The CTA Consistency Rankings (CR)

​

What does the Consistency Rankings Measure (CR)?
The Consistency Rankings is a proprietary risk/reward measurement aimed to assess a manager’s historical performance in terms of how consistently such manager maintained a level of reward and minimization of risk (by protecting against downside volatility). The CR evaluates and ranks each included manager for multiple time periods (i.e. 1 year, 18 months, 3 years, 5 years, 7 years, and 10 years).

​

How does the Consistency Rankings work?
The CR is calculated by taking the manager’s Total Return* minus a risk free rate of return (as measured by the 90 day Treasury bill rate) divided by the Total of Maximum Drawdowns.**

​

Why was the CR created?
Investors frequently seek managers who produce a consistent return. Often managers will earn high but inconsistent returns (which might appear as an attractive annualized return over a 3 year period, for example). The CR allows another measurement of comparison between managers. Of course, there is no guarantee that a manager with consistent returns will be profitable or will not incur losses.

​

Are the higher ranked managers on the CR tables necessarily superior?
In short-no. While no single quantitative measurement can be absolutely conclusive, the CR evaluation does however provide a useful screening vector. Of course, investors should not rely on the CR rating as a determinative factor. Experienced investors know that one must look at both quantitative and qualitative parameters in the evaluation process, as well as performing appropriate due diligence on a manager and fund. The CR measurement and relative rankings are intended to allow investors a comparative measure to assist in selecting managers that may merit further inquiry. Additional qualitative and quantitative information is available on request for interested investors. It is also important to note that the CR tables do not necessarily evaluate and rank all managers. It’s been estimated that there may be over 10,000 hedge funds. Currently the CR ranks approximately 2400 hedge funds. The index is limited to the managers who are willing to report and who report on a timely basis. Although we believe it to be a useful measure, no representation is made that the Consistency Index Measure is statistically valid or reliable.

*Total Return is the period's percentage increase/decrease in gain/loss.
**Total of All Drawdowns is the total of the 12 largest drawdowns in the period added together.
Return/Max Drawdown is the period's annualized return/ the period's maximum drawdown.