2008 IASG CTA Index 5 Year Rolling

Rank CTA/Program 1yr 3yr 5yr Sharpe
1 Di Tomasso Group Inc.
Equilibrium Program
-1.68 85.27 383.53 1.12
2 Salus Alpha Capital Ltd
Salus Alpha Directional Markets (DMX)
62.63 161.38 326.90 1.80
3 Dreiss Research Corporation
Diversified Program
140.62 248.37 315.77 0.72
4 Heyden & Steindl GmbH
TOMAC2
39.45 148.57 289.25 1.16
5 Rosetta Capital Management
Rosetta Trading Program
15.48 54.41 264.04 1.05
6 Paskewitz Asset Management LLC
Contrarian S&P Stock Index
32.38 156.11 242.61 1.47
7 Alee Capital Management, LLC
Mistral Program
44.46 163.66 218.86 0.83
8 Kelly Angle Inc.
Genesis Program
127.17 101.41 194.21 0.67
9 Quantmetrics Capital Management LLP
Premier 12V Strategy
33.83 88.57 192.60 2.51
10 RAM Management Group
MRTP Aggressive
71.96 121.17 190.75 0.55
11 Quality Capital Management
Global Diversified Programme
59.51 152.99 177.88 0.84
12 Clarke Capital Management
Global Basic
79.90 93.30 173.88 0.81
13 Alee Capital Management, LLC
Poniente Program
93.35 163.34 170.95 0.76
14 Keck Capital Management LLC
The Keck Program
62.18 118.20 165.96 0.76
15 Mulvaney Capital Management
The Mulvaney Global Markets Fund
108.87 95.75 158.79 0.67
16 LJM Partners
LJM Moderately Aggressive Strategy
-17.06 37.84 151.66 1.01
17 NuWave Investment Management, LLC
NuWave Investment Partners LP
51.34 71.66 151.33 1.09
18 NuWave Investment Management, LLC
Combined Futures Portfolio
51.79 69.63 143.51 1.06
19 Clarke Capital Management
Millennium
95.53 146.29 135.43 0.79
20 ISAM
ISAM Systematic Trend Fund
77.78 129.50 133.11 0.92
21 Tactical Investment Management
Tactical Institutional Commodity Program
48.35 96.89 127.53 0.81
22 Quantitative Investment Management
Quantitative Global Program
12.51 55.22 124.00 1.45
23 Silicon Valley Quantitative Advisors
US Quantitative Portfolio (UQP)
64.90 119.27 119.13 0.64
24 GIC Trading LLC
Global Diversified Trading Program
75.89 112.97 115.31 0.67
25 Transtrend B.V.
DTP – Enhanced Risk (USD)
29.38 77.38 112.21 1.19
26 Transtrend B.V.
DTP – Enhanced Risk (EUR)
30.52 76.80 112.05 1.20
27 Covenant Capital Management
Original Program
19.21 15.72 108.38 0.76
28 Blackheath Fund Management Inc.
Blackheath Offshore Limited Class A
3.12 57.28 106.65 0.63
29 Superfund Group
Superfund Green Master
74.18 102.88 106.22 0.78
30 Hawksbill Capital Management
Global Diversified
96.38 121.14 104.24 0.64
31 Clarke Capital Management
Worldwide
62.90 117.10 103.24 0.81
32 Witter & Lester, Inc.
Stock Index Futures Trading Program
0.54 33.45 102.69 0.56
33 DUNN Capital Management
D'Best Futures Fund, L.P.
126.74 115.53 100.88 0.50
34 Estlander & Partners
Alpha Trend
37.84 61.55 97.59 0.91
35 Red Oak Commodity Advisors
Investment Program
-1.86 65.34 96.73 0.65
36 Mark J. Walsh Company
Standard Program
50.30 69.85 95.63 0.69
37 Saxon Investment Corporation
Aggressive Diversified Program
36.25 107.56 94.27 0.66
38 Red Rock Capital, LLC
Systematic Global Macro
49.73 71.84 92.67 0.98
39 EMC Capital Advisors, LLC
Classic
46.24 102.15 92.51 0.64
40 Conquest Capital Group
Conquest Macro
45.59 90.13 92.06 0.79
41 Argus Capital Management Pty Ltd
Dynamic Multi-strategy Program
45.44 52.45 89.21 0.74
42 Eckhardt Trading Company
Evolution Strategies 1.2X
14.76 61.93 88.17 0.84
43 LJM Partners
LJM Aggressive Strategy
-48.47 -13.95 88.16 0.63
44 John Locke Investments
Cyril Systematic Program
24.43 54.19 84.90 0.75
45 Clarke Capital Management
Global Magnum
46.36 55.23 83.79 0.76
46 KMJ Investments
KMJ Investments
-1.03 58.20 83.53 1.03
47 Insch Capital Management SA
Interbank Currency Program - 3X Leverage
23.76 26.77 83.07 0.95
48 Parizek Capital
Futures Trading Program
120.73 159.10 79.72 0.62
49 Eckhardt Trading Company
Evolution Strategies
13.16 55.65 76.89 0.85
50 Superfund Group
Superfund Green L.P. Series B
46.57 70.95 75.60 0.56
51 Abraham Trading Company
Diversified Program
28.80 70.90 75.58 0.71
52 Rhicon Currency Management
Rhicon Systematic Currency Program
14.74 38.50 69.45 1.00
53 Range Wise
Investment Program
4.64 34.34 69.09 0.73
54 Southwest Managed Investments, LLC
Global Diversified
55.24 93.54 68.40 0.51
55 SMN Investment Services GmbH
smn Diversified Futures Fund (1996)
58.53 90.94 67.79 0.66
56 Rhicon Currency Management
Rhicon Strategic Program
14.13 30.01 66.68 1.23
57 FORT LP
Fort Global Diversified
11.64 31.12 62.36 0.82
58 Crabel Capital Management
Crabel Multi-Product
-0.95 42.70 61.62 0.77
59 Millburn Corporation
Diversified Program
22.15 52.20 60.49 0.93
60 Transtrend B.V.
DTP – Standard Risk (EUR)
18.82 40.80 58.10 1.10
61 Superfund Group
Superfund Green Q-AG
35.44 46.90 57.64 0.80
62 Mobius Asset Management
Custom Trading Program
19.86 34.14 55.06 0.81
63 Superfund Group
Superfund Green GCT USD
50.51 53.46 55.06 0.73
64 Kaiser Trading Group
Kaiser Global Diversified Program - Class B
8.39 33.79 54.02 0.98
65 Hyman Beck and Company
Global Portfolio
49.78 78.06 53.79 0.69
66 Sunrise Capital Partners
Sunrise Expanded Diversified Program
29.88 47.20 52.17 0.65
67 Drury Capital
Diversified Trend-Following Program
75.65 56.11 49.92 0.76
68 RAM Management Group
RAM MRTP 1X-Conservative
22.62 34.76 49.42 0.62
69 FORT LP
Fort Global Contrarian
1.30 16.89 48.52 0.88
70 Briarwood Capital Management, Inc.
Diversified Trading Program
8.20 33.98 47.40 0.87
71 Saxon Investment Corporation
Diversified Program
20.83 52.99 47.13 0.65
72 Superfund Group
Superfund Green L.P. Series A
30.00 45.47 46.67 0.49
73 Warrington Asset Management
Warrington Strategic Program
-17.43 8.80 41.67 1.40
74 IKOS
The IKOS Hedge Fund
-5.72 20.01 41.64 1.13
75 W.G. Wealth Guardian Ltd.
SAFI2 Program
17.13 45.16 39.77 1.45
76 Chesapeake Capital
Diversified (LV)
15.38 30.85 38.75 0.72
77 Rotella Capital Management
Rotella Polaris Program (Diversified)
16.03 32.03 37.49 1.20
78 Rabar Market Research
Diversified Program
18.22 48.47 35.80 0.64
79 C-View Limited
Currency Managed Account Program
4.38 15.79 32.71 1.41
80 MERIT Alternative Investments GmbH
Futures Portfolio
12.71 25.02 30.35 0.79
81 Eclipse Capital Management
Global Monetary
19.78 60.64 25.70 0.64
82 DUNN Capital Management
World Monetary and Agriculture Program (WMA)
51.47 68.86 24.64 0.54
83 Alder Capital DAC
Alder Global 20
3.58 18.94 20.98 0.48
84 Kinkopf Capital Management
KCM S&P (Proprietary)
-9.37 0.85 18.57 0.49
85 AIS Capital Management, L.P.
MAAP (2x-4x) Composite
-52.39 -25.85 18.06 0.41
86 M.S. Capital Management
Global Diversified Program
0.00 13.83 16.93 0.25
87 Trigon Investment Advisors, LLC
Global Macro Program (LIQUIDATED as of July 31, 2017)
14.70 20.42 15.83 0.60
88 Estlander & Partners
Global XL
21.35 11.80 15.69 0.53
89 Trigon Investment Advisors, LLC
Foreign Exchange Program
25.04 17.57 11.27 0.64
90 Estlander & Partners
Global Markets
9.87 7.38 11.18 0.44
91 Witter & Lester, Inc.
Redstone
-4.81 2.74 9.15 0.66
92 Campbell & Company, LP
Campbell Managed Futures Composite (f/k/a FME Large)
-0.29 -8.87 8.25 0.65
93 Capricorn Strategies Limited
Capricorn fxST (Lev1)
13.07 0.15 6.84 1.09
94 Mondiale Asset Management
Mondiale Trading Program
-4.57 5.38 6.65 1.03
95 AIS Capital Management, L.P.
MAAP (3x-6x) Composite
-73.59 -53.56 -8.12 0.44
96 Ansbacher Investment Management
Market Neutral Put Skew Program
-40.04 -32.22 -8.37 0.47
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