2004 IASG CTA Index 3 Year Rolling

Rank CTA/Program 1yr 3yr 5yr Sharpe
1 Rosetta Capital Management
Rosetta Trading Program
93.35 961.74 1.30
2 Superfund Group
Superfund Green Master
19.92 252.62 1.04
3 Di Tomasso Group Inc.
Equilibrium Program
71.47 221.04 1.15
4 Covenant Capital Management
Original Program
28.15 181.91 112.18 0.73
5 Range Wise
Investment Program
42.13 164.31 175.87 0.85
6 LJM Partners
LJM Aggressive Strategy
53.77 147.53 190.43 0.78
7 Abraham Trading Company
Diversified Program
15.38 144.87 231.32 0.74
8 Insch Capital Management SA
Interbank Currency Program - 3X Leverage
17.75 140.19 351.06 1.16
9 Superfund Group
Superfund Green GCT USD
11.19 137.68 374.94 0.99
10 Red Oak Commodity Advisors
Investment Program
-1.80 132.81 103.23 0.61
11 Saxon Investment Corporation
Aggressive Diversified Program
4.88 116.48 247.11 0.67
12 FORT LP
Fort Global Diversified
19.16 114.86 164.98 0.89
13 Clarke Capital Management
Millennium
10.49 109.21 196.53 0.81
14 Mark J. Walsh Company
Standard Program
19.35 94.60 155.27 0.72
15 AIS Capital Management, L.P.
MAAP (3x-6x) Composite
36.33 93.16 115.60 0.63
16 Superfund Group
Superfund Green Q-AG
10.97 90.96 179.53 0.94
17 Tactical Investment Management
Tactical Institutional Commodity Program
8.03 88.09 190.20 0.84
18 NuWave Investment Management, LLC
NuWave Investment Partners LP
25.23 87.69 1.09
19 NuWave Investment Management, LLC
Combined Futures Portfolio
25.23 87.69 1.09
20 Mobius Asset Management
Custom Trading Program
3.96 87.15 0.92
21 Saxon Investment Corporation
Diversified Program
2.59 79.41 140.20 0.66
22 Clarke Capital Management
Global Magnum
7.74 66.20 184.75 0.81
23 Silicon Valley Quantitative Advisors
US Quantitative Portfolio (UQP)
33.85 63.86 200.40 0.74
24 Clarke Capital Management
Global Basic
14.84 63.71 147.77 0.81
25 AIS Capital Management, L.P.
MAAP (2x-4x) Composite
23.91 60.59 77.68 0.60
26 Warrington Asset Management
Warrington Strategic Program
16.78 59.25 101.54 2.17
27 Clarke Capital Management
Worldwide
4.51 58.95 61.57 0.86
28 Hawksbill Capital Management
Global Diversified
-8.84 58.61 142.91 0.64
29 Trigon Investment Advisors, LLC
Foreign Exchange Program
-4.79 56.67 0.92
30 Transtrend B.V.
DTP – Enhanced Risk (EUR)
13.18 54.79 114.09 1.14
31 Transtrend B.V.
DTP – Enhanced Risk (USD)
12.87 54.59 119.55 1.16
32 Mulvaney Capital Management
The Mulvaney Global Markets Fund
-0.10 54.19 104.84 0.62
33 Kelly Angle Inc.
Genesis Program
11.18 52.15 0.56
34 Rabar Market Research
Diversified Program
-2.86 50.07 54.01 0.66
35 Campbell & Company, LP
Campbell Managed Futures Composite (f/k/a FME Large)
6.96 49.93 82.04 0.73
36 GIC Trading LLC
Global Diversified Trading Program
3.17 49.55 112.64 0.49
37 Estlander & Partners
Alpha Trend
6.24 49.42 75.73 0.87
38 Ansbacher Investment Management
Market Neutral Put Skew Program
21.68 48.77 68.43 0.75
39 ISAM
ISAM Systematic Trend Fund
2.80 46.94 0.77
40 Eckhardt Trading Company
Evolution Strategies 1.2X
5.64 45.05 95.12 0.85
41 Chesapeake Capital
Diversified (LV)
4.84 43.33 38.79 0.79
42 Briarwood Capital Management, Inc.
Diversified Trading Program
1.24 42.50 0.83
43 Sunrise Capital Partners
Sunrise Expanded Diversified Program
5.96 42.47 75.19 0.66
44 Drury Capital
Diversified Trend-Following Program
7.27 42.40 98.91 0.92
45 SMN Investment Services GmbH
smn Diversified Futures Fund (1996)
-8.77 42.32 65.46 0.57
46 KMJ Investments
KMJ Investments
21.47 42.31 52.75 1.09
47 IKOS
The IKOS Hedge Fund
4.38 41.19 108.00 1.30
48 DUNN Capital Management
D'Best Futures Fund, L.P.
3.80 39.72 102.45 0.46
49 W.G. Wealth Guardian Ltd.
SAFI2 Program
5.08 38.82 64.18 1.74
50 Crabel Capital Management
Crabel Multi-Product
6.25 37.83 99.87 0.74
51 John Locke Investments
Cyril Systematic Program
10.05 35.53 0.65
52 Conquest Capital Group
Conquest Macro
-0.67 34.80 97.51 0.65
53 Transtrend B.V.
DTP – Standard Risk (EUR)
8.27 33.93 67.53 1.09
54 Eckhardt Trading Company
Evolution Strategies
4.55 33.56 65.94 0.84
55 Dreiss Research Corporation
Diversified Program
-8.98 32.89 48.86 0.55
56 Estlander & Partners
Global XL
-0.19 31.46 87.27 0.62
57 Millburn Corporation
Diversified Program
-0.56 28.89 41.20 0.94
58 Witter & Lester, Inc.
Stock Index Futures Trading Program
44.04 28.46 27.28 0.56
59 Hyman Beck and Company
Global Portfolio
-4.75 28.31 36.85 0.68
60 Eclipse Capital Management
Global Monetary
-10.75 26.23 25.20 0.65
61 C-View Limited
Currency Managed Account Program
12.08 22.18 47.43 1.64
62 Rotella Capital Management
Rotella Polaris Program (Diversified)
-4.16 19.94 63.85 1.33
63 Capricorn Strategies Limited
Capricorn fxST (Lev1)
4.62 19.73 50.37 1.90
64 Quality Capital Management
Global Diversified Programme
-9.72 18.67 50.66 0.67
65 DUNN Capital Management
World Monetary and Agriculture Program (WMA)
-11.71 17.79 34.84 0.57
66 Alder Capital DAC
Alder Global 20
-8.74 16.99 0.49
67 Estlander & Partners
Global Markets
0.17 16.78 45.75 0.61
68 Mondiale Asset Management
Mondiale Trading Program
1.08 14.24 61.95 1.42
69 EMC Capital Advisors, LLC
Classic
-13.02 14.16 53.78 0.63
70 Witter & Lester, Inc.
Redstone
6.21 13.52 11.97 0.89
71 Southwest Managed Investments, LLC
Global Diversified
-1.69 12.01 0.24
72 MERIT Alternative Investments GmbH
Futures Portfolio
0.07 11.76 38.97 0.80
73 Argus Capital Management Pty Ltd
Dynamic Multi-strategy Program
-1.61 11.53 78.51 0.69
74 Kaiser Trading Group
Kaiser Global Diversified Program - Class B
4.67 10.98 40.45 0.93
75 M.S. Capital Management
Global Diversified Program
7.86 10.50 58.83 0.30
76 Trigon Investment Advisors, LLC
Global Macro Program (LIQUIDATED as of July 31, 2017)
-4.20 10.12 0.59
77 Alee Capital Management, LLC
Mistral Program
-4.26 8.28 30.40 0.44
78 Kinkopf Capital Management
KCM S&P (Proprietary)
27.98 7.73 199.66 0.73
79 RAM Management Group
MRTP Aggressive
-4.51 7.39 84.07 0.32
80 RAM Management Group
RAM MRTP 1X-Conservative
-0.86 6.42 23.95 0.53
81 Alee Capital Management, LLC
Poniente Program
-2.62 4.32 33.00 0.38
82 Parizek Capital
Futures Trading Program
-26.35 -2.88 0.30
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