2006 IASG CTA Index 3 Year Rolling

Rank CTA/Program 1yr 3yr 5yr Sharpe
1 Di Tomasso Group Inc.
Equilibrium Program
30.27 239.97 536.52 1.21
2 Rosetta Capital Management
Rosetta Trading Program
28.23 202.30 1,560.01 1.18
3 LJM Partners
LJM Aggressive Strategy
37.72 201.14 384.77 0.91
4 LJM Partners
LJM Moderately Aggressive Strategy
31.36 139.83 4.13
5 Heyden & Steindl GmbH
TOMAC2
26.19 97.61 1.11
6 Salus Alpha Capital Ltd
Salus Alpha Directional Markets (DMX)
18.58 93.68 1.75
7 AIS Capital Management, L.P.
MAAP (3x-6x) Composite
-4.56 88.83 167.55 0.61
8 Paskewitz Asset Management LLC
Contrarian S&P Stock Index
38.98 85.92 1.97
9 Witter & Lester, Inc.
Stock Index Futures Trading Program
17.87 79.02 59.66 0.58
10 Quantmetrics Capital Management LLP
Premier 12V Strategy
12.93 75.24 2.51
11 Covenant Capital Management
Original Program
-3.83 73.19 280.97 0.80
12 Dreiss Research Corporation
Diversified Program
43.11 70.80 149.37 0.65
13 NuWave Investment Management, LLC
NuWave Investment Partners LP
12.65 64.94 147.21 1.10
14 AIS Capital Management, L.P.
MAAP (2x-4x) Composite
1.26 61.23 108.94 0.59
15 Mulvaney Capital Management
The Mulvaney Global Markets Fund
21.94 61.22 148.83 0.74
16 NuWave Investment Management, LLC
Combined Futures Portfolio
11.87 60.60 140.71 1.06
17 Alee Capital Management, LLC
Mistral Program
31.13 58.59 79.34 0.66
18 Red Oak Commodity Advisors
Investment Program
30.67 55.48 268.59 0.65
19 Silicon Valley Quantitative Advisors
US Quantitative Portfolio (UQP)
55.42 55.32 90.15 0.63
20 Quantitative Investment Management
Quantitative Global Program
6.51 53.70 1.33
21 Keck Capital Management LLC
The Keck Program
25.92 53.48 0.73
22 Blackheath Fund Management Inc.
Blackheath Offshore Limited Class A
15.52 51.78 0.60
23 KMJ Investments
KMJ Investments
28.81 49.44 75.07 1.06
24 Warrington Asset Management
Warrington Strategic Program
14.57 49.18 103.42 2.21
25 QCM
Global Diversified Programme
35.01 48.30 94.92 0.78
26 Insch Capital Management SA
Interbank Currency Program - 3X Leverage
1.25 46.21 198.24 1.03
27 Ansbacher Investment Management
Market Neutral Put Skew Program
7.55 45.38 77.74 0.74
28 Tactical Investment Management
Tactical Institutional Commodity Program
24.26 43.60 150.03 0.82
29 Range Wise
Investment Program
12.91 42.11 164.27 0.76
30 FORT LP
Fort Global Contrarian
11.10 41.16 1.26
31 Kelly Angle Inc.
Genesis Program
-5.76 37.67 88.40 0.54
32 Transtrend B.V.
DTP – Enhanced Risk (USD)
12.04 34.03 83.57 1.11
33 Transtrend B.V.
DTP – Enhanced Risk (EUR)
11.58 33.82 83.02 1.04
34 FORT LP
Fort Global Diversified
7.56 33.18 140.12 0.85
35 Estlander & Partners
Alpha Trend
7.28 31.22 84.55 0.85
36 Rhicon Currency Management
Rhicon Strategic Program
2.02 30.80 0.94
37 Kinkopf Capital Management
KCM S&P (Proprietary)
11.17 30.69 10.02 0.61
38 Briarwood Capital Management, Inc.
Diversified Trading Program
17.92 29.73 82.61 0.92
39 Kaiser Trading Group
Kaiser Global Diversified Program - Class B
10.44 27.14 34.82 0.95
40 Rhicon Currency Management
Rhicon Systematic Currency Program
3.91 27.14 0.96
41 John Locke Investments
Cyril Systematic Program
5.47 26.47 55.75 0.57
42 Campbell & Company, LP
Campbell Managed Futures Composite (f/k/a FME Large)
5.48 25.29 75.62 0.72
43 Argus Capital Management Pty Ltd
Dynamic Multi-strategy Program
-0.09 24.00 40.56 0.69
44 Superfund Group
Superfund Green Master
21.39 23.39 262.81 0.80
45 IKOS
The IKOS Hedge Fund
4.33 23.14 66.57 1.32
46 Superfund Group
Superfund Green L.P. Series B
19.74 23.00 0.53
47 Crabel Capital Management
Crabel Multi-Product
8.41 22.78 59.27 0.72
48 C-View Limited
Currency Managed Account Program
6.77 22.38 33.40 1.51
49 M.S. Capital Management
Global Diversified Program
17.97 21.19 24.15 0.31
50 Transtrend B.V.
DTP – Standard Risk (EUR)
5.59 18.57 46.66 0.96
51 Superfund Group
Superfund Green Q-AG
10.47 18.54 103.99 0.83
52 Red Rock Capital, LLC
Systematic Global Macro
5.69 18.51 0.79
53 ISAM
ISAM Systematic Trend Fund
16.45 18.29 69.08 0.69
54 Eckhardt Trading Company
Evolution Strategies 1.2X
1.30 17.73 61.65 0.81
55 Chesapeake Capital
Diversified (LV)
10.88 17.58 60.74 0.77
56 Eckhardt Trading Company
Evolution Strategies
2.56 16.56 48.90 0.80
57 Millburn Ridgefield Corporation
Diversified Program
9.06 15.00 49.06 0.92
58 Rotella Capital Management
Rotella Polaris Program (Diversified)
9.87 14.41 43.18 1.29
59 Superfund Group
Superfund Green GCT USD
13.17 14.35 144.45 0.78
60 Superfund Group
Superfund Green L.P. Series A
12.95 13.89 0.44
61 Sunrise Capital Partners
Sunrise Expanded Diversified Program
9.05 12.73 51.58 0.63
62 Clarke Capital Management
Global Basic
-20.54 12.58 60.49 0.71
63 Mondiale Asset Management
Mondiale Trading Program
10.88 12.22 26.83 1.32
64 EMC Capital Advisors, LLC
Classic
17.82 12.21 47.26 0.62
65 Abraham Trading Company
Diversified Program
8.93 11.91 137.52 0.68
66 Alder Capital DAC
Alder Global 20
9.20 11.08 42.40 0.53
67 Mark J. Walsh Company
Standard Program
-5.17 9.22 78.08 0.66
68 Conquest Capital Group
Conquest Macro
8.03 9.13 48.11 0.57
69 Witter & Lester, Inc.
Redstone
2.68 9.08 16.58 0.82
70 Hyman Beck and Company
Global Portfolio
26.26 9.05 46.90 0.65
71 GIC Trading LLC
Global Diversified Trading Program
7.86 9.05 58.08 0.43
72 Mobius Asset Management
Custom Trading Program
-7.05 7.44 93.43 0.69
73 RAM Management Group
MRTP Aggressive
-18.58 7.04 20.38 0.31
74 MERIT Alternative Investments GmbH
Futures Portfolio
1.35 5.67 18.02 0.69
75 W.G. Wealth Guardian Ltd.
SAFI2 Program
9.48 5.41 39.26 1.39
76 Clarke Capital Management
Millennium
9.69 4.85 98.55 0.64
77 RAM Management Group
RAM MRTP 1X-Conservative
-6.15 4.06 11.69 0.49
78 Trigon Investment Advisors, LLC
Global Macro Program (LIQUIDATED as of July 31, 2017)
7.57 3.47 18.93 0.56
79 Saxon Investment Corporation
Aggressive Diversified Program
9.92 2.88 112.34 0.61
80 Alee Capital Management, LLC
Poniente Program
-0.96 1.90 9.15 0.34
81 Capricorn Strategies Limited
Capricorn fxST (Lev1)
-4.55 1.82 16.53 1.35
82 Estlander & Partners
Global Markets
-3.07 0.36 16.99 0.46
83 Clarke Capital Management
Global Magnum
-15.31 0.27 54.67 0.67
84 Southwest Managed Investments, LLC
Global Diversified
14.82 -0.09 13.82 0.17
85 Rabar Market Research
Diversified Program
9.06 -0.25 54.12 0.61
86 Saxon Investment Corporation
Diversified Program
2.88 -1.06 73.02 0.61
87 Estlander & Partners
Global XL
-7.48 -4.26 26.10 0.55
88 SMN Investment Services GmbH
smn Diversified Futures Fund (1996)
6.06 -6.80 45.40 0.49
89 Trigon Investment Advisors, LLC
Foreign Exchange Program
-2.22 -7.46 52.28 0.62
90 DUNN Capital Management
D'Best Futures Fund, L.P.
-0.86 -7.59 24.39 0.39
91 Eclipse Capital Management
Global Monetary
14.63 -10.30 26.87 0.59
92 Clarke Capital Management
Worldwide
-7.32 -13.23 31.97 0.63
93 Hawksbill Capital Management
Global Diversified
-6.34 -13.50 50.50 0.59
94 Drury Capital
Diversified Trend-Following Program
-15.40 -18.75 7.86 0.64
95 DUNN Capital Management
World Monetary and Agriculture Program (WMA)
3.62 -23.51 2.05 0.52
96 Parizek Capital
Futures Trading Program
0.03 -30.62 -8.51 0.18
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