Quantitative Investment Management (QIM) won the 2016 Coquest Advisors’ CTA Challenge for the second consecutive year. QIM’s Global Program beat out 21 Commodity Trading Advisor (CTA) programs competing in the 2016 Challenge.
If the top five look familiar they should as QIM, Emil Van Essen and White Indian Trading have all been profiled in Futures/Modern Trader multiple times, both as trader profiles and in our Top Traders of the year feature.
Not only that, but Emil Van Essen and Robb Ross, founder of White Indian, have been regular contributors to Futures/Modern Trader.
We first profiled QIM — founded by Jaffray Woodriff, Michael Geismar and Greyson Williams — in 2005 less than two years after the Virginia-based CTA was launched (see “QIM: Quantifying profits,” Futures July 2005). They were young but had a compelling quantitative story and in the following two years they went from under $10 million under management to $3 billion. QIM literally tested billions of simple trading strategies to come up with the best in their pattern recognition approach. This was before the term big data was being bandied about financial networks. Currently they manage $2.53 billion.
Emil Van Essen, a serial system innovator, has created a way to not only trade the Goldman roll, but a strategy that would move in front of all the traders bear spreading in front of the roll, often being able to profit more than once in a single roll period (see “Top traders of 2009,” Futures, March 2010).
Robb Ross is the creator of the “Scantilly Clad Straddle,” among other innovative options strategies and recently warned Modern Trader readers about the dangers of “Pin Risk” in “Zombie puts and calls,” (see MT September 2016).
The CTA Challenge recognizes the top performing managed futures trading programs rated by the seven criteria elements:
Return based: Daily rate of return (ROR), daily ROR vs. daily volatility, daily ROR vs. daily downside volatility and daily ROR vs. maximum daily drawdown.
Position Based: Daily ROR vs. daily margin to equity, daily ROR vs. daily value at risk and daily ROR vs. daily conditional value at risk.
While all the winners are deserving of their accomplishments, which we had nothing at all to do with, still we can’t help but feel a touch of pride as we recognized their talent well before the rest of the trading world came knocking at their doors.