2002 IASG CTA Index 3 Year Rolling

Rank CTA/Program 1yr 3yr 5yr Sharpe
1 Superfund Group
Superfund Green GCT USD
69.21 238.12 1.23
2 Insch Capital Management SA
Interbank Currency Program - 3X Leverage
35.37 154.21 1.12
3 Silicon Valley Quantitative Advisors
US Quantitative Portfolio (UQP)
24.51 128.26 0.89
4 DUNN Capital Management
D'Best Futures Fund, L.P.
55.49 125.31 114.06 0.55
5 Kinkopf Capital Management
KCM S&P (Proprietary)
-19.47 123.98 0.74
6 Hawksbill Capital Management
Global Diversified
36.37 108.85 126.46 0.67
7 Tactical Investment Management
Tactical Institutional Commodity Program
34.71 107.84 87.32 0.88
8 Superfund Group
Superfund Green Q-AG
38.43 102.62 312.94 1.00
9 Conquest Capital Group
Conquest Macro
35.32 98.27 0.91
10 FORT LP
Fort Global Diversified
56.01 92.41 166.84 0.91
11 Mark J. Walsh Company
Standard Program
46.46 92.12 122.52 0.73
12 Clarke Capital Management
Millennium
34.62 90.81 174.90 0.81
13 Crabel Capital Management
Crabel Multi-Product
27.35 84.68 0.84
14 Clarke Capital Management
Global Magnum
5.82 81.30 167.94 0.81
15 Transtrend B.V.
DTP – Enhanced Risk (USD)
26.26 79.32 113.85 1.23
16 GIC Trading LLC
Global Diversified Trading Program
25.62 78.61 0.48
17 Argus Capital Management Pty Ltd
Dynamic Multi-strategy Program
10.87 77.44 128.41 0.82
18 DUNN Capital Management
World Monetary and Agriculture Program (WMA)
54.05 76.36 126.80 0.66
19 Saxon Investment Corporation
Aggressive Diversified Program
9.31 75.28 175.70 0.61
20 Clarke Capital Management
Global Basic
15.69 75.10 161.61 0.88
21 Transtrend B.V.
DTP – Enhanced Risk (EUR)
26.28 74.66 1.31
22 RAM Management Group
MRTP Aggressive
-0.39 70.73 0.34
23 IKOS
The IKOS Hedge Fund
12.59 65.87 1.22
24 Rotella Capital Management
Rotella Polaris Program (Diversified)
20.64 64.81 104.22 1.53
25 Abraham Trading Company
Diversified Program
21.51 64.41 79.79 0.68
26 Saxon Investment Corporation
Diversified Program
19.98 60.64 122.48 0.63
27 Mulvaney Capital Management
The Mulvaney Global Markets Fund
19.37 58.58 0.64
28 Estlander & Partners
Global XL
9.58 56.11 65.36 0.64
29 M.S. Capital Management
Global Diversified Program
8.60 56.10 0.41
30 Eckhardt Trading Company
Evolution Strategies 1.2X
14.23 53.66 102.32 0.88
31 Range Wise
Investment Program
45.78 52.16 16.93 0.79
32 Drury Capital
Diversified Trend-Following Program
5.55 47.43 139.74 0.97
33 Warrington Asset Management
Warrington Strategic Program
15.55 46.24 140.55 2.05
34 Transtrend B.V.
DTP – Standard Risk (EUR)
16.63 45.90 1.22
35 Mondiale Asset Management
Mondiale Trading Program
1.11 43.34 85.50 1.51
36 KMJ Investments
KMJ Investments
32.20 41.89 176.60 1.22
37 Campbell & Company, LP
Campbell Managed Futures Composite (f/k/a FME Large)
16.39 41.32 81.27 0.72
38 Sunrise Capital Partners
Sunrise Expanded Diversified Program
14.49 40.79 85.03 0.67
39 Capricorn Strategies Limited
Capricorn fxST (Lev1)
10.80 39.15 2.38
40 Eckhardt Trading Company
Evolution Strategies
11.07 38.00 67.44 0.86
41 Dreiss Research Corporation
Diversified Program
22.40 37.12 67.80 0.58
42 Millburn Ridgefield Corporation
Diversified Program
24.82 36.73 48.24 0.99
43 SMN Investment Services GmbH
smn Diversified Futures Fund (1996)
16.52 35.47 52.98 0.59
44 W.G. Wealth Guardian Ltd.
SAFI2 Program
13.95 34.77 118.97 1.94
45 QCM
Global Diversified Programme
5.49 33.93 71.77 0.74
46 Estlander & Partners
Global Markets
5.79 32.04 0.74
47 EMC Capital Advisors, LLC
Classic
-2.58 31.23 20.64 0.65
48 Hyman Beck and Company
Global Portfolio
21.38 29.46 52.49 0.76
49 C-View Limited
Currency Managed Account Program
6.48 28.50 124.02 1.79
50 Estlander & Partners
Alpha Trend
8.74 27.88 77.11 0.83
51 Rabar Market Research
Diversified Program
24.52 27.78 43.87 0.68
52 Kaiser Trading Group
Kaiser Global Diversified Program - Class B
0.60 27.31 1.05
53 Alee Capital Management, LLC
Poniente Program
-2.02 24.92 0.53
54 MERIT Alternative Investments GmbH
Futures Portfolio
0.17 24.57 0.86
55 Clarke Capital Management
Worldwide
20.50 22.49 87.19 0.87
56 RAM Management Group
RAM MRTP 1X-Conservative
1.28 17.96 20.77 0.58
57 Red Oak Commodity Advisors
Investment Program
35.07 17.91 71.83 0.54
58 Eclipse Capital Management
Global Monetary
17.68 16.72 37.71 0.70
59 Ansbacher Investment Management
Market Neutral Put Skew Program
-0.20 12.99 72.60 0.65
60 LJM Partners
LJM Aggressive Strategy
-4.23 12.37 0.48
61 Covenant Capital Management
Original Program
44.98 9.12 0.20
62 Chesapeake Capital
Diversified (LV)
11.07 7.55 29.23 0.80
63 Alee Capital Management, LLC
Mistral Program
-11.30 6.82 0.40
64 AIS Capital Management, L.P.
MAAP (2x-4x) Composite
-3.83 6.41 9.22 0.47
65 AIS Capital Management, L.P.
MAAP (3x-6x) Composite
-9.05 1.52 -6.27 0.51
66 Witter & Lester, Inc.
Redstone
1.68 0.29 25.40 0.83
67 Witter & Lester, Inc.
Stock Index Futures Trading Program
-8.02 -8.87 22.44 0.51
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