1999 IASG CTA Index Year Rolling

Rank CTA/Program 1yr 3yr 5yr Sharpe
1 Red Oak Commodity Advisors
Investment Program
79.32 109.24 151.23 0.65
2 KMJ Investments
KMJ Investments
60.67 100.49 406.06 1.41
3 LJM Partners
LJM Aggressive Strategy
60.55 0.72
4 AIS Capital Management, L.P.
MAAP (3x-6x) Composite
43.99 -27.18 81.84 0.64
5 AIS Capital Management, L.P.
MAAP (2x-4x) Composite
31.47 -10.45 56.41 0.59
6 Warrington Asset Management
Warrington Strategic Program
26.57 106.22 2.60
7 Superfund Group
Superfund Green Q-AG
25.38 146.01 1.10
8 Saxon Investment Corporation
Aggressive Diversified Program
24.53 67.62 6.98 0.62
9 Alee Capital Management, LLC
Mistral Program
23.53 1.19
10 Ansbacher Investment Management
Market Neutral Put Skew Program
23.47 156.58 0.92
11 C-View Limited
Currency Managed Account Program
22.40 159.80 2.26
12 W.G. Wealth Guardian Ltd.
SAFI2 Program
21.61 3.30
13 Kaiser Trading Group
Kaiser Global Diversified Program - Class B
21.16 1.54
14 Estlander & Partners
Alpha Trend
15.73 56.95 87.70 0.89
15 Crabel Capital Management
Crabel Multi-Product
14.94 0.57
16 Saxon Investment Corporation
Diversified Program
14.84 48.31 35.68 0.60
17 Clarke Capital Management
Worldwide
14.64 90.50 1.19
18 DUNN Capital Management
World Monetary and Agriculture Program (WMA)
13.14 85.73 484.30 0.67
19 Kinkopf Capital Management
KCM S&P (Proprietary)
12.87 0.46
20 Capricorn Strategies Limited
Capricorn fxST (Lev1)
12.36 3.38
21 Eclipse Capital Management
Global Monetary
12.31 36.76 114.85 0.83
22 Witter & Lester, Inc.
Redstone
11.41 23.81 51.95 1.31
23 IKOS
The IKOS Hedge Fund
10.91 0.48
24 Drury Capital
Diversified Trend-Following Program
10.46 1.25
25 MERIT Alternative Investments GmbH
Futures Portfolio
10.10 1.17
26 Campbell & Company, LP
Campbell Managed Futures Composite (f/k/a FME Large)
6.82 51.67 146.32 0.72
27 Alee Capital Management, LLC
Poniente Program
5.61 0.70
28 Clarke Capital Management
Global Basic
5.31 127.46 1.05
29 Clarke Capital Management
Millennium
5.18 0.69
30 Abraham Trading Company
Diversified Program
4.76 21.26 28.13 0.68
31 Sunrise Capital Partners
Sunrise Expanded Diversified Program
4.44 58.62 111.12 0.67
32 Quality Capital Management
Global Diversified Programme
4.10 41.34 0.82
33 Chesapeake Capital
Diversified (LV)
3.30 32.10 73.39 0.92
34 Clarke Capital Management
Global Magnum
2.06 0.90
35 Rotella Capital Management
Rotella Polaris Program (Diversified)
0.98 57.47 154.43 1.58
36 Hyman Beck and Company
Global Portfolio
0.81 46.51 109.66 0.88
37 Witter & Lester, Inc.
Stock Index Futures Trading Program
0.70 37.41 133.95 0.64
38 Millburn Corporation
Diversified Program
0.20 24.41 92.29 1.04
39 Dreiss Research Corporation
Diversified Program
-0.40 -5.36 91.80 0.63
40 Argus Capital Management Pty Ltd
Dynamic Multi-strategy Program
-0.81 83.28 0.85
41 Estlander & Partners
Global XL
-1.14 20.99 153.56 0.63
42 RAM Management Group
RAM MRTP 1X-Conservative
-1.16 14.00 34.70 0.62
43 Transtrend B.V.
DTP – Enhanced Risk (USD)
-2.21 64.49 179.60 1.11
44 Mondiale Asset Management
Mondiale Trading Program
-2.41 1.76
45 Eckhardt Trading Company
Evolution Strategies 1.2X
-3.05 112.61 482.27 0.93
46 SMN Investment Services GmbH
smn Diversified Futures Fund (1996)
-3.30 27.10 0.71
47 Range Wise
Investment Program
-3.62 -20.40 -15.62 0.76
48 Eckhardt Trading Company
Evolution Strategies
-4.54 77.16 286.12 0.91
49 FORT LP
Fort Global Diversified
-6.40 35.45 195.80 0.95
50 Rabar Market Research
Diversified Program
-9.41 25.42 42.10 0.71
51 GIC Trading LLC
Global Diversified Trading Program
-10.97 -0.57
52 EMC Capital Advisors, LLC
Classic
-11.09 5.44 25.05 0.69
53 RAM Management Group
MRTP Aggressive
-12.31 -0.10
54 Mark J. Walsh Company
Standard Program
-17.41 42.49 177.15 0.72
55 M.S. Capital Management
Global Diversified Program
-18.28 -1.02
56 Tactical Investment Management
Tactical Institutional Commodity Program
-20.21 19.51 135.33 0.73
57 DUNN Capital Management
D'Best Futures Fund, L.P.
-21.17 -3.52 116.35 0.40
58 Hawksbill Capital Management
Global Diversified
-24.55 88.14 26.37 0.66
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