2010 IASG CTA Index 5 Year Rolling

Rank CTA/Program 1yr 3yr 5yr Sharpe
1 Schindler Capital Management, LLC
Dairy Advantage Program
-27.44 56.45 1,857.33 0.88
2 Dendrich Ltd
QEP
36.60 -4.72 765.48 1.15
3 Kottke Associates
Stockton Fundamental Ag
74.43 341.95 488.92 1.45
4 Dreiss Research Corporation
Diversified Program
21.12 188.10 317.11 0.69
5 Tactical Investment Management
Tactical Institutional Commodity Program
69.00 200.89 299.34 0.88
6 Alee Capital Management, LLC
Mistral Program
25.33 100.63 266.18 0.82
7 Di Tomasso Group Inc.
Equilibrium Program
22.13 83.83 246.39 1.17
8 RAM Management Group
MRTP Aggressive
38.51 148.49 219.60 0.58
9 Alee Capital Management, LLC
Poniente Program
19.28 122.12 202.52 0.68
10 ISAM
ISAM Systematic Trend Fund
17.70 133.25 201.11 0.91
11 Parizek Capital
Futures Trading Program
27.57 154.45 198.67 0.57
12 Salus Alpha Capital Ltd
Salus Alpha Directional Markets (DMX)
10.22 84.97 197.29 1.61
13 Hawksbill Capital Management
Global Diversified
57.58 162.21 195.28 0.64
14 Blackwater Capital Management
Global Program
8.82 96.41 177.40 1.02
15 Silicon Valley Quantitative Advisors
US Quantitative Portfolio (UQP)
46.77 107.50 175.91 0.62
16 Saxon Investment Corporation
Aggressive Diversified Program
11.21 80.67 175.23 0.65
17 Clarke Capital Management
Worldwide
41.69 105.22 173.49 0.78
18 QCM
Global Diversified Programme
16.26 63.28 158.98 0.75
19 Keck Capital Management LLC
The Keck Program
44.67 91.61 157.79 0.68
20 Revolution Capital Management
Alpha Fund
20.54 48.32 157.21 1.10
21 Clarke Capital Management
Jupiter
52.19 93.80 151.92 0.78
22 Mulvaney Capital Management
The Mulvaney Global Markets Fund
34.90 165.16 148.51 0.64
23 Paskewitz Asset Management LLC
Contrarian S&P Stock Index
-6.60 27.38 146.44 1.03
24 Red Oak Commodity Advisors
Investment Program
16.71 43.70 142.10 0.68
25 DUNN Capital Management
D'Best Futures Fund, L.P.
38.48 154.56 141.97 0.48
26 GIC Trading LLC
Global Diversified Trading Program
15.33 98.58 140.45 0.61
27 Superfund Group
Superfund Green Gold A (SPC)
35.96 49.22 136.56 0.71
28 Briarwood Capital Management, Inc.
Diversified 2XL
11.00 58.84 134.47 0.84
29 Heyden & Steindl GmbH
TOMAC2
0.74 29.71 131.21 0.89
30 Somers Brothers Capital
Diversified Futures Program #1
18.31 87.62 131.10 0.77
31 Superfund Group
Superfund Green Gold B (SPC)
37.19 37.14 123.77 0.62
32 Wimmer Horizon LLP
Managed Account
9.71 75.71 120.48 0.91
33 Blackheath Fund Management Inc.
Blackheath Offshore Limited Class A
5.36 44.29 120.08 0.68
34 DUNN Capital Management
World Monetary and Agriculture Program (WMA)
30.74 96.89 119.50 0.55
35 LJM Partners
LJM Moderately Aggressive Strategy
22.80 31.48 118.51 1.16
36 Southwest Managed Investments, LLC
Global Diversified
24.65 71.00 113.19 0.47
37 Covenant Capital Management
Aggressive Program
24.45 101.21 108.44 1.19
38 Romanesco Capital Management B.V
Persistence Program
17.38 19.68 103.02 1.07
39 Hyman Beck and Company
Global Portfolio
7.76 68.33 100.10 0.66
40 Rabar Market Research
Diversified Program
24.57 57.40 97.68 0.65
41 Four Seasons Commodities Corp
Hawkeye Spread Program
15.29 22.57 93.64 1.34
42 Quantmetrics Capital Management LLP
Premier 12V Strategy
-7.35 35.89 91.47 1.92
43 Mark J. Walsh Company
Standard Program
39.91 68.30 90.19 0.67
44 Eckhardt Trading Company
Evolution Strategies 1.2X
24.23 34.69 90.05 0.81
45 Red Rock Capital, LLC
Systematic Global Macro
7.65 65.11 89.48 0.86
46 Superfund Group
Superfund Green Gold C (SPC)
38.90 21.07 89.39 0.55
47 Rosetta Capital Management
Rosetta Trading Program
26.67 40.03 87.25 0.97
48 Kelly Angle Inc.
Genesis Program
18.19 110.18 86.34 0.57
49 SMN Investment Services GmbH
smn Diversified Futures Fund (1996)
16.01 54.71 86.34 0.56
50 Estlander & Partners
Alpha Trend
13.72 58.38 85.62 0.87
51 EMC Capital Advisors, LLC
Classic
6.68 33.62 84.70 0.60
52 Amplitude Capital International Limited
Dynamic Strategy
12.59 18.14 84.56 0.80
53 AIMhedge Management Ltd.
AIM Classic Fund EUR (Institutional)
16.73 50.62 83.77 0.81
54 Clarke Capital Management
Millennium
42.62 44.20 81.63 0.59
55 Transtrend B.V.
DTP – Enhanced Risk (EUR)
15.02 33.84 81.30 1.01
56 Transtrend B.V.
DTP – Enhanced Risk (USD)
14.89 31.88 80.82 1.07
57 Welton Investment Partners
Welton Global
18.73 40.50 79.67 0.88
58 Saxon Investment Corporation
Diversified Program
6.18 41.70 79.41 0.64
59 Eckhardt Trading Company
Evolution Strategies
20.62 30.35 79.29 0.82
60 Millburn Ridgefield Corporation
Commodity Program
8.50 29.57 78.46 0.74
61 LJM Partners
LJM Aggressive Strategy
38.20 6.84 78.40 0.74
62 FORT LP
Fort Global Diversified
34.46 49.39 75.46 0.83
63 Millburn Ridgefield Corporation
Multi-Markets Program
7.50 37.93 75.42 0.86
64 Abraham Trading Company
Diversified Program
8.56 32.05 75.21 0.67
65 Ancile Capital Management
Global Markets Program
4.17 25.62 72.26 0.86
66 Transtrend B.V.
DTP – Enhanced Risk (JPY)
15.07 29.34 72.00 0.90
67 AIS Capital Management, L.P.
MAAP (2x-4x) Composite
40.74 10.25 71.72 0.53
68 Drury Capital
Diversified Trend-Following Program
0.65 92.76 71.32 0.71
69 Conquest Capital Group
Conquest Macro
4.91 31.17 71.30 0.60
70 ReSolve Asset Management Inc.
Resolve Acorn Diversified Program
15.32 32.65 68.69 0.74
71 Neural Capital Ltd
Sentinel Trading Program
19.89 15.81 67.58 0.56
72 Conquest Capital Group
Conquest Select
5.75 39.60 67.05 0.53
73 Quantitative Investment Management
Quantitative Global Program
-3.08 20.95 66.87 1.19
74 Covenant Capital Management
Original Program
23.77 70.38 65.39 0.83
75 Molinero Capital Management LLP
Global Markets Program
9.21 14.54 64.77 0.95
76 ITB Capital Management, LLC
ITB Premium Fund I, LTD
17.04 17.04 62.90 0.63
77 Mobius Asset Management
Energy Weighted Program
2.28 21.55 62.26 1.21
78 FORT LP
Fort Global Contrarian
27.84 39.50 60.98 1.00
79 Rhicon Currency Management
Rhicon Systematic Currency Program
10.02 33.22 60.81 0.87
80 Kinkopf Capital Management
KCM S&P (Proprietary)
9.67 42.55 58.63 0.57
81 Strategic Ag Trading
Chatham
14.50 21.29 58.46 0.31
82 Millburn Ridgefield Corporation
Diversified Program
12.44 26.93 58.16 0.89
83 NuWave Investment Management, LLC
NuWave Investment Partners LP
-0.49 38.40 56.98 0.85
84 Eclipse Capital Management
Global Monetary
11.92 16.14 55.76 0.58
85 Crabel Capital Management
Crabel Multi-Product
9.51 8.10 55.74 0.73
86 Briarwood Capital Management, Inc.
Diversified Trading Program
6.83 25.75 55.70 0.79
87 Argus Capital Management Pty Ltd
Dynamic Multi-strategy Program
4.27 48.33 55.48 0.68
88 RAM Management Group
RAM MRTP 1X-Conservative
11.93 41.23 55.21 0.63
89 Witter & Lester, Inc.
Stock Index Futures Trading Program
0.75 16.79 55.03 0.56
90 John Locke Investments
Cyril Systematic Program
8.41 24.82 54.67 0.63
91 NuWave Investment Management, LLC
Combined Futures Portfolio
-0.83 38.35 54.60 0.83
92 Haar Capital Management
Discretionary Commodity Trading Program
6.36 4.44 54.55 0.65
93 Quantica Capital AG
Quantica Managed Futures
8.64 30.68 54.09 1.00
94 M.S. Capital Management
Global Diversified Program
23.31 34.66 53.27 0.35
95 Clarke Capital Management
FX Plus
25.95 53.26 53.26 0.46
96 AIS Capital Management, L.P.
MAAP (3x-6x) Composite
66.29 -13.39 52.33 0.55
97 W.G. Wealth Guardian Ltd.
SAFI2 Program
4.40 21.81 50.96 1.31
98 Systematic Alpha Management
Systematic Alpha Futures Program
-0.09 23.44 50.13 1.47
99 IKOS
The IKOS Hedge Fund
6.95 17.91 50.09 1.18
100 Four Seasons Commodities Corp
Lone Star Program
11.11 18.90 49.35 1.09
101 Mobius Asset Management
Custom Trading Program
12.75 32.49 48.27 0.75
102 KMJ Investments
KMJ Investments
-2.57 -7.59 47.71 0.93
103 Chesapeake Capital
Diversified (LV)
10.85 28.39 45.61 0.68
104 Alder Capital DAC
Alder Global 20
8.32 25.63 44.25 0.54
105 Sunrise Capital Partners
Sunrise Expanded Diversified Program
-7.24 25.69 42.46 0.60
106 Robust Methods LLC
Macro Managed Account
-4.41 3.73 41.53 0.74
107 Transtrend B.V.
DTP – Standard Risk (EUR)
8.50 18.80 40.78 0.91
108 Claughton Capital
Institutional Program
-2.68 2.38 40.76 0.44
109 Superfund Group
Superfund Blue SPC Class A (EUR)
7.91 32.69 39.48 0.59
110 Range Wise
Investment Program
11.89 6.86 37.20 0.68
111 Mobius Asset Management
Diversified Program
2.63 11.88 35.76 0.37
112 Estlander & Partners
Global XL
9.41 46.85 35.29 0.53
113 Crescent Bay Capital Management
Premium Stock Index Program
10.09 6.74 34.44 0.54
114 Kaiser Trading Group
Kaiser Global Diversified Program - Class B
4.67 8.55 33.99 0.87
115 M6 Capital Management LLC
Standard Program
19.24 10.26 33.32 0.55
116 Superfund Group
Superfund Green Master
34.07 14.36 33.20 0.58
117 MERIT Alternative Investments GmbH
Futures Portfolio
2.79 18.88 31.87 0.73
118 Sequent Capital
Sequent CTA - Fundamental Diversified (V12)
0.00 11.18 31.45 0.78
119 Capricorn Strategies Limited
Capricorn fxST (Lev1)
9.84 46.04 29.35 1.31
120 Hehmeyer Capital Management, LLC
Commodity Capital - Grain & Oil Seeds Program
9.67 8.52 27.77 0.71
121 Rotella Capital Management
Rotella Polaris Program (Diversified)
3.52 11.88 27.31 1.07
122 Superfund Group
Superfund Green Q-AG
12.93 15.54 25.32 0.64
123 Trigon Investment Advisors, LLC
Global Macro Program (LIQUIDATED as of July 31, 2017)
1.70 19.17 25.11 0.54
124 Rhicon Currency Management
Rhicon Strategic Program
0.13 9.27 24.47 0.85
125 Warrington Asset Management
Warrington Strategic Program
-6.62 -8.54 20.52 1.21
126 Dominion Capital
Sapphire Program
-9.84 12.96 20.40 0.56
127 Estlander & Partners
Global Markets
4.90 21.55 18.80 0.44
128 C-View Limited
Currency Managed Account Program
3.70 5.52 17.06 1.28
129 Superfund Group
Superfund Green L.P. Series A
14.50 4.34 16.76 0.29
130 Superfund Group
Superfund Green L.P. Series B
21.92 -0.06 16.56 0.35
131 Midwest Trading Partners, LLC
Micro-Arbitrage Program (MAP)
-0.41 5.09 14.83 1.44
132 Clarke Capital Management
Global Magnum
9.38 8.16 14.71 0.58
133 Trigon Investment Advisors, LLC
Foreign Exchange Program
8.38 21.95 14.66 0.51
134 Clarke Capital Management
Global Basic
-16.68 5.27 13.11 0.64
135 Xplor Capital Management, LLC
Global CTA Program
12.68 27.86 12.93 0.29
136 Manning & Napier
MN Xenon Global Fixed Income Program
0.68 7.60 12.88 0.44
137 Mondiale Asset Management
Mondiale Trading Program
2.28 -0.95 9.38 0.92
138 Superfund Group
Superfund Green GCT USD
17.19 5.97 8.05 0.54
139 Witter & Lester, Inc.
Redstone
0.23 -0.15 7.77 0.62
140 Jaguar Investments Ltd
Vario Capital Strategy
-4.60 -13.22 4.62 0.24
141 Campbell & Company, LP
Campbell Managed Futures Composite (f/k/a FME Large)
10.88 2.63 -6.20 0.62
142 Ansbacher Investment Management
Market Neutral Put Skew Program
11.77 -17.11 -6.30 0.54
143 Mesirow Financial Investment Management, Inc.
Extended Markets Alpha Program
-11.20 -13.78 -6.67 0.50
144 Insch Capital Management SA
Interbank Currency Program - 3X Leverage
-2.78 -13.49 -11.38 0.67
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