2005 IASG CTA Index 5 Year Rolling

Rank CTA/Program 1yr 3yr 5yr Sharpe
1 Rosetta Capital Management
Rosetta Trading Program
21.93 478.33 1,962.02 1.22
2 LJM Partners
LJM Aggressive Strategy
42.20 267.53 326.01 0.85
3 Insch Capital Management SA
Interbank Currency Program - 3X Leverage
22.64 117.60 235.35 1.13
4 Covenant Capital Management
Original Program
40.52 173.23 208.34 0.91
5 Superfund Group
Superfund Green GCT USD
-9.12 27.65 207.96 0.82
6 AIS Capital Management, L.P.
MAAP (3x-6x) Composite
45.13 208.22 188.28 0.67
7 Abraham Trading Company
Diversified Program
-10.95 79.45 159.84 0.69
8 FORT LP
Fort Global Diversified
3.91 43.10 152.06 0.86
9 Tactical Investment Management
Tactical Institutional Commodity Program
6.98 49.37 133.90 0.82
10 Red Oak Commodity Advisors
Investment Program
21.16 108.84 128.92 0.62
11 Saxon Investment Corporation
Aggressive Diversified Program
-10.76 76.73 120.98 0.62
12 Superfund Group
Superfund Green Q-AG
-3.30 33.40 119.43 0.85
13 Mulvaney Capital Management
The Mulvaney Global Markets Fund
32.34 70.95 117.72 0.71
14 Range Wise
Investment Program
-11.45 60.55 113.13 0.76
15 AIS Capital Management, L.P.
MAAP (2x-4x) Composite
28.50 114.55 112.99 0.64
16 Clarke Capital Management
Global Magnum
9.89 72.60 112.73 0.78
17 Transtrend B.V.
DTP – Enhanced Risk (EUR)
5.97 29.89 109.89 1.05
18 Transtrend B.V.
DTP – Enhanced Risk (USD)
5.99 29.77 107.03 1.12
19 Clarke Capital Management
Global Basic
23.38 74.59 99.52 0.81
20 Hawksbill Capital Management
Global Diversified
1.32 17.84 97.27 0.62
21 Ansbacher Investment Management
Market Neutral Put Skew Program
11.09 65.59 95.69 0.75
22 Kelly Angle Inc.
Genesis Program
31.38 8.64 92.02 0.63
23 Saxon Investment Corporation
Diversified Program
-6.26 40.17 83.88 0.63
24 GIC Trading LLC
Global Diversified Trading Program
-2.00 16.67 83.09 0.43
25 Warrington Asset Management
Warrington Strategic Program
11.49 53.66 80.98 2.15
26 Estlander & Partners
Alpha Trend
15.12 58.19 80.76 0.88
27 Clarke Capital Management
Millennium
-13.48 34.46 80.01 0.66
28 Argus Capital Management Pty Ltd
Dynamic Multi-strategy Program
26.15 26.90 79.91 0.73
29 Mark J. Walsh Company
Standard Program
-3.50 28.22 78.62 0.69
30 Campbell & Company, LP
Campbell Managed Futures Composite (f/k/a FME Large)
11.05 43.05 76.83 0.73
31 RAM Management Group
MRTP Aggressive
37.67 48.43 75.26 0.42
32 Eckhardt Trading Company
Evolution Strategies 1.2X
10.01 39.69 73.46 0.84
33 QCM
Global Diversified Programme
21.66 36.87 71.00 0.71
34 Crabel Capital Management
Crabel Multi-Product
6.59 15.36 67.23 0.72
35 Kinkopf Capital Management
KCM S&P (Proprietary)
-8.14 22.90 65.09 0.62
36 Transtrend B.V.
DTP – Standard Risk (EUR)
3.71 19.09 62.41 1.00
37 Dreiss Research Corporation
Diversified Program
31.12 42.35 60.45 0.59
38 John Locke Investments
Cyril Systematic Program
8.96 35.49 58.37 0.63
39 Sunrise Capital Partners
Sunrise Expanded Diversified Program
-2.43 21.41 57.93 0.63
40 Estlander & Partners
Global XL
3.67 24.37 56.27 0.60
41 Drury Capital
Diversified Trend-Following Program
-10.47 20.79 53.78 0.78
42 IKOS
The IKOS Hedge Fund
13.07 41.80 53.18 1.37
43 Eckhardt Trading Company
Evolution Strategies
8.70 30.71 52.94 0.83
44 Rotella Capital Management
Rotella Polaris Program (Diversified)
8.66 8.02 50.34 1.31
45 SMN Investment Services GmbH
smn Diversified Futures Fund (1996)
-3.67 17.65 48.21 0.50
46 Trigon Investment Advisors, LLC
Foreign Exchange Program
-0.60 12.14 48.16 0.78
47 Kaiser Trading Group
Kaiser Global Diversified Program - Class B
9.99 21.34 46.44 0.93
48 C-View Limited
Currency Managed Account Program
2.27 17.34 44.59 1.54
49 EMC Capital Advisors, LLC
Classic
9.48 28.30 43.11 0.62
50 Rabar Market Research
Diversified Program
-5.84 13.49 42.39 0.62
51 Alee Capital Management, LLC
Mistral Program
26.32 54.20 40.46 0.55
52 Hyman Beck and Company
Global Portfolio
-9.32 -4.15 40.17 0.61
53 Conquest Capital Group
Conquest Macro
1.71 1.32 40.13 0.59
54 W.G. Wealth Guardian Ltd.
SAFI2 Program
-8.37 11.63 38.80 1.41
55 KMJ Investments
KMJ Investments
-4.49 2.81 35.32 1.01
56 Estlander & Partners
Global Markets
3.36 14.09 33.45 0.57
57 Chesapeake Capital
Diversified (LV)
1.14 30.52 33.40 0.77
58 Capricorn Strategies Limited
Capricorn fxST (Lev1)
1.97 10.19 33.34 1.73
59 DUNN Capital Management
D'Best Futures Fund, L.P.
-10.21 -19.32 31.92 0.41
60 Millburn Ridgefield Corporation
Diversified Program
6.03 9.50 31.10 0.92
61 M.S. Capital Management
Global Diversified Program
-4.76 -3.10 29.41 0.23
62 MERIT Alternative Investments GmbH
Futures Portfolio
4.19 16.24 28.21 0.74
63 Trigon Investment Advisors, LLC
Global Macro Program (LIQUIDATED as of July 31, 2017)
0.40 2.91 24.86 0.49
64 Mondiale Asset Management
Mondiale Trading Program
0.13 13.13 23.74 1.27
65 Clarke Capital Management
Worldwide
-10.42 18.16 23.42 0.74
66 RAM Management Group
RAM MRTP 1X-Conservative
11.84 17.51 22.80 0.58
67 Silicon Valley Quantitative Advisors
US Quantitative Portfolio (UQP)
-25.34 -1.74 22.47 0.53
68 Parizek Capital
Futures Trading Program
-5.83 -17.80 14.31 0.21
69 Alee Capital Management, LLC
Poniente Program
5.65 12.49 6.19 0.39
70 Witter & Lester, Inc.
Redstone
0.02 11.67 5.12 0.83
71 Eclipse Capital Management
Global Monetary
-12.32 -5.95 5.05 0.57
72 Witter & Lester, Inc.
Stock Index Futures Trading Program
5.44 47.26 2.08 0.55
73 DUNN Capital Management
World Monetary and Agriculture Program (WMA)
-16.39 -36.07 -0.43 0.53
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