back some of its gains at the end of 2010 and first half of 2011, but has been on a roll of late. The fundamental program, which trades equity indexes off of the leading sectors, finished 2010 up 58.42%. The program had a nasty drawdown in March as volatility spiked mid-month and just as quickly receded, but a strong second quarter had moved it back into the black and a dynamite August, 59.30%, put it up 64.18% year-to-date.

Vergho Asset Management
Vergho Asset Management (VAM) continues to impress both on a total return and risk-adjusted return basis, if not in it ability to draw assets. The short-term discretionary program finished 2010 strong, adding to the totals we reported last October to end the year up 32.03%. In 2011, VAM is up 6.14% through August and continues in its disciplined approach with a worst drawdown of 3.07% and no back-to-back negative months.

Insignia Futures & Options
Insignia had a bad stretch of returns in September and October of 2010, most likely because of volatility spikes in currencies, but still produced an outstanding 18.99% return for the year. Its Medallion program is up 7.57% in 2011 through August. Oddly, its more conservative Epoch 3 program has done better in 2011, up 32.69% through August. The option program has done well in a difficult environment, particularly for option sellers.

Click on chart to enlarge.

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