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CTA Indexes / Iasg Cta Index

IASG CTA Index

Performance

Year-to-Date: 5.76%
CAROR: 19.85%
Max Drawdown: 43.72
S&P Correlation: 0.10
Annualized Sharpe: 0.77
Annualized Std Dev: 26.21

Performance Chart

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	YTD	DD
2020	0.46	-0.07	5.35										5.76	0.07
2019	-0.42	0.27	1.68	1.06	-0.67	2.14	0.84	2.52	-2.23	-1.12	0.31	0.83	5.22	3.33
2018	3.32	-3.06	-0.16	0.31	-0.34	-0.15	0.11	1.00	-0.35	-2.14	0.31	0.78	-0.51	4.75
2017	0.01	1.05	-0.25	0.25	0.54	-0.55	1.17	0.80	-0.95	2.48	0.06	1.10	5.82	0.95
2016	1.41	2.24	-1.18	-0.04	-0.43	2.85	0.91	-1.20	-0.04	-1.36	0.30	0.24	3.67	2.58
2015	4.58	0.07	1.29	-1.43	0.41	-1.93	1.61	-1.99	1.25	-1.37	2.24	-0.93	3.63	3.48
2014	-0.84	1.93	-0.27	0.73	0.58	1.25	0.47	2.73	3.46	-0.55	3.81	1.57	15.78	0.84
2013	1.95	-0.14	0.80	1.49	-1.41	-1.57	-0.24	-0.91	-0.59	1.24	1.37	0.89	2.82	4.64
2012	0.53	0.91	-0.59	0.82	1.97	-1.30	3.86	-0.12	-0.96	-2.05	0.03	0.48	3.50	3.11
2011	-0.29	2.32	0.05	4.02	-2.77	-2.52	3.61	0.37	-0.04	-2.77	0.73	0.58	3.05	5.23
2010	-2.94	0.98	2.63	1.92	-1.99	0.98	-0.16	3.24	3.75	4.67	-1.63	5.24	17.57	2.94
2009	0.28	0.53	-1.37	-1.15	2.80	-1.74	-0.53	1.75	1.99	-1.79	5.07	-2.65	2.95	2.65
2008	4.46	10.28	-0.73	-0.79	2.04	3.98	-3.90	-0.72	1.81	7.74	2.66	2.66	32.79	4.59
2007	2.03	-1.93	-1.23	5.84	3.48	2.40	-4.18	-2.22	6.48	5.14	0.48	2.71	19.98	6.30
2006	4.29	-1.24	4.19	6.57	-1.25	-1.45	-2.70	0.12	-0.28	2.11	3.64	1.65	16.30	5.46
2005	-3.49	1.56	0.09	-3.25	2.47	2.72	0.70	1.36	2.00	-1.92	4.57	1.58	8.36	5.08
2004	1.74	6.41	1.63	-5.92	-1.10	-2.87	-0.42	-0.19	2.79	3.26	6.12	-0.31	10.99	10.17
2003	6.32	6.61	-6.78	0.61	7.35	-3.16	0.78	1.76	0.85	5.07	-0.61	5.14	25.49	6.78
2002	-1.34	-1.96	-0.51	-1.16	2.96	8.54	6.88	3.70	5.55	-5.51	-1.84	7.94	24.51	7.24
2001	0.76	2.15	7.77	-6.02	0.42	-0.19	-0.48	2.42	6.76	6.04	-6.81	0.47	12.86	6.81
2000	0.63	1.05	-3.31	-2.11	3.22	0.01	-2.33	4.19	-1.43	1.21	7.05	10.14	18.92	5.36
1999	-2.99	4.23	-1.54	5.01	-2.90	3.84	-0.10	1.48	0.79	-6.25	2.59	4.86	8.63	6.25
1998	2.16	0.98	1.20	-3.96	2.43	0.69	1.00	9.16	3.41	-0.91	-0.43	5.34	22.54	3.96
1997	6.36	4.79	0.49	-3.13	-1.76	1.39	9.37	-5.88	3.38	-2.78	2.37	4.43	19.51	5.88
1996	4.16	-7.69	5.75	10.99	-3.41	2.47	-8.81	2.60	7.87	9.87	8.52	-2.42	31.16	9.74
1995	-2.50	5.27	12.46	4.34	8.49	0.29	-5.15	2.30	-0.66	-1.18	5.02	7.84	41.38	5.15
1994	-7.16	-3.02	7.27	2.86	6.81	2.54	-2.68	-7.21	2.78	-2.94	5.10	-1.54	1.43	9.96
1993	1.78	7.78	-1.97	6.01	3.56	4.82	8.13	4.74	-2.22	0.48	2.53	5.44	48.88	2.22
1992	-10.81	-5.26	-1.89	-2.52	-2.37	8.22	11.17	4.40	-3.51	-2.15	2.77	-1.69	-5.46	21.09
1991	-2.22	-2.08	7.39	-2.98	-2.78	2.11	-2.12	0.23	5.64	-2.21	0.38	23.43	24.35	5.73
1990	7.34	2.04	14.32	14.97	-10.37	8.85	7.71	6.40	3.68	-0.33	2.85	-0.67	69.90	10.37
1989	7.31	-4.02	11.01	-6.98	25.47	-3.02	8.37	-15.72	-4.03	-14.45	3.95	14.81	15.82	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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