2003 IASG CTA Index 3 Year Rolling

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