2001 IASG CTA Index 3 Year Rolling

Rank CTA/Program 1yr 3yr 5yr Sharpe
1 Kinkopf Capital Management
KCM S&P (Proprietary)
66.81 213.95 1.11
2 Saxon Investment Corporation
Aggressive Diversified Program
14.39 99.68 168.77 0.64
3 LJM Partners
LJM Aggressive Strategy
21.03 88.37 0.56
4 Superfund Group
Superfund Green Q-AG
18.83 83.53 260.10 0.98
5 Clarke Capital Management
Global Magnum
16.48 74.87 0.93
6 KMJ Investments
KMJ Investments
-0.44 72.45 115.19 1.20
7 Crabel Capital Management
Crabel Multi-Product
13.83 66.68 0.73
8 IKOS
The IKOS Hedge Fund
-4.05 63.40 1.23
9 AIS Capital Management, L.P.
MAAP (3x-6x) Composite
2.84 60.71 -18.72 0.58
10 Warrington Asset Management
Warrington Strategic Program
1.93 60.18 160.98 2.06
11 Clarke Capital Management
Global Basic
-1.22 59.38 244.25 0.95
12 Argus Capital Management Pty Ltd
Dynamic Multi-strategy Program
27.88 58.75 193.35 0.86
13 Red Oak Commodity Advisors
Investment Program
-18.84 56.54 82.66 0.51
14 Drury Capital
Diversified Trend-Following Program
20.62 54.30 1.11
15 Saxon Investment Corporation
Diversified Program
9.34 53.75 98.56 0.62
16 Kaiser Trading Group
Kaiser Global Diversified Program - Class B
19.97 53.33 1.22
17 RAM Management Group
MRTP Aggressive
18.54 50.31 0.40
18 Clarke Capital Management
Millennium
-0.55 49.08 0.76
19 Alee Capital Management, LLC
Mistral Program
2.70 48.77 0.72
20 C-View Limited
Currency Managed Account Program
15.72 47.70 213.50 1.92
21 AIS Capital Management, L.P.
MAAP (2x-4x) Composite
3.22 45.47 -0.91 0.53
22 W.G. Wealth Guardian Ltd.
SAFI2 Program
9.12 43.83 2.14
23 Abraham Trading Company
Diversified Program
19.16 41.75 64.07 0.68
24 Capricorn Strategies Limited
Capricorn fxST (Lev1)
9.21 41.12 2.50
25 Estlander & Partners
Global XL
14.66 40.83 72.36 0.66
26 Ansbacher Investment Management
Market Neutral Put Skew Program
18.41 39.79 190.49 0.73
27 Transtrend B.V.
DTP – Enhanced Risk (USD)
26.36 38.89 133.61 1.17
28 Mondiale Asset Management
Mondiale Trading Program
8.18 38.35 1.97
29 Rotella Capital Management
Rotella Polaris Program (Diversified)
15.36 37.94 115.12 1.54
30 MERIT Alternative Investments GmbH
Futures Portfolio
10.10 36.91 1.06
31 Estlander & Partners
Alpha Trend
5.08 36.11 84.58 0.85
32 Alee Capital Management, LLC
Poniente Program
-3.66 34.65 0.81
33 Quality Capital Management
Global Diversified Programme
18.44 32.17 79.45 0.82
34 Eckhardt Trading Company
Evolution Strategies 1.2X
8.70 30.42 186.00 0.90
35 Campbell & Company, LP
Campbell Managed Futures Composite (f/k/a FME Large)
6.20 29.69 84.15 0.71
36 DUNN Capital Management
World Monetary and Agriculture Program (WMA)
1.12 29.52 112.62 0.62
37 Sunrise Capital Partners
Sunrise Expanded Diversified Program
13.62 28.43 95.05 0.66
38 GIC Trading LLC
Global Diversified Trading Program
24.93 26.58 0.31
39 Tactical Investment Management
Tactical Institutional Commodity Program
16.24 23.11 84.39 0.81
40 EMC Capital Advisors, LLC
Classic
14.50 19.76 42.03 0.68
41 Eckhardt Trading Company
Evolution Strategies
5.34 18.61 120.11 0.87
42 M.S. Capital Management
Global Diversified Program
22.97 17.47 0.38
43 Clarke Capital Management
Worldwide
-13.32 16.53 93.64 0.85
44 Hawksbill Capital Management
Global Diversified
22.76 15.55 188.14 0.66
45 FORT LP
Fort Global Diversified
12.90 15.43 67.04 0.82
46 RAM Management Group
RAM MRTP 1X-Conservative
3.18 15.12 32.78 0.64
47 DUNN Capital Management
D'Best Futures Fund, L.P.
5.15 14.23 39.80 0.46
48 SMN Investment Services GmbH
smn Diversified Futures Fund (1996)
8.11 12.42 47.77 0.54
49 Dreiss Research Corporation
Diversified Program
-7.92 11.57 6.02 0.56
50 Eclipse Capital Management
Global Monetary
-5.08 11.40 35.64 0.68
51 Witter & Lester, Inc.
Redstone
-7.42 9.89 22.12 0.90
52 Millburn Corporation
Diversified Program
-4.07 9.76 36.28 0.99
53 Mark J. Walsh Company
Standard Program
-4.88 8.34 86.91 0.70
54 Hyman Beck and Company
Global Portfolio
20.47 7.52 56.26 0.74
55 Range Wise
Investment Program
-8.94 0.59 -16.92 0.65
56 Chesapeake Capital
Diversified (LV)
-7.98 0.03 27.92 0.80
57 Witter & Lester, Inc.
Stock Index Futures Trading Program
-24.63 -0.22 36.14 0.56
58 Rabar Market Research
Diversified Program
0.76 -7.04 28.70 0.65
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