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CTA Indexes / Iasg Cta Index

IASG CTA Index

Performance

Year-to-Date: 6.88%
CAROR: 18.99%
Max Drawdown: 43.72
S&P Correlation: 0.10
Annualized Sharpe: 0.75
Annualized Std Dev: 26.01

Performance Chart

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	YTD	DD
2021	-0.44	3.16	0.48	2.17	0.87	-0.34	0.63	0.22					6.88	0.44
2020	0.64	0.01	3.69	0.59	-0.19	-0.48	2.26	0.35	-1.74	-0.70	1.88	3.45	10.05	2.42
2019	-0.19	0.28	1.73	1.08	-0.68	2.18	0.73	2.65	-2.05	-1.00	0.46	0.69	5.94	3.03
2018	3.61	-2.86	-0.27	0.34	-0.02	-0.06	0.24	1.13	-0.38	-2.04	0.25	0.61	0.41	3.91
2017	-0.17	1.10	-0.29	0.38	0.53	-0.51	1.20	0.87	-1.16	2.60	0.17	0.84	5.65	1.16
2016	1.65	2.53	-1.35	-0.16	-0.67	2.96	1.23	-1.28	-0.22	-1.53	0.34	0.46	3.88	3.00
2015	5.08	-0.07	1.13	-1.57	0.06	-2.16	1.71	-2.00	1.27	-1.27	2.29	-1.03	3.25	3.96
2014	-0.78	1.98	-0.57	0.68	0.81	1.51	0.56	3.07	3.83	-0.29	4.33	1.68	18.00	0.78
2013	2.12	0.11	0.93	1.79	-1.24	-2.00	-0.24	-0.67	-0.80	1.34	1.43	0.69	3.43	4.85
2012	0.76	1.19	-0.67	0.91	2.07	-1.58	4.01	0.05	-1.09	-2.42	-0.20	0.50	3.42	3.68
2011	-0.51	2.80	-0.18	4.10	-3.05	-2.68	3.67	1.01	-0.69	-2.74	0.58	0.13	2.14	5.65
2010	-3.06	0.98	2.50	1.88	-2.12	0.88	-0.55	3.41	3.77	4.73	-1.44	5.42	17.23	3.06
2009	0.28	0.05	-1.80	-1.39	3.68	-2.24	-0.60	1.89	2.10	-1.90	5.30	-3.02	2.00	3.16
2008	3.77	10.07	-0.79	-0.43	2.48	4.00	-3.99	-0.85	1.85	7.46	2.92	2.81	32.56	4.81
2007	1.94	-1.82	-1.22	5.95	3.07	2.72	-3.71	-2.64	6.82	5.15	-0.04	2.89	20.11	6.25
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	0.01	-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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