2002 IASG CTA Index 5 Year Rolling

Rank CTA/Program 1yr 3yr 5yr Sharpe
1 Superfund Group
Superfund Green Q-AG
38.43 102.62 312.94 1.00
2 KMJ Investments
KMJ Investments
32.20 41.89 176.60 1.22
3 Saxon Investment Corporation
Aggressive Diversified Program
9.31 75.28 175.70 0.61
4 Clarke Capital Management
Millennium
34.62 90.81 174.90 0.81
5 Clarke Capital Management
Global Magnum
5.82 81.30 167.94 0.81
6 FORT LP
Fort Global Diversified
56.01 92.41 166.84 0.91
7 Clarke Capital Management
Global Basic
15.69 75.10 161.61 0.88
8 Warrington Asset Management
Warrington Strategic Program
15.55 46.24 140.55 2.05
9 Drury Capital
Diversified Trend-Following Program
5.55 47.43 139.74 0.97
10 Argus Capital Management Pty Ltd
Dynamic Multi-strategy Program
10.87 77.44 128.41 0.82
11 DUNN Capital Management
World Monetary and Agriculture Program (WMA)
54.05 76.36 126.80 0.66
12 Hawksbill Capital Management
Global Diversified
36.37 108.85 126.46 0.67
13 C-View Limited
Currency Managed Account Program
6.48 28.50 124.02 1.79
14 Mark J. Walsh Company
Standard Program
46.46 92.12 122.52 0.73
15 Saxon Investment Corporation
Diversified Program
19.98 60.64 122.48 0.63
16 W.G. Wealth Guardian Ltd.
SAFI2 Program
13.95 34.77 118.97 1.94
17 DUNN Capital Management
D'Best Futures Fund, L.P.
55.49 125.31 114.06 0.55
18 Transtrend B.V.
DTP – Enhanced Risk (USD)
26.26 79.32 113.85 1.23
19 Rotella Capital Management
Rotella Polaris Program (Diversified)
20.64 64.81 104.22 1.53
20 Eckhardt Trading Company
Evolution Strategies 1.2X
14.23 53.66 102.32 0.88
21 Tactical Investment Management
Tactical Institutional Commodity Program
34.71 107.84 87.32 0.88
22 Clarke Capital Management
Worldwide
20.50 22.49 87.19 0.87
23 Mondiale Asset Management
Mondiale Trading Program
1.11 43.34 85.50 1.51
24 Sunrise Capital Partners
Sunrise Expanded Diversified Program
14.49 40.79 85.03 0.67
25 Campbell & Company, LP
Campbell Managed Futures Composite (f/k/a FME Large)
16.39 41.32 81.27 0.72
26 Abraham Trading Company
Diversified Program
21.51 64.41 79.79 0.68
27 Estlander & Partners
Alpha Trend
8.74 27.88 77.11 0.83
28 Ansbacher Investment Management
Market Neutral Put Skew Program
-0.20 12.99 72.60 0.65
29 Red Oak Commodity Advisors
Investment Program
35.07 17.91 71.83 0.54
30 QCM
Global Diversified Programme
5.49 33.93 71.77 0.74
31 Dreiss Research Corporation
Diversified Program
22.40 37.12 67.80 0.58
32 Eckhardt Trading Company
Evolution Strategies
11.07 38.00 67.44 0.86
33 Estlander & Partners
Global XL
9.58 56.11 65.36 0.64
34 SMN Investment Services GmbH
smn Diversified Futures Fund (1996)
16.52 35.47 52.98 0.59
35 Hyman Beck and Company
Global Portfolio
21.38 29.46 52.49 0.76
36 Millburn Ridgefield Corporation
Diversified Program
24.82 36.73 48.24 0.99
37 Rabar Market Research
Diversified Program
24.52 27.78 43.87 0.68
38 Eclipse Capital Management
Global Monetary
17.68 16.72 37.71 0.70
39 Chesapeake Capital
Diversified (LV)
11.07 7.55 29.23 0.80
40 Witter & Lester, Inc.
Redstone
1.68 0.29 25.40 0.83
41 Witter & Lester, Inc.
Stock Index Futures Trading Program
-8.02 -8.87 22.44 0.51
42 RAM Management Group
RAM MRTP 1X-Conservative
1.28 17.96 20.77 0.58
43 EMC Capital Advisors, LLC
Classic
-2.58 31.23 20.64 0.65
44 Range Wise
Investment Program
45.78 52.16 16.93 0.79
45 AIS Capital Management, L.P.
MAAP (2x-4x) Composite
-3.83 6.41 9.22 0.47
46 AIS Capital Management, L.P.
MAAP (3x-6x) Composite
-9.05 1.52 -6.27 0.51
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