Magazine article Modern Trader

Last Year's Picks and Honorable Mentions

Magazine article Modern Trader

Last Year's Picks and Honorable Mentions

Article excerpt

Some of the bloom has been taken off the collective roses of our 2002 Hot New CTAs. The culprit has been the three major reversals we mentioned earlier. Darwinian dropped 8.2% in October and 4.7% in November before rebounding with a 16.1% performance in December to complete an outstanding 2002 with a return of 42.94%. They rode the strong trends into 2003 until March, which came in like a lion producing a -26.3% drawdown wiping out most of the profits they earned in the previous three months. They weathered the June reversal a little better, dropping 6.5% but stand at -11% through August for 2003.

The story of Asgard Capital Management (formerly Tri-Asset Management) is similar. They were burned in October (-11.6%) and November (-9.5%) before rebounding in December (10.9%) to finish 2002 with a 25.51% return. They rode solid trends until getting untracked in March with a -15.7% drawdown. The summer reversal did not treat them any better as they dropped 9.1% in June and 8% in July. Through August, they're at -17.2% for 2003.

Global Financial Trading Group, an equity index trading CTA that utilizes short-term and swing trading methodologies, had other issues. Volatile equity markets took their toll on Global by handing them their worst drawdown, -39.68% the last two months of 2002 in the swing program though it still earned investors 20.44% for 2002. The program performed well, albeit with large swings, through August (15.5%) and they initiated changes to their models in July to create a smoother equity curve. The day-trading program was up 42.06% in August and 25. …

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