2011 IASG CTA Index 5 Year Rolling

Rank CTA/Program 1yr 3yr 5yr Sharpe
1 HPX Financial LLC
HPX Old School Program
69.96 365.72 4,888.10 2.00
2 Schindler Capital Management, LLC
Dairy Advantage Program
95.32 91.69 2,070.97 0.95
3 Novus Investments, LLC
Novus Precious Commodities
10.33 281.38 465.83 0.88
4 Emil van Essen
Spread Trading Program
33.99 92.27 368.53 1.09
5 Kottke Associates
Stockton Fundamental Ag
-11.42 164.39 331.13 1.19
6 RAM Management Group
MRTP Aggressive
7.45 55.26 321.75 0.56
7 Dendrich Ltd
QEP
-7.20 124.54 220.54 0.99
8 Alee Capital Management, LLC
Poniente Program
-4.75 9.42 190.95 0.61
9 Hawksbill Capital Management
Global Diversified
-9.63 20.67 184.92 0.61
10 Arcanum Asset Management
Equity Index Option Program (Prop)
26.34 128.99 183.01 0.93
11 Dreiss Research Corporation
Diversified Program
-3.78 15.20 180.43 0.65
12 Parizek Capital
Futures Trading Program
-6.66 7.59 178.68 0.49
13 Quantum Leap Capital Management
Managed Account Program
20.73 3.14 178.18 0.73
14 Saxon Investment Corporation
Aggressive Diversified Program
6.28 40.93 166.13 0.64
15 Alee Capital Management, LLC
Mistral Program
-5.28 31.56 164.52 0.75
16 Revolution Capital Management
Mosaic Program
-19.94 -26.81 154.84 0.64
17 ISAM
ISAM Systematic Trend Fund
-2.74 27.61 151.49 0.83
18 DUNN Capital Management
D'Best Futures Fund, L.P.
1.90 14.40 148.69 0.46
19 Keck Capital Management LLC
The Keck Program
20.69 42.59 147.09 0.69
20 Blackwater Capital Management
Global Program
1.02 27.50 145.12 0.85
21 Kelly Angle Inc.
Genesis Program
20.46 11.45 138.18 0.58
22 Di Tomasso Group Inc.
Equilibrium Program
-11.72 65.04 134.73 1.02
23 Clarke Capital Management
Jupiter
-6.39 0.77 133.01 0.66
24 Tactical Investment Management
Tactical Institutional Commodity Program
-27.91 46.22 131.68 0.76
25 FORT LP
Fort Global Diversified
39.93 87.26 128.28 0.89
26 DUNN Capital Management
World Monetary and Agriculture Program (WMA)
6.37 38.27 125.32 0.54
27 Revolution Capital Management
Alpha Fund
-3.81 9.59 124.55 0.94
28 Salus Alpha Capital Ltd
Salus Alpha Directional Markets (DMX)
-10.72 1.55 123.82 1.33
29 Blackheath Fund Management Inc.
Blackheath Offshore Limited Class A
16.63 63.19 122.19 0.70
30 Clarke Capital Management
Worldwide
-25.82 -6.56 118.87 0.64
31 Covenant Capital Management
Aggressive Program
-1.66 55.12 105.96 1.08
32 Wimmer Horizon LLP
Managed Account
0.44 7.23 100.98 0.81
33 Quantmetrics Capital Management LLP
Quantmetrics Multi Strategy Fund
10.59 8.97 95.82 1.54
34 Mulvaney Capital Management
The Mulvaney Global Markets Fund
-5.26 20.28 93.08 0.58
35 Paskewitz Asset Management LLC
Contrarian S&P Stock Index
8.01 3.93 91.52 0.94
36 Mark J. Walsh Company
Standard Program
-4.92 6.47 90.70 0.65
37 Silicon Valley Quantitative Advisors
US Quantitative Portfolio (UQP)
5.87 33.21 87.94 0.60
38 FORT LP
Fort Global Contrarian
28.70 77.24 86.48 1.11
39 GIC Trading LLC
Global Diversified Trading Program
-17.98 -7.40 82.83 0.50
40 Red Rock Capital, LLC
Systematic Global Macro
1.13 11.51 81.30 0.79
41 Saxon Investment Corporation
Diversified Program
3.63 21.53 80.72 0.63
42 Quantmetrics Capital Management LLP
Premier 12V Strategy
4.25 5.85 76.74 1.75
43 Covenant Capital Management
Original Program
2.70 46.79 76.63 0.79
44 Clarke Capital Management
Millennium
4.62 -22.85 73.23 0.57
45 AIMhedge Management Ltd.
AIM Classic Fund EUR (Institutional)
-5.77 -0.39 73.15 0.65
46 Red Oak Commodity Advisors
Investment Program
-6.55 36.83 73.13 0.64
47 RAM Management Group
RAM MRTP 1X-Conservative
3.29 18.96 70.82 0.61
48 LJM Partners
LJM Moderately Aggressive Strategy
2.67 62.75 70.78 0.96
49 Drury Capital
Diversified Trend-Following Program
-16.16 -7.99 69.78 0.60
50 LJM Partners
LJM Preservation & Growth Strategy
8.22 33.73 68.81 1.14
51 Rabar Market Research
Diversified Program
-9.10 21.03 64.76 0.61
52 Briarwood Capital Management, Inc.
Diversified 2XL
-6.99 25.97 64.74 0.70
53 Quantitative Investment Management
Quantitative Global Program
4.99 12.87 64.50 1.11
54 Southwest Managed Investments, LLC
Global Diversified
-11.61 -2.64 64.11 0.36
55 SMN Investment Services GmbH
smn Diversified Futures Fund (1996)
-7.77 -9.99 62.04 0.49
56 Romanesco Capital Management B.V
Persistence Program
4.48 24.80 61.83 0.98
57 Amplitude Capital International Limited
Dynamic Strategy
-7.02 -3.91 61.24 0.63
58 Quantmetrics Capital Management LLP
Directional 10V Strategy
11.09 7.71 60.61 0.82
59 Clarke Capital Management
Global Basic
12.00 -34.46 59.44 0.64
60 Ancile Capital Management
Global Markets Program
12.40 17.81 58.89 0.87
61 Superfund Group
Superfund Green Gold A (SPC)
-11.88 -0.60 56.83 0.55
62 AIS Capital Management, L.P.
MAAP (2x-4x) Composite
-8.87 111.06 54.54 0.48
63 Rosetta Capital Management
Rosetta Trading Program
5.67 28.14 54.31 0.93
64 Four Seasons Commodities Corp
Hawkeye Spread Program
5.62 26.00 53.24 1.18
65 Eckhardt Trading Company
Evolution Strategies 1.2X
-18.37 -4.19 53.14 0.75
66 Abraham Trading Company
Diversified Program
-5.10 -2.71 52.64 0.65
67 W.G. Wealth Guardian Ltd.
SAFI2 Program
10.08 14.49 51.80 1.30
68 Estlander & Partners
Alpha Trend
-12.31 0.76 51.73 0.78
69 Clarke Capital Management
FX Plus
-5.13 -9.10 51.68 0.40
70 Quality Capital Management
Global Diversified Programme
-20.96 -19.09 51.61 0.64
71 Manning & Napier
MN Xenon Managed Futures (2x) Program
8.59 -6.70 51.14 0.55
72 Quantica Capital AG
Quantica Managed Futures
8.99 19.78 50.83 0.97
73 Millburn Corporation
Multi-Markets Program
-4.18 0.92 49.65 0.71
74 NuWave Investment Management, LLC
NuWave Investment Partners LP
7.38 -1.81 49.62 0.82
75 Neural Capital Ltd
Sentinel Trading Program
14.65 23.10 49.13 0.58
76 Conquest Capital Group
Conquest Macro
-6.09 -15.39 48.91 0.52
77 ReSolve Asset Management Inc.
Resolve Acorn Diversified Program
-5.91 2.03 48.48 0.59
78 Somers Brothers Capital
Diversified Futures Program #1
-10.47 -7.08 48.12 0.63
79 Transtrend B.V.
DTP – Enhanced Risk (EUR)
-9.11 -6.80 47.68 0.87
80 NuWave Investment Management, LLC
Combined Futures Portfolio
6.76 -2.70 47.53 0.80
81 Eckhardt Trading Company
Evolution Strategies
-15.64 -2.83 47.47 0.74
82 Transtrend B.V.
DTP – Enhanced Risk (USD)
-8.65 -6.88 47.44 0.98
83 Auspice Capital Advisors Ltd
Auspice Diversified Program
-1.41 5.11 46.86 0.36
84 IKOS
The IKOS Hedge Fund
1.42 26.83 45.89 1.10
85 Mobius Asset Management
Energy Weighted Program
-3.16 10.90 45.74 1.01
86 Robinson-Langley Capital Management, LLC
Managed Account Program
-18.66 -17.61 45.67 0.43
87 Hyman Beck and Company
Global Portfolio
-10.26 0.85 42.22 0.60
88 Clarke Capital Management
Global Magnum
4.87 -22.50 42.05 0.57
89 Crabel Capital Management
Crabel Multi-Product
-1.45 7.56 41.59 0.69
90 Transtrend B.V.
DTP – Enhanced Risk (JPY)
-8.75 -6.89 41.48 0.68
91 EMC Capital Advisors, LLC
Classic
-10.74 -18.45 39.92 0.58
92 Four Seasons Commodities Corp
Lone Star Program
3.07 18.61 39.65 0.99
93 Millburn Corporation
Commodity Program
-5.64 -6.64 39.54 0.59
94 Mesirow Financial Investment Management, Inc.
Asian Markets Alpha Program
4.09 7.58 38.26 0.73
95 SEB Asset Management
SEB Asset Selection Fund C (EUR)
1.60 1.71 38.06 0.73
96 Mobius Asset Management
Diversified Program
-0.02 9.71 37.30 0.34
97 Superfund Group
Superfund Blue SPC Class A (EUR)
-2.89 8.24 36.55 0.45
98 Kinkopf Capital Management
KCM S&P (Proprietary)
-4.44 50.30 36.35 0.52
99 Conquest Capital Group
Conquest Select
-9.68 -17.02 36.01 0.37
100 Millburn Corporation
Diversified Program
-6.39 -2.73 35.75 0.86
101 Estlander & Partners
Global XL
-7.38 12.08 35.44 0.50
102 Rhicon Currency Management
Rhicon Systematic Currency Program
-13.12 0.88 34.45 0.58
103 Argus Capital Management Pty Ltd
Dynamic Multi-strategy Program
-14.01 -12.30 33.82 0.61
104 Heyden & Steindl GmbH
TOMAC2
-27.10 -32.19 33.57 0.70
105 Welton Investment Partners
Welton Global
-14.44 -4.07 33.44 0.62
106 Capricorn Strategies Limited
Capricorn fxST (Lev1)
-1.59 27.11 33.37 1.16
107 John Locke Investments
Cyril Systematic Program
-9.06 -8.78 33.37 0.52
108 Sequent Capital
Sequent CTA - Fundamental Diversified (V12)
0.00 0.00 32.84 0.70
109 AIS Capital Management, L.P.
MAAP (3x-6x) Composite
-17.17 171.70 32.21 0.51
110 Sunrise Capital Partners
Sunrise Expanded Diversified Program
1.00 -2.25 31.94 0.58
111 MERIT Alternative Investments GmbH
Futures Portfolio
1.10 6.64 31.54 0.68
112 ITB Capital Management, LLC
ITB Premium Fund I, LTD
-2.98 23.97 29.70 0.49
113 Alder Capital DAC
Alder Global 20
-2.46 18.30 28.84 0.47
114 Superfund Group
Superfund Green Gold B (SPC)
-19.29 -23.11 28.70 0.48
115 Briarwood Capital Management, Inc.
Diversified Trading Program
-2.87 12.88 28.25 0.71
116 Mobius Asset Management
Custom Trading Program
-20.11 -11.69 27.44 0.56
117 Haar Capital Management
Discretionary Commodity Trading Program
4.70 7.43 27.03 0.63
118 Witter & Lester, Inc.
Stock Index Futures Trading Program
-3.72 11.84 26.62 0.53
119 Rhicon Currency Management
Rhicon Strategic Program
3.43 -0.98 26.19 0.83
120 M6 Capital Management LLC
Standard Program
7.84 21.03 26.07 0.56
121 Kaiser Trading Group
Kaiser Trading Fund 2X SPC - Share Class B
-9.59 -8.60 25.95 0.43
122 Rotella Capital Management
Rotella Orion (Short-Term) Program
-1.05 8.49 25.94 0.53
123 Molinero Capital Management LLP
Global Markets Program
-7.89 -6.34 24.81 0.67
124 Transtrend B.V.
DTP – Standard Risk (EUR)
-6.57 -6.58 24.57 0.76
125 Chesapeake Capital
Diversified (LV)
-6.31 4.26 23.03 0.64
126 LJM Partners
LJM Aggressive Strategy
-5.10 96.75 22.93 0.69
127 Hehmeyer Capital Management, LLC
Commodity Capital - Grain & Oil Seeds Program
3.09 15.92 21.91 0.69
128 Range Wise
Investment Program
0.01 2.14 21.53 0.65
129 Eclipse Capital Management
Global Monetary
-12.65 -15.31 18.69 0.52
130 Dominion Capital
Sapphire Program
-1.15 -6.33 18.47 0.43
131 Estlander & Partners
Global Markets
-3.35 6.93 18.46 0.39
132 Warrington Asset Management
Warrington Strategic Program
12.52 24.64 18.37 1.22
133 Manning & Napier
MN Xenon Global Fixed Income Program
7.12 2.84 18.10 0.53
134 Robust Methods LLC
Macro Managed Account
-2.37 -7.64 17.91 0.58
135 ITB Capital Management, LLC
ITB Capital Income Fund I, LTD
-3.75 28.26 17.75 0.22
136 KMJ Investments
KMJ Investments
1.53 -5.20 16.43 0.90
137 Systematic Alpha Management
Systematic Alpha Futures Program
-11.72 -6.74 15.53 0.92
138 Claughton Capital
Institutional Program
-1.60 -10.87 15.19 0.35
139 Kaiser Trading Group
Kaiser Global Diversified Program - Class B
-5.83 -5.69 14.24 0.78
140 Rotella Capital Management
Rotella Polaris Program (Diversified)
-3.77 -7.21 11.51 1.01
141 Crescent Bay Capital Management
Premium Stock Index Program
0.19 12.64 9.18 0.46
142 Witter & Lester, Inc.
Redstone
3.61 8.68 8.75 0.63
143 M.S. Capital Management
Global Diversified Program
-17.03 11.72 7.79 0.24
144 Midwest Trading Partners, LLC
Micro-Arbitrage Program (MAP)
-1.40 0.01 7.57 1.16
145 Strategic Ag Trading
Chatham
-20.12 -16.71 7.55 0.15
146 Trigon Investment Advisors, LLC
Foreign Exchange Program
-8.56 -10.82 7.22 0.40
147 C-View Limited
Currency Managed Account Program
-2.52 -1.45 6.87 1.20
148 Trigon Investment Advisors, LLC
Global Macro Program (LIQUIDATED as of July 31, 2017)
-9.83 -6.31 4.88 0.35
149 Xplor Capital Management, LLC
Global CTA Program
1.16 0.15 0.02 0.27
150 Superfund Group
Superfund Green Gold C (SPC)
-27.36 -42.71 -1.68 0.42
151 Mondiale Asset Management
Mondiale Trading Program
-0.65 3.12 -2.00 0.84
152 Insch Capital Management SA
Interbank Currency Program - 3X Leverage
10.10 -23.04 -3.64 0.67
153 Jaguar Investments Ltd
Vario Capital Strategy
6.74 -8.66 -4.03 0.30
154 Superfund Group
Superfund Green Q-AG
-17.32 -29.47 -6.20 0.56
155 Mesirow Financial Investment Management, Inc.
Extended Markets Alpha Program
-0.96 -15.69 -9.86 0.37
156 Superfund Group
Superfund Green L.P. Series A
-15.75 -32.38 -12.91 0.20
157 Campbell & Company, LP
Campbell Managed Futures Composite (f/k/a FME Large)
-4.70 -1.91 -15.25 0.59
158 Superfund Group
Superfund Green Master
-29.79 -53.91 -22.96 0.48
159 Superfund Group
Superfund Green L.P. Series B
-21.70 -46.61 -23.78 0.26
160 Ansbacher Investment Management
Market Neutral Put Skew Program
-18.70 12.37 -29.17 0.44
161 Superfund Group
Superfund Green GCT USD
-27.89 -49.23 -31.16 0.43
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