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CTA Indexes / Iasg Cta Index

IASG CTA Index

Performance

Year-to-Date: 0.42%
CAROR: 19.46%
Max Drawdown: 43.72
S&P Correlation: 0.09
Annualized Sharpe: 0.76
Annualized Std Dev: 26.08

Performance Chart

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	YTD	DD
2021	-0.42												-0.42	0.42
2020	0.77	0.11	3.07	0.42	-0.19	-0.61	2.18	0.28	-1.54	-0.74	1.81	3.27	9.06	2.27
2019	-0.25	0.35	1.45	0.96	-0.50	2.11	0.92	2.64	-1.95	-0.98	0.42	0.60	5.83	2.90
2018	3.24	-2.52	-0.06	0.32	-0.08	-0.15	0.21	0.90	-0.46	-1.97	0.13	0.67	0.12	3.80
2017	-0.11	1.08	-0.23	0.43	0.44	-0.51	1.03	0.96	-1.22	2.45	0.09	0.85	5.35	1.22
2016	1.62	2.43	-1.37	-0.11	-0.33	2.90	1.01	-1.09	0.04	-1.54	0.33	0.21	4.06	2.57
2015	4.73	0.14	1.24	-1.40	0.21	-1.95	1.71	-2.05	1.41	-1.15	2.03	-1.09	3.65	3.49
2014	-0.45	1.55	-0.34	0.62	0.70	1.26	0.75	2.67	3.79	-0.45	3.74	1.75	16.63	0.45
2013	1.98	0.18	0.85	1.64	-1.11	-1.49	-0.18	-0.78	-0.68	1.19	1.47	0.78	3.83	4.18
2012	0.46	1.01	-0.66	0.73	2.11	-0.88	4.28	0.21	-1.04	-2.39	-0.10	0.60	4.25	3.51
2011	-0.45	2.64	-0.29	3.82	-2.96	-2.57	3.75	1.10	-0.10	-2.85	0.71	0.32	2.84	5.45
2010	-2.96	0.85	2.48	1.87	-2.08	0.82	-0.46	3.51	3.58	4.89	-1.64	5.35	17.00	2.96
2009	0.63	0.31	-1.81	-1.17	3.46	-1.76	-0.35	1.85	2.02	-2.06	5.03	-3.08	2.76	3.08
2008	3.71	10.28	-0.66	-0.56	2.45	3.59	-3.32	-0.28	2.45	7.95	2.90	2.92	35.38	3.59
2007	1.83	-1.80	-1.08	5.51	2.81	2.83	-3.72	-2.04	6.67	5.22	0.23	2.83	20.37	5.69
2006	4.25	-1.06	4.43	6.60	-0.71	-1.66	-2.42	-0.13	-0.38	2.20	3.44	1.48	16.76	5.21
2005	-3.29	1.54	0.09	-3.05	2.29	2.51	0.34	1.32	1.77	-1.78	4.50	1.43	7.61	4.71
2004	1.90	6.36	1.61	-5.66	-0.94	-2.91	-0.35	-0.17	2.74	3.25	5.64	-0.55	10.77	9.74
2003	6.31	6.99	-7.80	0.19	7.11	-3.15	1.10	1.74	1.12	5.10	-1.03	4.91	23.72	7.80
2002	-1.55	-2.34	0.13	-1.71	2.33	9.04	7.50	4.13	5.99	-6.63	-2.12	7.97	23.61	8.61
2001	0.37	2.78	8.24	-6.27	0.99	-0.67	-0.65	2.54	7.49	5.91	-7.05	0.12	13.32	7.05
2000	0.98	1.78	-2.47	-1.52	2.72	0.14	-2.46	4.05	-1.41	1.27	6.77	9.90	20.71	3.95
1999	-3.04	4.79	-2.17	4.54	-3.36	2.91	-0.21	1.45	0.77	-6.46	2.77	4.75	6.16	6.46
1998	1.75	1.49	1.01	-3.09	2.35	0.69	0.89	9.43	3.45	-1.90	0.25	4.29	22.03	3.09
1997	5.92	3.91	0.26	-3.14	-0.70	1.21	8.82	-5.58	2.87	-2.63	2.68	4.81	18.97	5.58
1996	3.74	-9.40	4.95	9.47	-3.06	3.79	-8.34	1.81	7.67	8.87	8.59	-1.80	26.72	9.40
1995	-2.76	5.26	13.54	5.06	6.55	0.96	-4.77	1.83	-2.01	-0.41	3.58	6.70	37.37	5.37
1994	-6.87	-5.53	7.10	1.48	7.25	3.96	-2.66	-7.63	1.64	-2.16	5.48	-0.66	-0.10	12.02
1993	2.11	7.43	-1.18	6.15	3.62	4.08	7.65	4.96	-1.78	0.27	2.69	6.79	51.41	1.77
1992	-10.52	-4.68	-0.52	-3.94	-1.26	8.02	10.92	4.43	-4.98	-2.85	2.09	-1.73	-6.74	19.53
1991	-3.62	-0.87	9.13	-3.85	-3.61	2.54	-1.41	-0.62	6.28	-1.88	0.26	21.76	23.60	7.32
1990	9.75	3.07	17.04	16.92	-10.58	7.92	6.37	7.94	2.79	-2.60	3.60	-1.05	76.04	10.58
1989	7.31	-4.02	11.01	-6.98	25.47	-3.02	8.37	-15.72	-4.03	-14.45	3.95	19.71	20.76	30.80
1988	2.02	3.70	-6.41	-9.93	6.77	36.32	-10.28	2.93	4.84	9.46	6.28	0.75	47.29	15.70
1987	18.11	-5.53	11.39	69.97	-1.85	-4.16	7.94	-8.04	6.10	-5.85	9.68	4.88	126.68	8.13
1986	16.05	54.38	17.62	-7.70	-5.59	-14.34	1.20	9.83	0.17	-4.85	-3.09	-0.06	61.39	25.35
1985	16.47	16.57	-13.78	-20.45	47.08	-14.65	10.42	-16.14	-28.79	0.05	30.31	15.01	15.58	43.72
1984											-10.95	18.01	5.09	10.95

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