2003 IASG CTA Index Year Rolling

Rank CTA/Program 1yr 3yr 5yr Sharpe
1 Rosetta Capital Management
Rosetta Trading Program
145.31 774.63 1.25
2 Saxon Investment Corporation
Aggressive Diversified Program
88.82 136.10 312.15 0.70
3 Red Oak Commodity Advisors
Investment Program
75.51 92.39 271.10 0.64
4 Abraham Trading Company
Diversified Program
74.66 152.91 200.84 0.74
5 Di Tomasso Group Inc.
Equilibrium Program
69.77 0.95
6 LJM Partners
LJM Aggressive Strategy
68.08 94.83 203.23 0.66
7 Superfund Group
Superfund Green Master
63.50 1.16
8 AIS Capital Management, L.P.
MAAP (3x-6x) Composite
55.78 45.71 127.72 0.59
9 Covenant Capital Management
Original Program
51.73 71.22 0.61
10 Insch Capital Management SA
Interbank Currency Program - 3X Leverage
50.69 132.23 1.25
11 Clarke Capital Management
Global Magnum
45.77 79.67 169.74 0.85
12 Saxon Investment Corporation
Diversified Program
45.75 91.20 168.87 0.68
13 Clarke Capital Management
Millennium
40.66 88.32 182.29 0.85
14 AIS Capital Management, L.P.
MAAP (2x-4x) Composite
34.75 33.77 88.52 0.56
15 EMC Capital Advisors, LLC
Classic
34.72 50.28 57.18 0.66
16 SMN Investment Services GmbH
smn Diversified Futures Fund (1996)
33.89 68.66 75.39 0.73
17 Estlander & Partners
Alpha Trend
29.34 47.79 91.43 0.89
18 Mulvaney Capital Management
The Mulvaney Global Markets Fund
29.30 64.68 0.73
19 Tactical Investment Management
Tactical Institutional Commodity Program
29.25 102.40 114.35 0.90
20 Superfund Group
Superfund Green L.P. Series B
27.71 0.83
21 Hawksbill Capital Management
Global Diversified
27.59 113.59 101.04 0.67
22 Range Wise
Investment Program
27.56 69.33 87.06 0.76
23 Alee Capital Management, LLC
Mistral Program
27.50 16.14 68.24 0.55
24 Superfund Group
Superfund Green GCT USD
26.33 204.79 1.10
25 Clarke Capital Management
Worldwide
26.21 31.84 77.23 0.91
26 Drury Capital
Diversified Trend-Following Program
25.77 60.13 104.83 0.99
27 NuWave Investment Management, LLC
NuWave Investment Partners LP
24.90 0.95
28 NuWave Investment Management, LLC
Combined Futures Portfolio
24.90 0.95
29 FORT LP
Fort Global Contrarian
24.74 1.51
30 QCM
Global Diversified Programme
24.61 55.68 73.73 0.81
31 Superfund Group
Superfund Green Q-AG
24.31 104.48 215.83 0.98
32 Rabar Market Research
Diversified Program
24.08 55.67 43.62 0.70
33 Clarke Capital Management
Global Basic
23.22 40.82 127.21 0.84
34 Chesapeake Capital
Diversified (LV)
23.08 25.80 36.75 0.82
35 Ansbacher Investment Management
Market Neutral Put Skew Program
22.50 44.76 70.91 0.70
36 ISAM
ISAM Systematic Trend Fund
20.48 1.00
37 Campbell & Company, LP
Campbell Managed Futures Composite (f/k/a FME Large)
20.43 48.87 81.79 0.74
38 Superfund Group
Superfund Green L.P. Series A
20.23 0.75
39 Eckhardt Trading Company
Evolution Strategies 1.2X
20.21 49.26 79.08 0.88
40 Eclipse Capital Management
Global Monetary
20.19 34.25 57.57 0.73
41 Estlander & Partners
Global XL
20.19 51.02 85.48 0.66
42 IKOS
The IKOS Hedge Fund
20.14 29.79 121.03 1.40
43 Dreiss Research Corporation
Diversified Program
19.28 34.44 62.89 0.60
44 Parizek Capital
Futures Trading Program
18.50 64.80 0.75
45 Trigon Investment Advisors, LLC
Foreign Exchange Program
18.49 56.55 1.28
46 Warrington Asset Management
Warrington Strategic Program
18.01 39.00 118.43 2.13
47 Sunrise Capital Partners
Sunrise Expanded Diversified Program
17.44 52.78 72.68 0.68
48 W.G. Wealth Guardian Ltd.
SAFI2 Program
15.93 44.15 90.01 1.94
49 FORT LP
Fort Global Diversified
15.57 103.56 108.13 0.89
50 GIC Trading LLC
Global Diversified Trading Program
15.40 81.10 83.50 0.53
51 Eckhardt Trading Company
Evolution Strategies
15.01 34.57 51.52 0.87
52 John Locke Investments
Cyril Systematic Program
12.99 32.07 0.63
53 RAM Management Group
MRTP Aggressive
12.91 33.31 69.04 0.37
54 Mondiale Asset Management
Mondiale Trading Program
11.78 22.26 56.36 1.58
55 MERIT Alternative Investments GmbH
Futures Portfolio
11.49 22.97 52.90 0.91
56 Briarwood Capital Management, Inc.
Diversified Trading Program
11.34 1.09
57 Mark J. Walsh Company
Standard Program
11.32 55.08 76.64 0.72
58 Alder Capital DAC
Alder Global 20
11.10 0.84
59 Hyman Beck and Company
Global Portfolio
10.98 62.28 44.84 0.76
60 Estlander & Partners
Global Markets
10.19 28.89 0.75
61 Alee Capital Management, LLC
Poniente Program
9.33 3.20 44.24 0.48
62 Transtrend B.V.
DTP – Enhanced Risk (USD)
8.47 73.06 90.22 1.18
63 Southwest Managed Investments, LLC
Global Diversified
8.37 0.36
64 Transtrend B.V.
DTP – Enhanced Risk (EUR)
8.30 75.00 1.16
65 Trigon Investment Advisors, LLC
Global Macro Program (LIQUIDATED as of July 31, 2017)
6.99 29.81 0.98
66 Transtrend B.V.
DTP – Standard Risk (EUR)
6.05 44.63 1.11
67 RAM Management Group
RAM MRTP 1X-Conservative
5.98 10.75 23.57 0.59
68 Kaiser Trading Group
Kaiser Global Diversified Program - Class B
5.40 27.21 62.58 0.99
69 Witter & Lester, Inc.
Redstone
5.11 -1.05 17.45 0.85
70 Kinkopf Capital Management
KCM S&P (Proprietary)
4.54 40.43 164.29 0.67
71 Millburn Ridgefield Corporation
Diversified Program
3.85 24.34 42.27 0.97
72 Rotella Capital Management
Rotella Polaris Program (Diversified)
3.73 44.37 72.63 1.45
73 Capricorn Strategies Limited
Capricorn fxST (Lev1)
3.29 24.99 61.50 2.00
74 C-View Limited
Currency Managed Account Program
2.37 26.15 61.00 1.65
75 Argus Capital Management Pty Ltd
Dynamic Multi-strategy Program
2.25 44.96 79.96 0.76
76 Crabel Capital Management
Crabel Multi-Product
1.85 47.66 116.21 0.76
77 Mobius Asset Management
Custom Trading Program
1.00 1.11
78 Conquest Capital Group
Conquest Macro
0.29 38.71 0.75
79 Silicon Valley Quantitative Advisors
US Quantitative Portfolio (UQP)
-1.68 22.55 0.69
80 Witter & Lester, Inc.
Stock Index Futures Trading Program
-3.04 -32.79 -11.01 0.48
81 M.S. Capital Management
Global Diversified Program
-5.67 25.97 20.33 0.27
82 KMJ Investments
KMJ Investments
-11.38 16.64 102.03 1.08
83 DUNN Capital Management
World Monetary and Agriculture Program (WMA)
-13.40 34.90 72.80 0.61
84 DUNN Capital Management
D'Best Futures Fund, L.P.
-13.43 41.54 53.76 0.47
85 Kelly Angle Inc.
Genesis Program
-25.63 31.45 0.59
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