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CTA Indexes / Iasg Cta Index

IASG CTA Index

Performance

Year-to-Date: 6.25%
CAROR: 19.15%
Max Drawdown: 43.72
S&P Correlation: 0.09
Annualized Sharpe: 0.75
Annualized Std Dev: 26.09

Performance Chart

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	YTD	DD
2021	-0.50	3.02	0.48	2.13	1.00								6.25	0.50
2020	0.73	0.05	3.90	0.39	-0.14	-0.51	2.39	0.40	-1.62	-0.78	1.91	3.34	10.39	2.38
2019	-0.34	0.42	1.47	1.03	-0.61	2.19	0.78	2.59	-2.10	-1.05	0.40	0.58	5.39	3.13
2018	3.47	-2.72	-0.15	0.39	-0.06	-0.07	0.17	0.98	-0.33	-1.96	0.27	0.58	0.45	3.74
2017	-0.30	1.06	-0.25	0.48	0.39	-0.56	1.17	0.96	-1.22	2.54	0.08	0.79	5.21	1.22
2016	1.70	2.31	-1.40	0.09	-0.54	3.01	1.20	-1.14	-0.12	-1.53	0.33	0.33	4.22	2.76
2015	4.84	0.30	1.24	-1.44	0.05	-2.10	1.63	-2.06	1.34	-1.30	1.77	-1.04	3.03	3.92
2014	-0.60	1.67	-0.38	0.72	0.68	1.24	0.63	2.94	3.99	-0.18	3.93	1.97	17.78	0.60
2013	2.21	0.28	0.88	1.68	-1.08	-1.88	-0.25	-0.71	-0.78	1.27	1.47	0.72	3.78	4.62
2012	0.73	1.27	-0.75	0.50	2.01	-1.16	4.51	0.09	-1.00	-2.36	-0.04	0.69	4.42	3.38
2011	-0.52	2.65	-0.10	4.02	-3.11	-2.63	3.80	1.10	-0.62	-2.73	0.44	0.23	2.25	5.66
2010	-2.92	0.90	2.52	1.88	-2.10	0.85	-0.43	3.39	3.80	4.66	-1.41	5.39	17.36	2.92
2009	0.18	0.03	-1.86	-1.43	3.85	-2.28	-0.65	1.86	2.05	-1.91	5.34	-3.13	1.69	3.27
2008	3.84	10.31	-0.92	-0.50	2.47	3.99	-4.14	-0.70	2.02	7.80	2.97	2.87	33.43	4.81
2007	1.94	-1.82	-1.22	5.95	3.07	2.68	-3.66	-2.59	6.81	5.16	-0.02	2.85	20.18	6.15
2006	4.04	-1.20	4.14	7.02	-1.13	-1.43	-2.68	-0.06	-0.33	2.17	3.42	1.64	16.24	5.52
2005	-3.34	1.49	0.21	-3.03	2.32	2.61	0.28	1.30	1.45	-1.99	4.33	1.32	6.87	4.67
2004	1.87	6.73	1.22	-6.14	-0.97	-3.00	-0.25	-0.05	2.71	3.35	5.35	-0.61	9.94	10.12
2003	6.98	7.16	-8.01	0.37	7.69	-3.49	-1.13	1.04	0.41	4.54	-0.90	5.54	20.66	8.01
2002	-1.39	-2.76	0.59	-1.82	2.05	9.26	6.87	4.00	6.05	-7.36	-3.81	8.94	20.80	10.89
2001	0.64	2.52	8.52	-6.09	0.80	-0.45	-0.74	2.92	6.51	4.80	-7.03	0.54	12.46	7.03
2000	0.89	1.65	-2.17	-0.90	2.58	-0.23	-2.68	5.06	-2.73	1.14	6.55	8.51	18.32	3.44
1999	-2.94	4.68	-1.43	3.97	-2.89	2.91	-0.10	1.31	0.55	-6.10	2.29	4.43	6.23	6.10
1998	1.49	1.48	1.06	-3.25	2.17	0.56	0.59	9.14	3.75	-1.55	0.59	4.40	21.83	3.25
1997	6.33	3.49	0.42	-2.78	-0.35	2.28	9.38	-5.63	2.86	-3.44	3.15	4.83	21.38	6.27
1996	3.90	-9.24	4.72	9.21	-2.69	3.33	-7.72	2.07	7.51	9.21	8.21	-2.35	26.73	9.24
1995	-2.57	4.93	13.53	5.18	7.00	0.42	-4.67	1.59	-2.15	-0.67	3.15	6.54	35.67	5.86
1994	-7.35	-6.33	7.69	2.35	6.58	3.38	-2.71	-8.36	0.96	-1.91	5.05	-1.12	-3.33	13.21
1993	1.90	8.11	-1.41	4.81	3.71	4.29	8.32	5.91	-1.35	-0.11	3.25	6.40	52.94	1.45
1992	-11.29	-4.07	0.02	-3.69	-1.57	8.75	10.11	4.96	-5.27	-2.57	2.04	-2.13	-6.51	19.30
1991	-3.62	-0.87	9.13	-3.85	-5.25	2.95	-1.65	0.66	7.38	-2.02	-0.03	23.74	26.00	8.89
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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