2006 IASG CTA Index Year Rolling

Rank CTA/Program 1yr 3yr 5yr Sharpe
1 Dendrich Ltd
QEP
150.58 1.95
2 Schindler Capital Management, LLC
Dairy Advantage Program
76.10 0.58
3 Silicon Valley Quantitative Advisors
US Quantitative Portfolio (UQP)
55.42 55.32 90.15 0.63
4 Dreiss Research Corporation
Diversified Program
43.11 70.80 149.37 0.65
5 Superfund Group
Superfund Green Gold B (SPC)
40.32 1.31
6 Superfund Group
Superfund Green Gold C (SPC)
39.91 1.21
7 Somers Brothers Capital
Diversified Futures Program #1
39.68 1.62
8 Paskewitz Asset Management LLC
Contrarian S&P Stock Index
38.98 85.92 1.97
9 LJM Partners
LJM Aggressive Strategy
37.72 201.14 384.77 0.91
10 QCM
Global Diversified Programme
35.01 48.30 94.92 0.78
11 Four Seasons Commodities Corp
Hawkeye Spread Program
33.46 1.83
12 Superfund Group
Superfund Green Gold A (SPC)
32.92 1.32
13 Briarwood Capital Management, Inc.
Diversified 2XL
32.38 1.23
14 LJM Partners
LJM Moderately Aggressive Strategy
31.36 139.83 4.13
15 Alee Capital Management, LLC
Mistral Program
31.13 58.59 79.34 0.66
16 Romanesco Capital Management B.V
Persistence Program
31.07 2.43
17 Red Oak Commodity Advisors
Investment Program
30.67 55.48 268.59 0.65
18 Di Tomasso Group Inc.
Equilibrium Program
30.27 239.97 536.52 1.21
19 Neural Capital Ltd
Sentinel Trading Program
28.83 1.30
20 KMJ Investments
KMJ Investments
28.81 49.44 75.07 1.06
21 Rosetta Capital Management
Rosetta Trading Program
28.23 202.30 1,560.01 1.18
22 Haar Capital Management
Discretionary Commodity Trading Program
27.38 1.59
23 Hyman Beck and Company
Global Portfolio
26.26 9.05 46.90 0.65
24 Heyden & Steindl GmbH
TOMAC2
26.19 97.61 1.11
25 Keck Capital Management LLC
The Keck Program
25.92 53.48 0.73
26 Tactical Investment Management
Tactical Institutional Commodity Program
24.26 43.60 150.03 0.82
27 Crescent Bay Capital Management
Premium Stock Index Program
23.37 2.78
28 Mulvaney Capital Management
The Mulvaney Global Markets Fund
21.94 61.22 148.83 0.74
29 ITB Capital Management, LLC
ITB Premium Fund I, LTD
21.86 2.91
30 Ancile Capital Management
Global Markets Program
21.85 1.72
31 Molinero Capital Management LLP
Global Markets Program
21.59 1.71
32 Superfund Group
Superfund Green Master
21.39 23.39 262.81 0.80
33 Kottke Associates
Stockton Fundamental Ag
21.01 1.39
34 Millburn Ridgefield Corporation
Commodity Program
20.67 0.97
35 Claughton Capital
Institutional Program
20.24 1.50
36 Superfund Group
Superfund Green L.P. Series B
19.74 23.00 0.53
37 Salus Alpha Capital Ltd
Salus Alpha Directional Markets (DMX)
18.58 93.68 1.75
38 M.S. Capital Management
Global Diversified Program
17.97 21.19 24.15 0.31
39 Briarwood Capital Management, Inc.
Diversified Trading Program
17.92 29.73 82.61 0.92
40 Witter & Lester, Inc.
Stock Index Futures Trading Program
17.87 79.02 59.66 0.58
41 EMC Capital Advisors, LLC
Classic
17.82 12.21 47.26 0.62
42 Strategic Ag Trading
Chatham
17.69 0.19
43 Robust Methods LLC
Macro Managed Account
17.19 1.02
44 ISAM
ISAM Systematic Trend Fund
16.45 18.29 69.08 0.69
45 Jaguar Investments Ltd
Vario Capital Strategy
16.36 1.18
46 Blackheath Fund Management Inc.
Blackheath Offshore Limited Class A
15.52 51.78 0.60
47 Welton Investment Partners
Welton Global
15.21 1.02
48 Southwest Managed Investments, LLC
Global Diversified
14.82 -0.09 13.82 0.17
49 Systematic Alpha Management
Systematic Alpha Futures Program
14.72 2.95
50 Eclipse Capital Management
Global Monetary
14.63 -10.30 26.87 0.59
51 Warrington Asset Management
Warrington Strategic Program
14.57 49.18 103.42 2.21
52 Blackwater Capital Management
Global Program
14.32 0.24
53 Xplor Capital Management, LLC
Global CTA Program
14.23 0.92
54 M6 Capital Management LLC
Standard Program
14.04 1.21
55 Superfund Group
Superfund Green GCT USD
13.17 14.35 144.45 0.78
56 Superfund Group
Superfund Green L.P. Series A
12.95 13.89 0.44
57 Quantmetrics Capital Management LLP
Premier 12V Strategy
12.93 75.24 2.51
58 Range Wise
Investment Program
12.91 42.11 164.27 0.76
59 NuWave Investment Management, LLC
NuWave Investment Partners LP
12.65 64.94 147.21 1.10
60 Millburn Ridgefield Corporation
Multi-Markets Program
12.33 1.06
61 Transtrend B.V.
DTP – Enhanced Risk (USD)
12.04 34.03 83.57 1.11
62 NuWave Investment Management, LLC
Combined Futures Portfolio
11.87 60.60 140.71 1.06
63 Transtrend B.V.
DTP – Enhanced Risk (EUR)
11.58 33.82 83.02 1.04
64 Quantica Capital AG
Quantica Managed Futures
11.35 1.32
65 Kinkopf Capital Management
KCM S&P (Proprietary)
11.17 30.69 10.02 0.61
66 FORT LP
Fort Global Contrarian
11.10 41.16 1.26
67 Transtrend B.V.
DTP – Enhanced Risk (JPY)
10.94 0.95
68 Conquest Capital Group
Conquest Select
10.94 0.36
69 Chesapeake Capital
Diversified (LV)
10.88 17.58 60.74 0.77
70 Mondiale Asset Management
Mondiale Trading Program
10.88 12.22 26.83 1.32
71 Superfund Group
Superfund Green Q-AG
10.47 18.54 103.99 0.83
72 Kaiser Trading Group
Kaiser Global Diversified Program - Class B
10.44 27.14 34.82 0.95
73 Four Seasons Commodities Corp
Lone Star Program
10.23 1.31
74 Revolution Capital Management
Alpha Fund
10.19 0.26
75 Wimmer Horizon LLP
Managed Account
10.18 1.06
76 Saxon Investment Corporation
Aggressive Diversified Program
9.92 2.88 112.34 0.61
77 Rotella Capital Management
Rotella Polaris Program (Diversified)
9.87 14.41 43.18 1.29
78 Clarke Capital Management
Millennium
9.69 4.85 98.55 0.64
79 W.G. Wealth Guardian Ltd.
SAFI2 Program
9.48 5.41 39.26 1.39
80 Alder Capital DAC
Alder Global 20
9.20 11.08 42.40 0.53
81 Millburn Ridgefield Corporation
Diversified Program
9.06 15.00 49.06 0.92
82 Rabar Market Research
Diversified Program
9.06 -0.25 54.12 0.61
83 Sunrise Capital Partners
Sunrise Expanded Diversified Program
9.05 12.73 51.58 0.63
84 Abraham Trading Company
Diversified Program
8.93 11.91 137.52 0.68
85 Crabel Capital Management
Crabel Multi-Product
8.41 22.78 59.27 0.72
86 Hehmeyer Capital Management, LLC
Commodity Capital - Grain & Oil Seeds Program
8.06 1.17
87 Conquest Capital Group
Conquest Macro
8.03 9.13 48.11 0.57
88 GIC Trading LLC
Global Diversified Trading Program
7.86 9.05 58.08 0.43
89 Mobius Asset Management
Energy Weighted Program
7.81 0.93
90 Trigon Investment Advisors, LLC
Global Macro Program (LIQUIDATED as of July 31, 2017)
7.57 3.47 18.93 0.56
91 FORT LP
Fort Global Diversified
7.56 33.18 140.12 0.85
92 Ansbacher Investment Management
Market Neutral Put Skew Program
7.55 45.38 77.74 0.74
93 Estlander & Partners
Alpha Trend
7.28 31.22 84.55 0.85
94 ReSolve Asset Management Inc.
Resolve Acorn Diversified Program
6.89 0.75
95 C-View Limited
Currency Managed Account Program
6.77 22.38 33.40 1.51
96 Quantitative Investment Management
Quantitative Global Program
6.51 53.70 1.33
97 Amplitude Capital International Limited
Dynamic Strategy
6.43 0.75
98 SMN Investment Services GmbH
smn Diversified Futures Fund (1996)
6.06 -6.80 45.40 0.49
99 Red Rock Capital, LLC
Systematic Global Macro
5.69 18.51 0.79
100 Transtrend B.V.
DTP – Standard Risk (EUR)
5.59 18.57 46.66 0.96
101 Campbell & Company, LP
Campbell Managed Futures Composite (f/k/a FME Large)
5.48 25.29 75.62 0.72
102 John Locke Investments
Cyril Systematic Program
5.47 26.47 55.75 0.57
103 Midwest Trading Partners, LLC
Micro-Arbitrage Program (MAP)
5.25 2.72
104 IKOS
The IKOS Hedge Fund
4.33 23.14 66.57 1.32
105 Rhicon Currency Management
Rhicon Systematic Currency Program
3.91 27.14 0.96
106 DUNN Capital Management
World Monetary and Agriculture Program (WMA)
3.62 -23.51 2.05 0.52
107 Saxon Investment Corporation
Diversified Program
2.88 -1.06 73.02 0.61
108 Witter & Lester, Inc.
Redstone
2.68 9.08 16.58 0.82
109 Eckhardt Trading Company
Evolution Strategies
2.56 16.56 48.90 0.80
110 Mesirow Financial Investment Management, Inc.
Extended Markets Alpha Program
2.55 1.96
111 Manning & Napier
MN Xenon Global Fixed Income Program
2.38 1.03
112 Rhicon Currency Management
Rhicon Strategic Program
2.02 30.80 0.94
113 MERIT Alternative Investments GmbH
Futures Portfolio
1.35 5.67 18.02 0.69
114 Eckhardt Trading Company
Evolution Strategies 1.2X
1.30 17.73 61.65 0.81
115 AIS Capital Management, L.P.
MAAP (2x-4x) Composite
1.26 61.23 108.94 0.59
116 Insch Capital Management SA
Interbank Currency Program - 3X Leverage
1.25 46.21 198.24 1.03
117 Clarke Capital Management
Jupiter
1.21 0.71
118 Dominion Capital
Sapphire Program
0.47 1.28
119 Parizek Capital
Futures Trading Program
0.03 -30.62 -8.51 0.18
120 AIMhedge Management Ltd.
AIM Classic Fund EUR (Institutional)
0.01 0.59
121 Argus Capital Management Pty Ltd
Dynamic Multi-strategy Program
-0.09 24.00 40.56 0.69
122 Covenant Capital Management
Aggressive Program
-0.48 1.53
123 Superfund Group
Superfund Blue SPC Class A (EUR)
-0.80 -0.02
124 DUNN Capital Management
D'Best Futures Fund, L.P.
-0.86 -7.59 24.39 0.39
125 Alee Capital Management, LLC
Poniente Program
-0.96 1.90 9.15 0.34
126 Sequent Capital
Sequent CTA - Fundamental Diversified (V12)
-1.05 0.58
127 Mobius Asset Management
Diversified Program
-1.14 0.02
128 Trigon Investment Advisors, LLC
Foreign Exchange Program
-2.22 -7.46 52.28 0.62
129 Estlander & Partners
Global Markets
-3.07 0.36 16.99 0.46
130 Covenant Capital Management
Original Program
-3.83 73.19 280.97 0.80
131 Clarke Capital Management
FX Plus
-4.15 0.40
132 Capricorn Strategies Limited
Capricorn fxST (Lev1)
-4.55 1.82 16.53 1.35
133 AIS Capital Management, L.P.
MAAP (3x-6x) Composite
-4.56 88.83 167.55 0.61
134 Mark J. Walsh Company
Standard Program
-5.17 9.22 78.08 0.66
135 Kelly Angle Inc.
Genesis Program
-5.76 37.67 88.40 0.54
136 RAM Management Group
RAM MRTP 1X-Conservative
-6.15 4.06 11.69 0.49
137 Hawksbill Capital Management
Global Diversified
-6.34 -13.50 50.50 0.59
138 Mobius Asset Management
Custom Trading Program
-7.05 7.44 93.43 0.69
139 Clarke Capital Management
Worldwide
-7.32 -13.23 31.97 0.63
140 Estlander & Partners
Global XL
-7.48 -4.26 26.10 0.55
141 Clarke Capital Management
Global Magnum
-15.31 0.27 54.67 0.67
142 Drury Capital
Diversified Trend-Following Program
-15.40 -18.75 7.86 0.64
143 RAM Management Group
MRTP Aggressive
-18.58 7.04 20.38 0.31
144 Clarke Capital Management
Global Basic
-20.54 12.58 60.49 0.71
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