2007 IASG CTA Index 3 Year Rolling

Rank CTA/Program 1yr 3yr 5yr Sharpe
1 Di Tomasso Group Inc.
Equilibrium Program
44.65 186.80 734.87 1.26
2 AIS Capital Management, L.P.
MAAP (3x-6x) Composite
84.28 155.25 442.08 0.69
3 LJM Partners
LJM Aggressive Strategy
21.25 137.45 513.71 0.91
4 Alee Capital Management, LLC
Mistral Program
39.18 130.54 181.43 0.78
5 Paskewitz Asset Management LLC
Contrarian S&P Stock Index
39.20 120.64 1.45
6 LJM Partners
LJM Moderately Aggressive Strategy
26.52 119.55 2.59
7 Heyden & Steindl GmbH
TOMAC2
41.25 109.55 1.15
8 Red Oak Commodity Advisors
Investment Program
28.92 104.12 251.83 0.68
9 AIS Capital Management, L.P.
MAAP (2x-4x) Composite
53.81 100.13 234.17 0.68
10 Blackheath Fund Management Inc.
Blackheath Offshore Limited Class A
32.04 97.06 0.69
11 Covenant Capital Management
Aggressive Program
4.09 95.29 1.19
12 Quality Capital Management
Global Diversified Programme
17.47 92.96 117.08 0.77
13 Salus Alpha Capital Ltd
Salus Alpha Directional Markets (DMX)
35.53 91.40 1.65
14 Dreiss Research Corporation
Diversified Program
1.16 89.84 106.10 0.61
15 RAM Management Group
MRTP Aggressive
57.97 77.07 90.90 0.44
16 Briarwood Capital Management, Inc.
Diversified 2XL
11.51 72.14 1.15
17 Somers Brothers Capital
Diversified Futures Program #1
-11.82 69.30 0.74
18 Revolution Capital Management
Alpha Fund
57.39 69.25 1.09
19 Quantitative Investment Management
Quantitative Global Program
29.53 63.39 1.61
20 Quantmetrics Capital Management LLP
Premier 12V Strategy
24.76 63.06 2.50
21 Rosetta Capital Management
Rosetta Trading Program
4.28 63.04 673.33 1.09
22 Eckhardt Trading Company
Evolution Strategies 1.2X
39.28 55.22 97.11 0.84
23 Robust Methods LLC
Macro Managed Account
16.43 54.47 1.12
24 Keck Capital Management LLC
The Keck Program
6.85 53.68 0.60
25 Crabel Capital Management
Crabel Multi-Product
32.90 53.57 66.20 0.83
26 KMJ Investments
KMJ Investments
24.09 52.66 64.34 1.08
27 EMC Capital Advisors, LLC
Classic
17.32 51.33 77.34 0.62
28 Mobius Asset Management
Energy Weighted Program
23.81 50.56 1.41
29 Quantica Capital AG
Quantica Managed Futures
5.90 49.63 1.07
30 AIMhedge Management Ltd.
AIM Classic Fund EUR (Institutional)
22.00 49.59 0.79
31 Eckhardt Trading Company
Evolution Strategies
34.11 49.51 79.78 0.85
32 Warrington Asset Management
Warrington Strategic Program
15.01 46.91 102.47 2.03
33 Welton Investment Partners
Welton Global
11.00 46.59 0.86
34 Transtrend B.V.
DTP – Enhanced Risk (USD)
22.38 45.32 77.92 1.13
35 Systematic Alpha Management
Systematic Alpha Futures Program
6.02 44.30 2.16
36 IKOS
The IKOS Hedge Fund
22.00 43.93 80.49 1.43
37 Alee Capital Management, LLC
Poniente Program
37.52 43.90 53.21 0.54
38 Transtrend B.V.
DTP – Enhanced Risk (EUR)
21.40 43.54 75.94 1.06
39 Tactical Investment Management
Tactical Institutional Commodity Program
6.81 41.98 98.24 0.77
40 Mobius Asset Management
Diversified Program
22.74 40.19 0.38
41 Witter & Lester, Inc.
Stock Index Futures Trading Program
12.61 39.96 95.47 0.58
42 Transtrend B.V.
DTP – Enhanced Risk (JPY)
19.87 39.82 1.00
43 Millburn Corporation
Multi-Markets Program
13.23 38.68 0.94
44 Covenant Capital Management
Original Program
0.93 36.40 165.23 0.73
45 Sequent Capital
Sequent CTA - Fundamental Diversified (V12)
19.49 36.27 0.97
46 Saxon Investment Corporation
Aggressive Diversified Program
38.59 35.95 169.22 0.64
47 Kaiser Trading Group
Kaiser Global Diversified Program - Class B
11.76 35.76 49.77 0.98
48 John Locke Investments
Cyril Systematic Program
17.49 35.02 67.90 0.65
49 Estlander & Partners
Alpha Trend
9.24 34.93 85.41 0.85
50 Four Seasons Commodities Corp
Lone Star Program
13.95 34.84 1.38
51 Briarwood Capital Management, Inc.
Diversified Trading Program
5.01 34.56 51.68 0.89
52 Conquest Capital Group
Conquest Macro
20.88 32.81 32.31 0.64
53 NuWave Investment Management, LLC
NuWave Investment Partners LP
0.69 32.61 107.43 0.95
54 Clarke Capital Management
Global Basic
35.23 32.57 87.59 0.74
55 Argus Capital Management Pty Ltd
Dynamic Multi-strategy Program
4.92 32.22 33.02 0.66
56 Millburn Corporation
Diversified Program
14.25 32.12 36.44 0.91
57 Jaguar Investments Ltd
Vario Capital Strategy
3.61 30.10 1.00
58 Clarke Capital Management
FX Plus
4.33 28.25 0.37
59 NuWave Investment Management, LLC
Combined Futures Portfolio
-0.11 28.10 100.38 0.91
60 Alder Capital DAC
Alder Global 20
5.15 27.99 29.76 0.52
61 Midwest Trading Partners, LLC
Micro-Arbitrage Program (MAP)
3.82 27.84 2.31
62 ISAM
ISAM Systematic Trend Fund
10.85 27.55 57.98 0.68
63 Rhicon Currency Management
Rhicon Strategic Program
11.66 26.99 1.11
64 Insch Capital Management SA
Interbank Currency Program - 3X Leverage
1.17 25.62 122.90 0.95
65 Ansbacher Investment Management
Market Neutral Put Skew Program
5.11 25.58 87.19 0.72
66 Mobius Asset Management
Custom Trading Program
20.40 24.44 30.65 0.76
67 Mulvaney Capital Management
The Mulvaney Global Markets Fund
-23.14 24.03 60.21 0.52
68 FORT LP
Fort Global Contrarian
3.87 23.78 82.89 1.09
69 Rotella Capital Management
Rotella Polaris Program (Diversified)
3.56 23.63 22.91 1.22
70 RAM Management Group
RAM MRTP 1X-Conservative
17.10 22.91 29.14 0.55
71 Transtrend B.V.
DTP – Standard Risk (EUR)
12.23 22.89 41.11 0.98
72 Rhicon Currency Management
Rhicon Systematic Currency Program
16.16 22.45 1.18
73 FORT LP
Fort Global Diversified
9.20 22.04 68.07 0.84
74 Clarke Capital Management
Worldwide
43.79 19.38 57.47 0.70
75 Saxon Investment Corporation
Diversified Program
23.07 18.68 77.47 0.63
76 GIC Trading LLC
Global Diversified Trading Program
12.26 18.66 41.27 0.46
77 Rabar Market Research
Diversified Program
15.16 18.26 42.53 0.62
78 Abraham Trading Company
Diversified Program
21.80 18.15 138.10 0.69
79 Mesirow Financial Investment Management, Inc.
Extended Markets Alpha Program
5.56 17.83 1.71
80 Eclipse Capital Management
Global Monetary
17.00 17.59 26.13 0.61
81 Strategic Ag Trading
Chatham
11.01 17.14 0.29
82 Conquest Capital Group
Conquest Select
7.87 17.09 0.45
83 Clarke Capital Management
Global Magnum
25.23 16.55 83.05 0.69
84 Kelly Angle Inc.
Genesis Program
-5.92 16.48 -3.68 0.47
85 SMN Investment Services GmbH
smn Diversified Futures Fund (1996)
13.56 16.02 41.71 0.51
86 MERIT Alternative Investments GmbH
Futures Portfolio
9.44 15.57 28.94 0.73
87 Chesapeake Capital
Diversified (LV)
2.28 14.70 48.02 0.73
88 Hawksbill Capital Management
Global Diversified
20.24 14.09 32.70 0.59
89 Red Rock Capital, LLC
Systematic Global Macro
8.58 13.76 0.77
90 Range Wise
Investment Program
13.71 13.69 106.13 0.76
91 Manning & Napier
MN Xenon Global Fixed Income Program
2.47 13.58 0.65
92 W.G. Wealth Guardian Ltd.
SAFI2 Program
13.20 13.56 38.34 1.43
93 C-View Limited
Currency Managed Account Program
3.89 13.44 30.16 1.45
94 Xplor Capital Management, LLC
Global CTA Program
-22.68 10.74 0.15
95 Sunrise Capital Partners
Sunrise Expanded Diversified Program
3.93 10.58 37.60 0.61
96 Mondiale Asset Management
Mondiale Trading Program
-0.41 10.57 24.92 1.19
97 Parizek Capital
Futures Trading Program
17.35 10.54 -3.52 0.27
98 Southwest Managed Investments, LLC
Global Diversified
8.58 10.33 17.55 0.23
99 Mark J. Walsh Company
Standard Program
19.17 9.06 44.90 0.67
100 Clarke Capital Management
Millennium
14.83 8.98 69.36 0.64
101 M.S. Capital Management
Global Diversified Program
-3.52 8.40 10.30 0.26
102 Witter & Lester, Inc.
Redstone
5.11 7.96 20.52 0.84
103 Hyman Beck and Company
Global Portfolio
-5.85 7.80 13.95 0.61
104 Trigon Investment Advisors, LLC
Global Macro Program (LIQUIDATED as of July 31, 2017)
-2.41 5.41 8.04 0.44
105 Superfund Group
Superfund Green Q-AG
-1.81 4.89 44.69 0.76
106 Superfund Group
Superfund Green L.P. Series B
-2.60 2.56 53.01 0.45
107 Kinkopf Capital Management
KCM S&P (Proprietary)
0.10 2.23 36.77 0.56
108 Campbell & Company, LP
Campbell Managed Futures Composite (f/k/a FME Large)
-13.35 1.50 30.75 0.67
109 Superfund Group
Superfund Green L.P. Series A
-0.93 1.32 35.65 0.38
110 Estlander & Partners
Global Markets
0.83 1.02 11.50 0.40
111 Silicon Valley Quantitative Advisors
US Quantitative Portfolio (UQP)
-14.44 -0.72 30.66 0.53
112 Superfund Group
Superfund Green Master
-4.04 -1.27 93.59 0.70
113 Estlander & Partners
Global XL
-0.42 -4.48 14.59 0.51
114 Trigon Investment Advisors, LLC
Foreign Exchange Program
-3.84 -6.54 5.44 0.51
115 DUNN Capital Management
World Monetary and Agriculture Program (WMA)
7.58 -6.79 -28.74 0.51
116 Superfund Group
Superfund Green GCT USD
-9.91 -7.35 30.14 0.67
117 Capricorn Strategies Limited
Capricorn fxST (Lev1)
-7.20 -9.68 -2.40 0.93
118 DUNN Capital Management
D'Best Futures Fund, L.P.
-4.13 -14.65 -23.31 0.37
119 Drury Capital
Diversified Trend-Following Program
5.05 -20.43 7.35 0.61
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