2007 IASG CTA Index 5 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 Rosetta Capital Management
Rosetta Trading Program
4.28 63.04 673.33 1.09
3 LJM Partners
LJM Aggressive Strategy
21.25 137.45 513.71 0.91
4 AIS Capital Management, L.P.
MAAP (3x-6x) Composite
84.28 155.25 442.08 0.69
5 Red Oak Commodity Advisors
Investment Program
28.92 104.12 251.83 0.68
6 AIS Capital Management, L.P.
MAAP (2x-4x) Composite
53.81 100.13 234.17 0.68
7 Alee Capital Management, LLC
Mistral Program
39.18 130.54 181.43 0.78
8 Saxon Investment Corporation
Aggressive Diversified Program
38.59 35.95 169.22 0.64
9 Covenant Capital Management
Original Program
0.93 36.40 165.23 0.73
10 Abraham Trading Company
Diversified Program
21.80 18.15 138.10 0.69
11 Insch Capital Management SA
Interbank Currency Program - 3X Leverage
1.17 25.62 122.90 0.95
12 Quality Capital Management
Global Diversified Programme
17.47 92.96 117.08 0.77
13 NuWave Investment Management, LLC
NuWave Investment Partners LP
0.69 32.61 107.43 0.95
14 Range Wise
Investment Program
13.71 13.69 106.13 0.76
15 Dreiss Research Corporation
Diversified Program
1.16 89.84 106.10 0.61
16 Warrington Asset Management
Warrington Strategic Program
15.01 46.91 102.47 2.03
17 NuWave Investment Management, LLC
Combined Futures Portfolio
-0.11 28.10 100.38 0.91
18 Tactical Investment Management
Tactical Institutional Commodity Program
6.81 41.98 98.24 0.77
19 Eckhardt Trading Company
Evolution Strategies 1.2X
39.28 55.22 97.11 0.84
20 Witter & Lester, Inc.
Stock Index Futures Trading Program
12.61 39.96 95.47 0.58
21 Superfund Group
Superfund Green Master
-4.04 -1.27 93.59 0.70
22 RAM Management Group
MRTP Aggressive
57.97 77.07 90.90 0.44
23 Clarke Capital Management
Global Basic
35.23 32.57 87.59 0.74
24 Ansbacher Investment Management
Market Neutral Put Skew Program
5.11 25.58 87.19 0.72
25 Estlander & Partners
Alpha Trend
9.24 34.93 85.41 0.85
26 Clarke Capital Management
Global Magnum
25.23 16.55 83.05 0.69
27 FORT LP
Fort Global Contrarian
3.87 23.78 82.89 1.09
28 IKOS
The IKOS Hedge Fund
22.00 43.93 80.49 1.43
29 Eckhardt Trading Company
Evolution Strategies
34.11 49.51 79.78 0.85
30 Transtrend B.V.
DTP – Enhanced Risk (USD)
22.38 45.32 77.92 1.13
31 Saxon Investment Corporation
Diversified Program
23.07 18.68 77.47 0.63
32 EMC Capital Advisors, LLC
Classic
17.32 51.33 77.34 0.62
33 Transtrend B.V.
DTP – Enhanced Risk (EUR)
21.40 43.54 75.94 1.06
34 Clarke Capital Management
Millennium
14.83 8.98 69.36 0.64
35 FORT LP
Fort Global Diversified
9.20 22.04 68.07 0.84
36 John Locke Investments
Cyril Systematic Program
17.49 35.02 67.90 0.65
37 Crabel Capital Management
Crabel Multi-Product
32.90 53.57 66.20 0.83
38 KMJ Investments
KMJ Investments
24.09 52.66 64.34 1.08
39 Mulvaney Capital Management
The Mulvaney Global Markets Fund
-23.14 24.03 60.21 0.52
40 ISAM
ISAM Systematic Trend Fund
10.85 27.55 57.98 0.68
41 Clarke Capital Management
Worldwide
43.79 19.38 57.47 0.70
42 Alee Capital Management, LLC
Poniente Program
37.52 43.90 53.21 0.54
43 Superfund Group
Superfund Green L.P. Series B
-2.60 2.56 53.01 0.45
44 Briarwood Capital Management, Inc.
Diversified Trading Program
5.01 34.56 51.68 0.89
45 Kaiser Trading Group
Kaiser Global Diversified Program - Class B
11.76 35.76 49.77 0.98
46 Chesapeake Capital
Diversified (LV)
2.28 14.70 48.02 0.73
47 Mark J. Walsh Company
Standard Program
19.17 9.06 44.90 0.67
48 Superfund Group
Superfund Green Q-AG
-1.81 4.89 44.69 0.76
49 Rabar Market Research
Diversified Program
15.16 18.26 42.53 0.62
50 SMN Investment Services GmbH
smn Diversified Futures Fund (1996)
13.56 16.02 41.71 0.51
51 GIC Trading LLC
Global Diversified Trading Program
12.26 18.66 41.27 0.46
52 Transtrend B.V.
DTP – Standard Risk (EUR)
12.23 22.89 41.11 0.98
53 W.G. Wealth Guardian Ltd.
SAFI2 Program
13.20 13.56 38.34 1.43
54 Sunrise Capital Partners
Sunrise Expanded Diversified Program
3.93 10.58 37.60 0.61
55 Kinkopf Capital Management
KCM S&P (Proprietary)
0.10 2.23 36.77 0.56
56 Millburn Corporation
Diversified Program
14.25 32.12 36.44 0.91
57 Superfund Group
Superfund Green L.P. Series A
-0.93 1.32 35.65 0.38
58 Argus Capital Management Pty Ltd
Dynamic Multi-strategy Program
4.92 32.22 33.02 0.66
59 Hawksbill Capital Management
Global Diversified
20.24 14.09 32.70 0.59
60 Conquest Capital Group
Conquest Macro
20.88 32.81 32.31 0.64
61 Campbell & Company, LP
Campbell Managed Futures Composite (f/k/a FME Large)
-13.35 1.50 30.75 0.67
62 Silicon Valley Quantitative Advisors
US Quantitative Portfolio (UQP)
-14.44 -0.72 30.66 0.53
63 Mobius Asset Management
Custom Trading Program
20.40 24.44 30.65 0.76
64 C-View Limited
Currency Managed Account Program
3.89 13.44 30.16 1.45
65 Superfund Group
Superfund Green GCT USD
-9.91 -7.35 30.14 0.67
66 Alder Capital DAC
Alder Global 20
5.15 27.99 29.76 0.52
67 RAM Management Group
RAM MRTP 1X-Conservative
17.10 22.91 29.14 0.55
68 MERIT Alternative Investments GmbH
Futures Portfolio
9.44 15.57 28.94 0.73
69 Eclipse Capital Management
Global Monetary
17.00 17.59 26.13 0.61
70 Mondiale Asset Management
Mondiale Trading Program
-0.41 10.57 24.92 1.19
71 Rotella Capital Management
Rotella Polaris Program (Diversified)
3.56 23.63 22.91 1.22
72 Witter & Lester, Inc.
Redstone
5.11 7.96 20.52 0.84
73 Southwest Managed Investments, LLC
Global Diversified
8.58 10.33 17.55 0.23
74 Estlander & Partners
Global XL
-0.42 -4.48 14.59 0.51
75 Hyman Beck and Company
Global Portfolio
-5.85 7.80 13.95 0.61
76 Estlander & Partners
Global Markets
0.83 1.02 11.50 0.40
77 M.S. Capital Management
Global Diversified Program
-3.52 8.40 10.30 0.26
78 Trigon Investment Advisors, LLC
Global Macro Program (LIQUIDATED as of July 31, 2017)
-2.41 5.41 8.04 0.44
79 Drury Capital
Diversified Trend-Following Program
5.05 -20.43 7.35 0.61
80 Trigon Investment Advisors, LLC
Foreign Exchange Program
-3.84 -6.54 5.44 0.51
81 Capricorn Strategies Limited
Capricorn fxST (Lev1)
-7.20 -9.68 -2.40 0.93
82 Parizek Capital
Futures Trading Program
17.35 10.54 -3.52 0.27
83 Kelly Angle Inc.
Genesis Program
-5.92 16.48 -3.68 0.47
84 DUNN Capital Management
D'Best Futures Fund, L.P.
-4.13 -14.65 -23.31 0.37
85 DUNN Capital Management
World Monetary and Agriculture Program (WMA)
7.58 -6.79 -28.74 0.51
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