2008 IASG CTA Index 3 Year Rolling

Rank CTA/Program 1yr 3yr 5yr Sharpe
1 Schindler Capital Management, LLC
Dairy Advantage Program
59.42 1,894.48 1.14
2 Dendrich Ltd
QEP
-60.62 257.71 1.09
3 Dreiss Research Corporation
Diversified Program
140.62 248.37 315.77 0.72
4 Alee Capital Management, LLC
Mistral Program
44.46 163.66 218.86 0.83
5 Alee Capital Management, LLC
Poniente Program
93.35 163.34 170.95 0.76
6 Salus Alpha Capital Ltd
Salus Alpha Directional Markets (DMX)
62.63 161.38 326.90 1.80
7 Parizek Capital
Futures Trading Program
120.73 159.10 79.72 0.62
8 Paskewitz Asset Management LLC
Contrarian S&P Stock Index
32.38 156.11 242.61 1.47
9 QCM
Global Diversified Programme
59.51 152.99 177.88 0.84
10 Heyden & Steindl GmbH
TOMAC2
39.45 148.57 289.25 1.16
11 Clarke Capital Management
Millennium
95.53 146.29 135.43 0.79
12 Superfund Group
Superfund Green Gold C (SPC)
53.50 140.12 0.88
13 Superfund Group
Superfund Green Gold B (SPC)
43.96 134.88 0.95
14 Clarke Capital Management
Jupiter
80.02 134.01 1.27
15 ISAM
ISAM Systematic Trend Fund
77.78 129.50 133.11 0.92
16 Revolution Capital Management
Alpha Fund
30.19 125.78 1.35
17 Somers Brothers Capital
Diversified Futures Program #1
80.78 122.66 1.02
18 RAM Management Group
MRTP Aggressive
71.96 121.17 190.75 0.55
19 Hawksbill Capital Management
Global Diversified
96.38 121.14 104.24 0.64
20 Blackwater Capital Management
Global Program
55.61 119.78 1.27
21 Silicon Valley Quantitative Advisors
US Quantitative Portfolio (UQP)
64.90 119.27 119.13 0.64
22 Keck Capital Management LLC
The Keck Program
62.18 118.20 165.96 0.76
23 Clarke Capital Management
Worldwide
62.90 117.10 103.24 0.81
24 DUNN Capital Management
D'Best Futures Fund, L.P.
126.74 115.53 100.88 0.50
25 GIC Trading LLC
Global Diversified Trading Program
75.89 112.97 115.31 0.67
26 Superfund Group
Superfund Green Gold A (SPC)
32.29 109.71 0.97
27 Saxon Investment Corporation
Aggressive Diversified Program
36.25 107.56 94.27 0.66
28 Wimmer Horizon LLP
Managed Account
64.57 106.50 1.18
29 Superfund Group
Superfund Green Master
74.18 102.88 106.22 0.78
30 EMC Capital Advisors, LLC
Classic
46.24 102.15 92.51 0.64
31 Kelly Angle Inc.
Genesis Program
127.17 101.41 194.21 0.67
32 Kottke Associates
Stockton Fundamental Ag
48.08 97.32 1.16
33 Tactical Investment Management
Tactical Institutional Commodity Program
48.35 96.89 127.53 0.81
34 Mulvaney Capital Management
The Mulvaney Global Markets Fund
108.87 95.75 158.79 0.67
35 Southwest Managed Investments, LLC
Global Diversified
55.24 93.54 68.40 0.51
36 Clarke Capital Management
Global Basic
79.90 93.30 173.88 0.81
37 SMN Investment Services GmbH
smn Diversified Futures Fund (1996)
58.53 90.94 67.79 0.66
38 Conquest Capital Group
Conquest Macro
45.59 90.13 92.06 0.79
39 Quantmetrics Capital Management LLP
Premier 12V Strategy
33.83 88.57 192.60 2.51
40 Di Tomasso Group Inc.
Equilibrium Program
-1.68 85.27 383.53 1.12
41 Conquest Capital Group
Conquest Select
51.96 81.84 0.82
42 Millburn Ridgefield Corporation
Commodity Program
30.95 80.35 1.08
43 Amplitude Capital International Limited
Dynamic Strategy
14.32 78.59 1.21
44 Hyman Beck and Company
Global Portfolio
49.78 78.06 53.79 0.69
45 Transtrend B.V.
DTP – Enhanced Risk (USD)
29.38 77.38 112.21 1.19
46 Transtrend B.V.
DTP – Enhanced Risk (EUR)
30.52 76.80 112.05 1.20
47 AIMhedge Management Ltd.
AIM Classic Fund EUR (Institutional)
42.48 73.84 1.06
48 Briarwood Capital Management, Inc.
Diversified 2XL
17.28 73.12 1.04
49 Red Rock Capital, LLC
Systematic Global Macro
49.73 71.84 92.67 0.98
50 NuWave Investment Management, LLC
NuWave Investment Partners LP
51.34 71.66 151.33 1.09
51 Superfund Group
Superfund Green L.P. Series B
46.57 70.95 75.60 0.56
52 Abraham Trading Company
Diversified Program
28.80 70.90 75.58 0.71
53 Romanesco Capital Management B.V
Persistence Program
0.19 69.96 1.34
54 Mark J. Walsh Company
Standard Program
50.30 69.85 95.63 0.69
55 NuWave Investment Management, LLC
Combined Futures Portfolio
51.79 69.63 143.51 1.06
56 DUNN Capital Management
World Monetary and Agriculture Program (WMA)
51.47 68.86 24.64 0.54
57 Transtrend B.V.
DTP – Enhanced Risk (JPY)
26.76 68.57 1.24
58 Millburn Ridgefield Corporation
Multi-Markets Program
30.97 66.57 1.15
59 Red Oak Commodity Advisors
Investment Program
-1.86 65.34 96.73 0.65
60 Ancile Capital Management
Global Markets Program
19.85 64.35 1.16
61 Four Seasons Commodities Corp
Hawkeye Spread Program
2.75 62.31 1.37
62 Molinero Capital Management LLP
Global Markets Program
12.64 62.03 1.45
63 Eckhardt Trading Company
Evolution Strategies 1.2X
14.76 61.93 88.17 0.84
64 Estlander & Partners
Alpha Trend
37.84 61.55 97.59 0.91
65 Eclipse Capital Management
Global Monetary
19.78 60.64 25.70 0.64
66 Welton Investment Partners
Welton Global
25.31 60.25 1.04
67 Clarke Capital Management
FX Plus
59.95 59.95 0.61
68 KMJ Investments
KMJ Investments
-1.03 58.20 83.53 1.03
69 Blackheath Fund Management Inc.
Blackheath Offshore Limited Class A
3.12 57.28 106.65 0.63
70 Drury Capital
Diversified Trend-Following Program
75.65 56.11 49.92 0.76
71 Neural Capital Ltd
Sentinel Trading Program
7.86 56.07 0.79
72 Eckhardt Trading Company
Evolution Strategies
13.16 55.65 76.89 0.85
73 ReSolve Asset Management Inc.
Resolve Acorn Diversified Program
22.32 55.56 0.90
74 Claughton Capital
Institutional Program
13.03 55.40 0.81
75 Clarke Capital Management
Global Magnum
46.36 55.23 83.79 0.76
76 Quantitative Investment Management
Quantitative Global Program
12.51 55.22 124.00 1.45
77 Rosetta Capital Management
Rosetta Trading Program
15.48 54.41 264.04 1.05
78 John Locke Investments
Cyril Systematic Program
24.43 54.19 84.90 0.75
79 Superfund Group
Superfund Green GCT USD
50.51 53.46 55.06 0.73
80 Saxon Investment Corporation
Diversified Program
20.83 52.99 47.13 0.65
81 Argus Capital Management Pty Ltd
Dynamic Multi-strategy Program
45.44 52.45 89.21 0.74
82 Millburn Ridgefield Corporation
Diversified Program
22.15 52.20 60.49 0.93
83 Strategic Ag Trading
Chatham
16.32 51.97 0.39
84 Haar Capital Management
Discretionary Commodity Trading Program
1.78 50.62 0.95
85 Robust Methods LLC
Macro Managed Account
9.65 49.61 1.14
86 Rabar Market Research
Diversified Program
18.22 48.47 35.80 0.64
87 Sunrise Capital Partners
Sunrise Expanded Diversified Program
29.88 47.20 52.17 0.65
88 Superfund Group
Superfund Green Q-AG
35.44 46.90 57.64 0.80
89 Superfund Group
Superfund Green L.P. Series A
30.00 45.47 46.67 0.49
90 W.G. Wealth Guardian Ltd.
SAFI2 Program
17.13 45.16 39.77 1.45
91 Crabel Capital Management
Crabel Multi-Product
-0.95 42.70 61.62 0.77
92 Systematic Alpha Management
Systematic Alpha Futures Program
16.85 42.11 1.83
93 Mobius Asset Management
Energy Weighted Program
6.14 41.68 1.27
94 Transtrend B.V.
DTP – Standard Risk (EUR)
18.82 40.80 58.10 1.10
95 Quantica Capital AG
Quantica Managed Futures
18.91 40.22 1.21
96 Rhicon Currency Management
Rhicon Systematic Currency Program
14.74 38.50 69.45 1.00
97 LJM Partners
LJM Moderately Aggressive Strategy
-17.06 37.84 151.66 1.01
98 RAM Management Group
RAM MRTP 1X-Conservative
22.62 34.76 49.42 0.62
99 Range Wise
Investment Program
4.64 34.34 69.09 0.73
100 Mobius Asset Management
Custom Trading Program
19.86 34.14 55.06 0.81
101 Briarwood Capital Management, Inc.
Diversified Trading Program
8.20 33.98 47.40 0.87
102 Kaiser Trading Group
Kaiser Global Diversified Program - Class B
8.39 33.79 54.02 0.98
103 Witter & Lester, Inc.
Stock Index Futures Trading Program
0.54 33.45 102.69 0.56
104 Covenant Capital Management
Aggressive Program
27.55 32.14 1.16
105 Rotella Capital Management
Rotella Polaris Program (Diversified)
16.03 32.03 37.49 1.20
106 Sequent Capital
Sequent CTA - Fundamental Diversified (V12)
11.18 31.45 1.02
107 FORT LP
Fort Global Diversified
11.64 31.12 62.36 0.82
108 Chesapeake Capital
Diversified (LV)
15.38 30.85 38.75 0.72
109 Rhicon Currency Management
Rhicon Strategic Program
14.13 30.01 66.68 1.23
110 Four Seasons Commodities Corp
Lone Star Program
3.32 29.79 1.05
111 ITB Capital Management, LLC
ITB Premium Fund I, LTD
-8.40 27.49 0.46
112 Dominion Capital
Sapphire Program
19.21 27.06 1.38
113 Insch Capital Management SA
Interbank Currency Program - 3X Leverage
23.76 26.77 83.07 0.95
114 Superfund Group
Superfund Blue SPC Class A (EUR)
19.06 25.15 0.55
115 MERIT Alternative Investments GmbH
Futures Portfolio
12.71 25.02 30.35 0.79
116 Mobius Asset Management
Diversified Program
1.96 23.72 0.34
117 Jaguar Investments Ltd
Vario Capital Strategy
1.40 22.26 0.86
118 Trigon Investment Advisors, LLC
Global Macro Program (LIQUIDATED as of July 31, 2017)
14.70 20.42 15.83 0.60
119 IKOS
The IKOS Hedge Fund
-5.72 20.01 41.64 1.13
120 Crescent Bay Capital Management
Premium Stock Index Program
-5.05 19.59 0.54
121 Alder Capital DAC
Alder Global 20
3.58 18.94 20.98 0.48
122 M6 Capital Management LLC
Standard Program
-1.76 18.79 0.66
123 Manning & Napier
MN Xenon Global Fixed Income Program
12.07 17.58 0.81
124 Trigon Investment Advisors, LLC
Foreign Exchange Program
25.04 17.57 11.27 0.64
125 FORT LP
Fort Global Contrarian
1.30 16.89 48.52 0.88
126 C-View Limited
Currency Managed Account Program
4.38 15.79 32.71 1.41
127 Covenant Capital Management
Original Program
19.21 15.72 108.38 0.76
128 Xplor Capital Management, LLC
Global CTA Program
29.16 14.08 0.38
129 M.S. Capital Management
Global Diversified Program
0.00 13.83 16.93 0.25
130 Hehmeyer Capital Management, LLC
Commodity Capital - Grain & Oil Seeds Program
-3.49 13.64 0.49
131 Midwest Trading Partners, LLC
Micro-Arbitrage Program (MAP)
3.60 13.20 2.02
132 Estlander & Partners
Global XL
21.35 11.80 15.69 0.53
133 Mesirow Financial Investment Management, Inc.
Extended Markets Alpha Program
1.29 9.64 1.45
134 Warrington Asset Management
Warrington Strategic Program
-17.43 8.80 41.67 1.40
135 Estlander & Partners
Global Markets
9.87 7.38 11.18 0.44
136 Mondiale Asset Management
Mondiale Trading Program
-4.57 5.38 6.65 1.03
137 Witter & Lester, Inc.
Redstone
-4.81 2.74 9.15 0.66
138 Kinkopf Capital Management
KCM S&P (Proprietary)
-9.37 0.85 18.57 0.49
139 Capricorn Strategies Limited
Capricorn fxST (Lev1)
13.07 0.15 6.84 1.09
140 Campbell & Company, LP
Campbell Managed Futures Composite (f/k/a FME Large)
-0.29 -8.87 8.25 0.65
141 LJM Partners
LJM Aggressive Strategy
-48.47 -13.95 88.16 0.63
142 AIS Capital Management, L.P.
MAAP (2x-4x) Composite
-52.39 -25.85 18.06 0.41
143 Ansbacher Investment Management
Market Neutral Put Skew Program
-40.04 -32.22 -8.37 0.47
144 AIS Capital Management, L.P.
MAAP (3x-6x) Composite
-73.59 -53.56 -8.12 0.44
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