2003 IASG CTA Index 5 Year Rolling

Rank CTA/Program 1yr 3yr 5yr Sharpe
1 Saxon Investment Corporation
Aggressive Diversified Program
88.82 136.10 312.15 0.70
2 Red Oak Commodity Advisors
Investment Program
75.51 92.39 271.10 0.64
3 Superfund Group
Superfund Green Q-AG
24.31 104.48 215.83 0.98
4 LJM Partners
LJM Aggressive Strategy
68.08 94.83 203.23 0.66
5 Abraham Trading Company
Diversified Program
74.66 152.91 200.84 0.74
6 Clarke Capital Management
Millennium
40.66 88.32 182.29 0.85
7 Clarke Capital Management
Global Magnum
45.77 79.67 169.74 0.85
8 Saxon Investment Corporation
Diversified Program
45.75 91.20 168.87 0.68
9 Kinkopf Capital Management
KCM S&P (Proprietary)
4.54 40.43 164.29 0.67
10 AIS Capital Management, L.P.
MAAP (3x-6x) Composite
55.78 45.71 127.72 0.59
11 Clarke Capital Management
Global Basic
23.22 40.82 127.21 0.84
12 IKOS
The IKOS Hedge Fund
20.14 29.79 121.03 1.40
13 Warrington Asset Management
Warrington Strategic Program
18.01 39.00 118.43 2.13
14 Crabel Capital Management
Crabel Multi-Product
1.85 47.66 116.21 0.76
15 Tactical Investment Management
Tactical Institutional Commodity Program
29.25 102.40 114.35 0.90
16 FORT LP
Fort Global Diversified
15.57 103.56 108.13 0.89
17 Drury Capital
Diversified Trend-Following Program
25.77 60.13 104.83 0.99
18 KMJ Investments
KMJ Investments
-11.38 16.64 102.03 1.08
19 Hawksbill Capital Management
Global Diversified
27.59 113.59 101.04 0.67
20 Estlander & Partners
Alpha Trend
29.34 47.79 91.43 0.89
21 Transtrend B.V.
DTP – Enhanced Risk (USD)
8.47 73.06 90.22 1.18
22 W.G. Wealth Guardian Ltd.
SAFI2 Program
15.93 44.15 90.01 1.94
23 AIS Capital Management, L.P.
MAAP (2x-4x) Composite
34.75 33.77 88.52 0.56
24 Range Wise
Investment Program
27.56 69.33 87.06 0.76
25 Estlander & Partners
Global XL
20.19 51.02 85.48 0.66
26 GIC Trading LLC
Global Diversified Trading Program
15.40 81.10 83.50 0.53
27 Campbell & Company, LP
Campbell Managed Futures Composite (f/k/a FME Large)
20.43 48.87 81.79 0.74
28 Argus Capital Management Pty Ltd
Dynamic Multi-strategy Program
2.25 44.96 79.96 0.76
29 Eckhardt Trading Company
Evolution Strategies 1.2X
20.21 49.26 79.08 0.88
30 Clarke Capital Management
Worldwide
26.21 31.84 77.23 0.91
31 Mark J. Walsh Company
Standard Program
11.32 55.08 76.64 0.72
32 SMN Investment Services GmbH
smn Diversified Futures Fund (1996)
33.89 68.66 75.39 0.73
33 Quality Capital Management
Global Diversified Programme
24.61 55.68 73.73 0.81
34 DUNN Capital Management
World Monetary and Agriculture Program (WMA)
-13.40 34.90 72.80 0.61
35 Sunrise Capital Partners
Sunrise Expanded Diversified Program
17.44 52.78 72.68 0.68
36 Rotella Capital Management
Rotella Polaris Program (Diversified)
3.73 44.37 72.63 1.45
37 Ansbacher Investment Management
Market Neutral Put Skew Program
22.50 44.76 70.91 0.70
38 RAM Management Group
MRTP Aggressive
12.91 33.31 69.04 0.37
39 Alee Capital Management, LLC
Mistral Program
27.50 16.14 68.24 0.55
40 Dreiss Research Corporation
Diversified Program
19.28 34.44 62.89 0.60
41 Kaiser Trading Group
Kaiser Global Diversified Program - Class B
5.40 27.21 62.58 0.99
42 Capricorn Strategies Limited
Capricorn fxST (Lev1)
3.29 24.99 61.50 2.00
43 C-View Limited
Currency Managed Account Program
2.37 26.15 61.00 1.65
44 Eclipse Capital Management
Global Monetary
20.19 34.25 57.57 0.73
45 EMC Capital Advisors, LLC
Classic
34.72 50.28 57.18 0.66
46 Mondiale Asset Management
Mondiale Trading Program
11.78 22.26 56.36 1.58
47 DUNN Capital Management
D'Best Futures Fund, L.P.
-13.43 41.54 53.76 0.47
48 MERIT Alternative Investments GmbH
Futures Portfolio
11.49 22.97 52.90 0.91
49 Eckhardt Trading Company
Evolution Strategies
15.01 34.57 51.52 0.87
50 Hyman Beck and Company
Global Portfolio
10.98 62.28 44.84 0.76
51 Alee Capital Management, LLC
Poniente Program
9.33 3.20 44.24 0.48
52 Rabar Market Research
Diversified Program
24.08 55.67 43.62 0.70
53 Millburn Corporation
Diversified Program
3.85 24.34 42.27 0.97
54 Chesapeake Capital
Diversified (LV)
23.08 25.80 36.75 0.82
55 RAM Management Group
RAM MRTP 1X-Conservative
5.98 10.75 23.57 0.59
56 M.S. Capital Management
Global Diversified Program
-5.67 25.97 20.33 0.27
57 Witter & Lester, Inc.
Redstone
5.11 -1.05 17.45 0.85
58 Witter & Lester, Inc.
Stock Index Futures Trading Program
-3.04 -32.79 -11.01 0.48
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