2013 IASG CTA Index 5 Year Rolling

Rank CTA/Program 1yr 3yr 5yr Sharpe
1 Old Park Capital
Aegir
13.75 188.83 627.71 2.80
2 Non Correlated Capital
Positive Theta Fund
1.01 43.28 595.30 1.53
3 HPX Financial LLC
HPX Old School Program
2.94 111.49 479.52 1.73
4 Non Correlated Capital
Positive Theta Program
-3.13 34.94 408.13 1.47
5 Arcanum Asset Management
Equity Index Option Program (Prop)
30.44 133.35 322.93 1.12
6 Dendrich Ltd
QEP
-0.68 62.20 292.45 1.00
7 Novus Investments, LLC
Novus Precious Commodities
-11.88 7.14 270.35 0.72
8 QQFund.com
QQFund.com Alpha Beta Program
91.24 88.43 262.77 0.89
9 HiProb Trading Technology LLC
HiProb-I
8.96 71.61 254.15 1.51
10 Global AG LLC
Global Ag LLC
7.31 43.44 238.79 1.00
11 ITB Capital Advisors LLC
ITB Time Value Trading Program
14.97 90.59 221.28 1.06
12 SMILe Global Management Limited
SMILe Managed Currency Account (JD Standard)
29.41 98.34 219.63 2.40
13 Kottke Associates
Stockton Fundamental Ag
3.39 -7.67 175.57 1.03
14 LJM Partners
LJM Aggressive Strategy
-4.84 31.63 172.90 0.70
15 OptHedge Advisors LLC
Diversified Options & Futures Program
0.91 38.80 156.32 2.45
16 Paramount Capital Management LLC
Commodity Trading Program
-13.38 71.56 138.97 0.41
17 White River Group
Diversified Option Writing Strategy
-18.87 14.22 126.54 0.82
18 White River Group
Stock Index Option Writing Strategy
16.48 53.35 111.37 1.39
19 A-VENTURE CAPITAL S.A
A-VENTURE CAPITAL S.A Euros signals
6.39 27.03 109.33 1.29
20 LJM Partners
LJM Moderately Aggressive Strategy
-4.73 31.38 108.27 0.94
21 Vergho Asset Management LLC
Kinematics
6.90 20.35 100.74 1.77
22 Kinkopf Capital Management
KCM S&P (Proprietary)
-17.20 23.39 94.07 0.53
23 FORT LP
Fort Global Diversified
-4.67 42.90 91.23 0.83
24 Schindler Capital Management, LLC
Dairy Advantage Program
1.17 91.97 88.39 0.81
25 Bluenose Capital Management, LLC
BNC BI
-6.73 29.07 88.13 1.16
26 FORT LP
Fort Global Contrarian
1.62 34.48 85.21 0.97
27 Ansbacher Investment Management
Market Neutral Put Skew Program
16.28 33.88 85.06 0.55
28 Rosetta Capital Management
Macro Program
-23.62 -17.26 81.98 0.51
29 ITB Capital Management, LLC
ITB Capital Income Fund I, LTD
6.77 32.05 75.96 0.40
30 Esulep LLC MAX
Esulep LLC MAX
10.05 38.31 73.89 1.87
31 ITB Capital Management, LLC
ITB Premium Fund I, LTD
6.33 34.92 72.40 0.68
32 AIS Capital Management, L.P.
MAAP (2x-4x) Composite
-26.43 -26.24 70.83 0.41
33 AIS Capital Management, L.P.
MAAP (3x-6x) Composite
-44.89 -48.08 70.32 0.44
34 Crabel Capital Management
WPD Crabel Futures Program
1.84 50.94 67.36 0.82
35 White Indian Trading Co.
STAIRS - Futures Program (Client)
-14.80 30.76 60.50 0.44
36 Covenant Capital Management
Aggressive Program
-3.54 0.85 59.08 0.91
37 Typhon Capital Management, LLC
Plutus Grain Strategy
5.40 20.73 58.96 0.95
38 Emil van Essen
Spread Trading Program
-6.60 10.60 58.70 0.78
39 Keck Capital Management LLC
The Keck Program
10.63 30.04 53.64 0.61
40 Romanesco Capital Management B.V
Persistence Program
3.33 27.27 52.03 0.93
41 Superfund Group
Superfund Blue SPC Class A (Gold)
-22.85 -17.05 51.97 0.60
42 Briarwood Capital Management, Inc.
Diversified 2XL
-2.55 11.79 51.40 0.67
43 Strategic Ag Trading
SAT HEARTLAND
1.86 26.70 51.18 0.78
44 DUNN Capital Management
World Monetary and Agriculture Program (WMA)
34.16 16.12 50.94 0.52
45 Tanyard Creek Capital
Livestock Program
4.06 25.21 50.88 0.94
46 Covenant Capital Management
Original Program
0.55 5.47 50.74 0.72
47 Diamond Peak Capital LLC
Northstar (2x) program
16.44 19.76 50.03 0.75
48 Four Seasons Commodities Corp
Hawkeye Spread Program
10.40 25.22 49.38 1.10
49 Red Oak Commodity Advisors
Investment Program
6.51 1.24 48.23 0.63
50 Rosetta Capital Management
Rosetta Trading Program
-2.99 19.03 44.34 0.87
51 Mesirow Financial Investment Management, Inc.
Emerging Markets Currency Alpha Programme
-0.30 16.98 44.04 0.75
52 Quantmetrics Capital Management LLP
Directional 10V Strategy
13.14 46.50 42.04 0.97
53 Bluenose Capital Management, LLC
BNC EI
-5.79 24.45 41.72 0.78
54 Alee Capital Management, LLC
Mistral Program
16.42 1.78 41.35 0.71
55 Warrington Asset Management
Warrington Strategic Program
0.54 27.51 41.24 1.20
56 Revolution Capital Management
Alpha Program
11.53 23.03 41.12 1.02
57 Emil van Essen
EvE Systematic Global Opportunities
11.72 17.70 36.25 0.68
58 Alee Capital Management, LLC
Poniente Program
23.80 18.39 36.01 0.62
59 LJM Partners
LJM Preservation & Growth Strategy
-8.43 9.89 35.79 0.83
60 Hehmeyer Capital Management, LLC
Commodity Capital - Grain & Oil Seeds Program
5.85 19.25 34.08 0.89
61 Blackheath Fund Management Inc.
Blackheath Offshore Limited Class A
-10.64 -4.41 33.75 0.52
62 Capricorn Strategies Limited
Capricorn fxST (Lev1)
4.79 3.43 33.59 1.10
63 Alder Capital DAC
Alder Global 20
17.63 9.83 33.21 0.46
64 M6 Capital Management LLC
Standard Program
1.75 18.67 33.18 0.53
65 Neural Capital Ltd
Sentinel Trading Program
14.26 23.60 32.71 0.48
66 Saxon Investment Corporation
Aggressive Diversified Program
-2.13 -0.61 31.80 0.60
67 Witter & Lester, Inc.
Stock Index Futures Trading Program
13.53 12.61 30.81 0.54
68 IKOS
The IKOS Hedge Fund
7.25 3.90 29.94 1.00
69 Kottke Associates
Lark - Cattle Program
-6.55 -9.01 29.88 0.58
70 RAM Management Group
MRTP Aggressive
-34.94 -10.35 29.54 0.48
71 Quantica Capital AG
Quantica Managed Futures
10.46 15.08 26.46 0.83
72 Crabel Capital Management
Crabel Multi-Product
2.11 15.87 26.46 0.69
73 Quantmetrics Capital Management LLP
Quantmetrics Multi Strategy Fund
8.92 27.62 25.75 1.30
74 Four Seasons Commodities Corp
Lone Star Program
3.22 8.64 25.02 0.87
75 Rotella Capital Management
Rotella Orion (Short-Term) Program
6.38 13.85 24.84 0.51
76 TMS Capital Limited
Arktos Global Currency Program II
-1.76 7.93 24.52 0.77
77 Tactical Investment Management
Tactical Institutional Commodity Program
-15.74 -38.64 24.44 0.68
78 Gables Capital Management, Inc.
GCM Global FX
29.40 5.05 24.44 0.38
79 Briarwood Capital Management, Inc.
Diversified Trading Program
-0.43 6.90 24.23 0.68
80 IKOS
IKOS FX Fund
-9.36 -16.94 23.85 0.49
81 Auctos Capital Management
Auctos Global Diversified
0.18 -1.11 23.41 0.54
82 Revolution Capital Management
Alpha Fund
13.06 8.21 23.27 0.91
83 Dominion Capital
Sapphire Program
19.21 29.83 23.03 0.61
84 Beryl Investment Group LLC
Nominal Discretionary System
-6.99 -2.55 22.89 0.54
85 Mondiale Asset Management
Mondiale Trading Program
9.63 18.18 22.66 0.89
86 Purple Valley Capital, Inc.
Diversified Trend 1
-24.21 -32.68 19.01 0.46
87 Quantitative Investment Management
Quantitative Global Program
-0.43 9.40 17.61 0.94
88 Witter & Lester, Inc.
Redstone
2.06 11.70 17.16 0.65
89 Saxon Investment Corporation
Diversified Program
-1.26 -0.27 16.96 0.60
90 Endeavour Capital LLP
Endeavour Pembroke
-3.18 -4.89 16.58 0.44
91 Superfund Group
Superfund Blue SPC Class A (EUR)
12.95 4.05 15.97 0.43
92 W.G. Wealth Guardian Ltd.
SAFI2 Program
-5.00 11.46 15.91 1.13
93 Mulvaney Capital Management
The Mulvaney Global Markets Fund
43.11 -10.16 14.06 0.51
94 Clarke Capital Management
Global Magnum
-4.63 53.36 13.33 0.60
95 C-View Limited
Emerging & Minor Currency Program
0.64 2.40 13.27 0.70
96 DUNN Capital Management
D'Best Futures Fund, L.P.
37.63 0.80 13.17 0.43
97 Di Tomasso Group Inc.
Equilibrium Program
-11.64 -39.57 12.98 0.78
98 RAM Management Group
RAM MRTP 1X-Conservative
-12.87 -2.17 12.68 0.53
99 Cardwell Investment Technologies
Cardwell Investment Technologies 1x Program
-2.14 13.89 12.57 0.28
100 Systematic Alpha Management
Systematic Alpha Futures Program
9.09 6.27 12.26 0.98
101 ReSolve Asset Management Inc.
Resolve Acorn Diversified Program
8.60 3.35 12.08 0.53
102 Rabar Market Research
Diversified Program
-0.79 -15.90 11.97 0.56
103 QCAM Currency Asset Management AG
QCAM v-Pro
0.11 5.20 11.80 0.51
104 Chesapeake Capital
Diversified (LV)
25.38 -1.11 10.05 0.62
105 Blackwater Capital Management
Global Program
-1.63 -12.82 10.04 0.58
106 Mesirow Financial Investment Management, Inc.
Asian Markets Alpha Program
1.06 6.15 9.71 0.57
107 Campbell & Company, LP
Campbell Managed Futures Composite (f/k/a FME Large)
10.07 6.38 9.50 0.59
108 Haar Capital Management
Discretionary Commodity Trading Program
-1.74 5.72 8.48 0.52
109 Silicon Valley Quantitative Advisors
US Quantitative Portfolio (UQP)
-14.54 -13.82 8.44 0.50
110 Ancile Capital Management
Global Markets Program
1.48 3.29 8.26 0.58
111 HB Capital Management Inc.
Diversified Program
-0.19 -2.24 8.17 0.31
112 Crescent Bay Capital Management
Premium Stock Index Program
-18.95 -4.73 7.10 0.31
113 Futures Truth Company, FTC-CTA
MS4
-2.41 -10.40 7.09 0.75
114 KMJ Investments
KMJ Investments
-1.00 14.56 6.96 0.87
115 Pacific Capital Advisors
Vanguard Program
-0.52 -5.36 6.34 0.60
116 Trigon Investment Advisors, LLC
Discretionary Macro Program
7.25 -1.54 5.72 0.25
117 Clarke Capital Management
Worldwide
-9.49 -16.11 5.69 0.60
118 Amplitude Capital International Limited
Dynamic Strategy
8.48 2.20 5.62 0.58
119 Kelly Angle Inc.
Genesis Program
12.16 13.78 5.26 0.51
120 Claughton Capital
Institutional Program
3.41 15.99 5.07 0.40
121 MERIT Alternative Investments GmbH
Futures Portfolio
1.67 -0.49 4.95 0.60
122 Rhicon Currency Management
Rhicon Strategic Program
-1.10 9.27 4.62 0.73
123 Mobius Asset Management
Energy Weighted Program
-3.71 -8.94 4.28 0.73
124 Paskewitz Asset Management LLC
Contrarian S&P Stock Index
-6.11 7.57 3.51 0.79
125 Wavefront Global Asset Management
IMFC Global Investment Program
10.03 -6.51 3.33 0.52
126 Red Rock Capital, LLC
Systematic Global Macro
0.22 -6.48 3.12 0.62
127 John Locke Investments
JL Commodity Long Flat Program
-6.52 -16.08 2.69 0.11
128 Clarke Capital Management
Jupiter
2.02 -4.64 2.66 0.52
129 Estlander & Partners
Global Markets
-5.12 -7.26 2.60 0.31
130 Kaiser Trading Group
Kaiser Trading Fund 2X SPC - Share Class B
15.52 1.46 2.58 0.42
131 Rhicon Currency Management
Rhicon Systematic Currency Program
1.74 -11.88 2.32 0.50
132 Range Wise
Investment Program
-3.23 0.04 2.17 0.60
133 Salus Alpha Capital Ltd
Salus Alpha Directional Markets (DMX)
7.40 -10.29 2.03 1.12
134 Estlander & Partners
Global XL
-10.46 -15.78 1.91 0.45
135 Eckhardt Trading Company
Evolution Strategies
0.85 -11.67 1.75 0.71
136 Liberty Funds Group, Inc
Liberty Wealth Protection Strategy (1X)
-7.71 -15.42 1.54 -0.06
137 Midwest Trading Partners, LLC
Micro-Arbitrage Program (MAP)
0.65 -0.58 0.85 0.94
138 Quantmetrics Capital Management LLP
Premier 12V Strategy
-1.41 -0.84 0.69 1.43
139 Eclipse Capital Management
Global Monetary
10.69 3.69 0.53 0.53
140 Mobius Asset Management
Diversified Program
-7.82 -8.54 0.36 0.19
141 Eckhardt Trading Company
Evolution Strategies 1.2X
0.90 -14.65 0.18 0.71
142 SEB Asset Management
SEB Asset Selection Fund C (EUR)
3.79 -0.02 0.09 0.50
143 Trigon Investment Advisors, LLC
Global Macro Program (LIQUIDATED as of July 31, 2017)
5.51 -3.87 -0.12 0.36
144 Kaiser Trading Group
Kaiser Global Diversified Program - Class B
7.24 -0.35 -0.21 0.73
145 Clarke Capital Management
FX Plus
4.78 3.38 -0.94 0.37
146 Future Trade AG
Thales Swing Trading Programme
-14.44 -13.45 -2.48 0.55
147 Rotella Capital Management
Rotella Polaris Program (Diversified)
8.96 0.85 -2.76 0.95
148 Argus Capital Management Pty Ltd
Dynamic Multi-strategy Program
2.18 -5.27 -3.39 0.59
149 Drury Capital
Diversified Trend-Following Program
9.60 -12.37 -3.83 0.56
150 Manning & Napier
MN Xenon Global Fixed Income Program
-0.90 0.14 -3.86 0.26
151 C-View Limited
Currency Managed Account Program
-1.35 -4.94 -3.90 1.07
152 Xplor Capital Management, LLC
Global CTA Program
-5.57 -3.02 -4.00 0.20
153 Transtrend B.V.
DTP – Enhanced Risk (JPY)
0.29 -7.77 -5.89 0.56
154 ISAM
ISAM Systematic Trend Fund
-10.67 -28.29 -5.92 0.59
155 M.S. Capital Management
Global Diversified Program
1.12 -30.18 -5.98 0.15
156 Transtrend B.V.
DTP – Enhanced Risk (EUR)
-1.11 -8.68 -6.36 0.76
157 Liberty Funds Group, Inc
Liberty Diversified Option Strategy
-13.66 -15.20 -6.44 -0.17
158 Estlander & Partners
Alpha Trend
1.33 -18.73 -6.62 0.70
159 Gladius Asset Management
Fulham Program
-7.27 -7.73 -6.71 0.38
160 Transtrend B.V.
DTP – Enhanced Risk (USD)
-0.61 -8.54 -6.77 0.90
161 Molinero Capital Management LLP
Global Markets Program
3.55 -8.45 -6.90 0.48
162 Ion Asset Architecture
Ion Fund Program
-3.00 -13.13 -6.95 0.31
163 Ion Asset Architecture (Fund Program)
Ion Fund
-3.00 -13.13 -6.95 0.31
164 Trigon Investment Advisors, LLC
Foreign Exchange Program
0.33 -5.42 -7.75 0.36
165 Quantum Leap Capital Management
Managed Account Program
-23.87 7.95 -7.77 0.54
166 Abraham Trading Company
Diversified Program
0.38 -10.07 -7.80 0.61
167 Transtrend B.V.
DTP – Standard Risk (EUR)
-1.43 -7.85 -7.87 0.64
168 Jaguar Investments Ltd
Vario Capital Strategy
-1.41 7.48 -8.03 0.24
169 Auspice Capital Advisors Ltd
Auspice Diversified Program
-5.04 -14.61 -8.96 0.12
170 AIMhedge Management Ltd.
AIM Classic Fund EUR (Institutional)
-3.54 -14.49 -9.61 0.47
171 Mark J. Walsh Company
Standard Program
-10.68 -19.29 -9.62 0.61
172 Southwest Managed Investments, LLC
Global Diversified
-16.50 -18.01 -9.68 0.26
173 Rho Asset Management
Rho Altius 1XL Program
-8.25 -9.24 -9.79 0.22
174 Quantica Capital AG
Quantica Diversified FX
-10.60 -22.30 -10.63 -0.17
175 Dreiss Research Corporation
Diversified Program
18.27 -26.78 -12.33 0.56
176 Insch Capital Management SA
Interbank Currency Program - 3X Leverage
0.21 25.33 -12.39 0.64
177 Hyman Beck and Company
Global Portfolio
7.54 -22.41 -12.81 0.53
178 Millburn Ridgefield Corporation
Diversified Program
-6.02 -16.86 -13.61 0.81
179 Millburn Ridgefield Corporation
Multi-Markets Program
-6.64 -18.05 -13.70 0.44
180 Tyche Capital Advisors LLC
TCA Energy Spreads
-18.56 -28.15 -13.93 -0.17
181 John Locke Investments
Cyril Systematic Program
-1.34 -14.70 -14.43 0.42
182 Sunrise Capital Partners
Sunrise Expanded Diversified Program
9.33 -12.04 -14.88 0.53
183 Manning & Napier
MN Xenon Managed Futures (2x) Program
-3.71 -1.54 -15.40 0.34
184 Heyden & Steindl GmbH
TOMAC2
6.67 -9.12 -15.47 0.68
185 Hawksbill Capital Management
Global Diversified
-19.75 -37.38 -16.39 0.55
186 Clarke Capital Management
Global Basic
-1.34 42.16 -16.82 0.63
187 Welton Investment Partners
Welton Global
-5.73 -25.89 -16.91 0.39
188 Sequent Capital
Sequent CTA - Fundamental Diversified (V12)
-14.69 -17.24 -17.24 0.23
189 Somers Brothers Capital
Diversified Futures Program #1
-0.87 -21.99 -19.03 0.48
190 Parizek Capital
Futures Trading Program
-22.60 -30.04 -19.36 0.35
191 Wimmer Horizon LLP
Managed Account
-7.42 -24.58 -19.48 0.47
192 EMC Capital Advisors, LLC
Classic
-7.33 -12.17 -19.75 0.56
193 Strategic Ag Trading
Chatham
6.86 -24.53 -21.31 0.10
194 Conquest Capital Group
Conquest Select
2.30 -15.13 -22.03 0.25
195 Mobius Asset Management
Custom Trading Program
-6.33 -29.70 -22.30 0.42
196 Altradis Capital AG
AlphAlgo
-7.94 -25.55 -22.97 0.20
197 GIC Trading LLC
Global Diversified Trading Program
-16.49 -32.35 -23.62 0.38
198 Robust Methods LLC
Macro Managed Account
-14.23 -19.57 -23.92 0.24
199 TRYCON G.C.M. AG
TRYCON CI Global Futures Fund HAIG, Class BI
-6.43 -19.68 -24.71 -0.13
200 Mesirow Financial Investment Management, Inc.
Extended Markets Alpha Program
-9.96 -11.87 -24.98 0.10
201 NuWave Investment Management, LLC
NuWave Investment Partners LP
-9.20 -18.27 -25.26 0.58
202 NuWave Investment Management, LLC
Combined Futures Portfolio
-8.86 -18.68 -25.89 0.55
203 Millburn Ridgefield Corporation
Commodity Program
-7.39 -25.92 -26.70 0.28
204 Superfund Group
Superfund Green Gold A (SPC)
-24.09 -37.55 -29.55 0.33
205 Superfund Group
Superfund Green Q-AG
6.50 -19.45 -31.28 0.50
206 QCM
Global Diversified Programme
-12.17 -33.02 -31.44 0.54
207 Clarke Capital Management
Millennium
-22.94 -7.30 -31.64 0.48
208 SMN Investment Services GmbH
smn Diversified Futures Fund (1996)
-5.95 -30.70 -32.37 0.36
209 Revolution Capital Management
Mosaic Program
41.44 -27.44 -33.67 0.46
210 Robinson-Langley Capital Management, LLC
Managed Account Program
9.91 -36.34 -35.52 0.14
211 Superfund Group
Superfund Green L.P. Series A
7.51 -21.86 -37.28 0.15
212 Estlander & Partners
Alpha Trend II - Class P
-1.17 -57.65 -41.07 -0.07
213 Superfund Group
Superfund Green Gold B (SPC)
-20.71 -43.56 -46.23 0.31
214 Conquest Capital Group
Conquest Macro
-6.63 -41.76 -47.53 0.28
215 Superfund Group
Superfund Green L.P. Series B
14.24 -26.09 -49.61 0.22
216 Superfund Group
Superfund Green GCT USD
12.50 -34.03 -53.55 0.37
217 Superfund Group
Superfund Green Master
20.92 -29.89 -53.97 0.44
218 Qbasis Invest
Futures Fund A
-32.62 -55.74 -58.95 -0.03
219 Superfund Group
Superfund Green Gold C (SPC)
-17.21 -50.29 -60.79 0.28
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