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Chapter 3. Performance Data > Fear of Volatility; Confusion with Risk

Fear of Volatility; Confusion with Risk

There are organizations that rank and track trend follower’s monthly performance numbers. One organization, International Traders Research (ITR), gives them a ’star ranking’ (not unlike the more famous Morningstar):

“The quantitative rating system employed by ITR to rank and rate the performance of all commodity trading advisors (CTAs) rated in the database relative to the performance of all other CTAs. Ratings are given in four categories: a) Equity, b) Performance, c) Risk exposure, and d) Risk-adjusted returns. In each category, the highest possible rating is five stars and the lowest possible rating is one star. The actual statistics on which the percentiles are based are as follows:


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