Always sell in May and go away… except when the first two weeks of May produce more than a 5% gain in the S&P 500 (Disclaimer: past performance is not necessarily indicative of future results). Who knows? Maybe the second half of the month will produce the drop that the bears have been predicting for the last 6 months… but so far the conventional wisdom has definitely not panned out. The trend is your friend, and despite all the misgivings that some people have expressed, this one just keeps marching on. That’s fine by trend followers – we’ll just keep riding the momentum until it runs out. And until then, here’s what we’re reading headed into the weekend:

• What one second of high-frequency trading looks like (The Big Picture)
• Famous futures trader Paul Tudor Jones’ latest project (60 Minutes)
• CFTC vacancies a cause for concern for futures traders? (Wall Street Journal)
• Is your state’s highest paid employee a college sports coach? Probably (Deadspin)
• ICE is booming, thanks to European clearing revenue (Financial News)

Thanks to a big surge in the last two days of the week, the US Stock market posted a fresh set of all-time highs. Anyone who followed the old advice to sell in May by exiting their long stock positions during the May 1^st dip has already left nearly 2% on the table… the old wisdom isn’t necessarily always true. The week also finished off with a huge surge in copper, bringing a sharp end to the long-term downtrend we’ve been watching there for a while. Here’s hoping the shorts covered their positions before the rally ripped them too badly. If not, we have some distractions to console them this weekend: our weekend reads.

• Dow 15,000 took about 10 years longer than expected by some (USA Today)
• On the day of stock records, legendary stock trader Jeffrey Vinik throws in the towel – returning billions to his hedge fund investors (Bloomberg)
• Chinese Scientists Flirt with Flu Disaster (The Independent)
• Kentucky Derby – Millionaires need not apply (CNBC)
• A giant inflatable duck in Hong Kong? A giant inflatable duck in Hong Kong (Guardian)

And in honor of May the Fourth…

• May the 4^th Attack Ad (io9)
• 66 behind the scenes Pics from the Empire Strikes Back (Imgur)
• Darth Vader In Love (Youtube)
• Star Wars Theme Park? (MovieFone)

The big market story of the week has been the latest flash crash caused by hackers taking over the Associated Press Twitter account. It’s not every week that an errant tweet temporarily erases a few hundred billion dollars from the market, only to give in all back in a matter of minutes. That few minutes created a seemingly endless supply of analyzing and rehashing over the last few days… but that’s not the only thing that caught our eye this week. Here’s what we’re looking at headed into the weekend:

• A UCLA professor teaches game theory… by giving students the opportunity to cheat (KCRW.com)
• The time travel movie flow chart (Popular Science)
• Sleep deprivation proves to be a powerful antidepressant (Scientific American)
• Star Wars’ 501^st Legion invades Chicago (Red Eye)
• Twitter in the spotlight thanks to Boston bombing, flash crash (New Yorker)
• John Stewart gets laughs over gold’s collapse (The Daily Show)

Somebody must have breathed some life back into the markets, as we’ve seen quite few larger moves this week compared to the mostly tepid action the rest of the year. Today the big story was in metals taking a steep plunge, apparently doing their best bitcoin impression. The digital “currency” also crashed hard this week, giving even those in precious metals someone to point to and say “at least it could be worse.” Meanwhile, in the non-trading world the antics of North Korea left everyone scratching their heads, trying to figure out whether it’s an occasion to laugh or be afraid. But that’s not all we had our eyes on this week – here are the stories we’re looking at headed into the weekend:

• Bitcoin “mining” is almost as bad for the environment as actual mining (Bloomberg)
• Sleight of hand turns people from liberals into conservatives – or vice versa (Nature)
• A new twist in the hunt for dark matter suggests there could be a “shadow” Milky Way (New Scientist)
• Samsung is apparently vying for the title of “world’s biggest phone” (Computer World)
• The 1987 documentary that followed Paul Tudor Jones: Trader (Youtube)

This is it. From our scrubbed database of 300+ managers we picked 64 CTAs to run the gauntlet of our tournament. Round after round, one performance metric after another, we’ve narrowed the field down to just 4 surviving CTAs. The end is in sight, and two more metrics from our database will determine which CTA gets the bragging rights as the winner of Managed Futures Madness.

In Round 3 we turned to a ratio of risk to reward to decide the round. The Sterling Ratio, which is Compound ROR divided by Average Annual Drawdown – 10%, is just one of veritable alphabet soup of acronyms and eponymous formulas that investors use to evaluate managers. And another of these metrics has been selected to determine who will make it to the final round of our tournament: Sortino Ratio.

Like the Sterling Ratio, the Sortino Ratio is a measure of risk-weighted returns – risk in this case being defined as volatility. But unlike Sterling, which penalizes a program for any volatility, whether positive or negative, Sortino only penalizes a program for downside volatility. This is pretty intuitive… investors probably aren’t going to be upset with a program that brings huge upward spikes in returns, but they’re sure to get nervous around one with lots of large downturns. We’ve discussed the Sortino Ratio in depth before if you’re interested in learning more. The Sortino Ratio is calculated using the following formula: Sortino = (Compound ROR – risk free ROR) / (Standard Deviation of Negative Returns).

So how did the Semi-Final matchups wind up with Sortino Ratio as the deciding metric? Between the two lower seeded programs in the Semi-Final, Junzi Capital advanced over White River, while on the other side of the bracket it was Global Ag over Covenant.

And that left us with a final round matchup between #11 seed Junzi Capital and #3 seed Global Ag. So what metric was selected to determine the final? Lowest Maximum Drawdown. It may not be as complex as some of the other measures we’ve looked at, but it’s no less important. Max DD is very simple – it’s the largest peak-to-valley equity loss that a program has experienced in its track record.

No program is without losses, but it can be tough for an investor to stick with a manager when their account is down -25% or -50% from a previous high. And of course, climbing out of a hole is always more work than falling into one – it takes a 33.3% gain to erase a -25% loss, and a 100% gain to erase a -50% loss. If you can’t imagine yourself being able to stomach a progam’s Max DD hitting your allocation, then that program probably isn’t for you. And how did the final round turn out with Max DD as the deciding metric? Junzi Capital prevailed with a Max DD of -9.0% versus Global Ag’s -17.6%.

That brings our tournament to a close. Congratulations to Junzi Capital for winning our gauntlet of performance measures, and to the winner of our bracket-picking contest.

Click here to see the final standings. And to see more about the programs in our “tournament” and the performance metrics for all of them, check out our CTA rankings.