2014 IASG CTA Index 5 Year Rolling

Rank CTA/Program 1yr 3yr 5yr Sharpe
1 HPX Financial LLC
HPX Old School Program
17.89 46.69 379.91 1.66
2 QQFund.com
QQFund.com Alpha Beta Program
87.01 292.33 268.88 1.01
3 Paramount Capital Management LLC
Commodity Trading Program
1.14 62.96 243.72 0.39
4 SMILe Global Management Limited
SMILe Managed Currency Account (JD Standard)
13.35 74.93 191.54 2.18
5 Gregory P Asset Management LLC
Seasonal Spread and Options Strategy
2.84 29.18 174.57 1.05
6 ITB Capital Advisors LLC
ITB Time Value Trading Program
3.53 84.74 162.58 0.93
7 Global AG LLC
Global Ag LLC
-8.55 32.71 144.36 0.78
8 Keck Capital Management LLC
The Keck Program
26.23 36.01 137.48 0.64
9 FORT LP
Fort Global Diversified
19.02 21.54 128.68 0.85
10 Global Sigma Group, LLC
Global Sigma Plus
13.35 51.22 124.05 5.63
11 Silicon Valley Quantitative Advisors
US Quantitative Portfolio (UQP)
76.46 43.65 123.20 0.59
12 Non Correlated Capital
Positive Theta Fund
-4.76 22.40 120.70 1.36
13 Diamond Capital Management
Enhanced S&P Program
13.74 78.49 117.02 1.71
14 Cauldron Investments, LLC
Stock Index Plus
14.31 73.81 113.64 1.90
15 Schindler Capital Management, LLC
Dairy Advantage Program
48.99 46.43 107.53 0.83
16 DUNN Capital Management
World Monetary and Agriculture Program (WMA)
35.67 48.09 105.96 0.54
17 Dendrich Ltd
QEP
-7.45 61.76 105.06 0.91
18 Crabel Capital Management
WPD Crabel Futures Program
8.85 45.07 104.37 0.81
19 Mulvaney Capital Management
The Mulvaney Global Markets Fund
67.38 58.72 102.85 0.60
20 Angle Capital Management LLC
AIP Program
25.25 25.05 95.25 0.61
21 FORT LP
Fort Global Contrarian
12.36 17.41 93.18 1.00
22 Non Correlated Capital
Positive Theta Program
-8.74 10.58 93.14 1.25
23 Purple Valley Capital, Inc.
Diversified Trend 1
87.49 42.89 86.88 0.64
24 LJM Partners
LJM Aggressive Strategy
2.35 41.96 86.18 0.67
25 White River Group
Stock Index Option Writing Strategy
5.58 52.88 86.01 1.24
26 DUNN Capital Management
D'Best Futures Fund, L.P.
33.08 31.64 85.77 0.46
27 Kelly Angle Inc.
Genesis Program
38.10 30.43 85.70 0.55
28 Esulep LLC MAX
Esulep LLC MAX
10.82 32.46 85.02 1.96
29 Clarke Capital Management
Jupiter
27.10 29.48 84.46 0.56
30 Alee Capital Management, LLC
Poniente Program
29.17 60.55 82.42 0.66
31 Quantmetrics Capital Management LLP
Directional 10V Strategy
22.07 60.98 74.36 1.12
32 County Cork LLC
RLA I
27.13 62.06 73.06 0.93
33 Ansbacher Investment Management
Market Neutral Put Skew Program
15.12 89.58 72.26 0.56
34 Neural Capital Ltd
Sentinel Trading Program
14.58 23.52 69.79 0.50
35 Bluenose Capital Management, LLC
BNC BI
7.42 13.19 68.17 0.99
36 LJM Partners
LJM Moderately Aggressive Strategy
3.72 32.73 67.34 0.89
37 Novus Investments, LLC
Novus Precious Commodities
-6.38 -9.09 66.28 0.65
38 Covenant Capital Management
Original Program
27.07 30.49 65.87 0.77
39 Dreiss Research Corporation
Diversified Program
85.89 41.47 64.86 0.63
40 OptHedge Advisors LLC
Diversified Options & Futures Program
0.89 15.68 63.71 2.14
41 Clarke Capital Management
Millennium
23.46 9.39 63.22 0.50
42 Covenant Capital Management
Aggressive Program
29.50 32.80 62.53 0.95
43 Vergho Asset Management LLC
Kinematics
1.69 6.31 61.60 1.58
44 Alee Capital Management, LLC
Mistral Program
25.47 34.81 60.05 0.73
45 Kottke Associates
Stockton Fundamental Ag
-2.63 1.48 56.81 0.94
46 Rosetta Capital Management
Rosetta Trading Program
3.56 16.65 56.14 0.84
47 Tactical Investment Management
Tactical Institutional Commodity Program
50.07 27.72 55.60 0.72
48 Revolution Capital Management
Alpha Program
2.01 32.47 54.45 0.91
49 Ancile Capital Management
Global Markets Program
42.76 31.19 53.60 0.76
50 Four Seasons Commodities Corp
Hawkeye Spread Program
4.94 24.42 51.50 1.08
51 Mark J. Walsh Company
Standard Program
33.36 13.21 50.60 0.62
52 Typhon Capital Management, LLC
Plutus Grain Strategy
-2.74 4.40 49.28 0.78
53 Strategic Ag Trading
SAT HEARTLAND
5.34 19.89 48.90 0.71
54 Mesirow Financial Investment Management, Inc.
Apollo Absolute Return Strategy
8.14 19.19 48.35 1.02
55 Southwest Managed Investments, LLC
Global Diversified
44.94 34.46 48.14 0.37
56 Emil van Essen
EvE Systematic Global Opportunities
6.00 25.73 46.81 0.65
57 Clarke Capital Management
Global Magnum
-13.36 26.69 45.33 0.55
58 ReSolve Asset Management Inc.
Resolve Acorn Diversified Program
20.25 32.09 43.32 0.60
59 Future Trade AG
Thales Swing Trading Programme
19.05 5.51 43.26 0.56
60 Quantica Capital AG
Quantica Managed Futures
14.44 20.83 43.08 0.89
61 SEB Asset Management
SEB Asset Selection Opportunistic Fund C (EUR)
33.40 33.11 41.37 0.43
62 Mesirow Financial Investment Management, Inc.
Emerging Markets Alpha Programme
16.79 24.45 40.56 0.87
63 Campbell & Company, LP
Campbell Managed Futures Composite (f/k/a FME Large)
19.12 32.98 40.52 0.60
64 Quantmetrics Capital Management LLP
Quantmetrics Multi Strategy Fund
16.76 34.74 39.61 1.38
65 Crabel Capital Management
Crabel Multi-Product
9.37 28.58 38.78 0.70
66 Somers Brothers Capital
Diversified Futures Program #1
49.50 30.27 37.98 0.60
67 Insignia Managed Capital
Medallion
-13.43 1.52 37.85 0.47
68 Claughton Capital
Institutional Program
21.98 43.80 37.70 0.50
69 City Fund Management
BH
7.66 9.67 37.69 0.47
70 Superfund Group
Superfund Blue SPC Class A (Gold)
10.88 -16.87 37.04 0.61
71 Bluenose Capital Management, LLC
BNC EI
-3.37 4.91 36.94 0.44
72 ISAM
ISAM Systematic Trend Fund
61.95 19.40 36.69 0.74
73 Romanesco Capital Management B.V
Persistence Program
-10.23 9.35 34.11 0.74
74 Revolution Capital Management
Alpha Fund
2.64 15.45 33.87 0.86
75 Red Oak Commodity Advisors
Investment Program
13.08 22.51 33.62 0.63
76 Clarke Capital Management
FX Plus
2.59 11.80 33.58 0.36
77 Amplitude Capital International Limited
Klassik Strategy
27.38 38.94 33.05 0.32
78 Eclipse Capital Management
Global Monetary
14.33 35.72 32.67 0.54
79 Mondiale Asset Management
Mondiale Trading Program
8.89 29.52 31.61 0.91
80 Clarke Capital Management
Worldwide
10.51 24.98 31.35 0.60
81 M6 Capital Management LLC
Standard Program
-7.94 1.30 30.26 0.41
82 Sona Trading Strategies LLC.
Diversified Program
22.79 27.16 29.87 0.43
83 Kottke Associates
Lark - Cattle Program
26.38 22.31 29.66 0.79
84 Auctos Capital Management
Auctos Global Diversified
11.31 8.14 29.55 0.63
85 Hehmeyer Capital Management, LLC
Commodity Capital - Grain & Oil Seeds Program
-0.96 14.55 29.52 0.78
86 SinoPac Asset Management
SinoPac Multi Strategy Quant Fund
-4.00 -2.11 29.20 0.48
87 Pinstripe Trading, LLC
Standard
1.39 21.34 29.10 0.57
88 TMS Capital Limited
Arktos Global Currency Program II
3.83 -1.28 28.79 0.74
89 M.S. Capital Management
Global Diversified Program
48.06 24.61 27.48 0.28
90 Clarke Capital Management
Global Basic
6.84 35.61 26.56 0.62
91 Four Seasons Commodities Corp
Lone Star Program
4.82 10.49 26.53 0.87
92 SMN Investment Services GmbH
smn Diversified Futures Fund (1996)
57.29 18.19 26.46 0.47
93 Wavefront Global Asset Management
IMFC Global Investment Program
19.76 14.47 26.46 0.61
94 Eckhardt Trading Company
Evolution Strategies 1.2X
18.98 24.40 26.16 0.72
95 Candriam Investor Group
Alternative Return Systemat
16.05 10.68 26.13 0.55
96 Rotella Capital Management
Rotella Orion (Short-Term) Program
-0.74 14.22 26.04 0.45
97 Rabar Market Research
Diversified Program
19.85 10.88 25.55 0.58
98 Transtrend B.V.
DTP – Enhanced Risk (EUR)
19.53 20.10 25.55 0.81
99 SCT Capital Management
The Adaptive Quant Trading (AQT) Program
11.21 11.38 25.26 0.55
100 IKOS
IKOS FX Fund
19.39 0.14 25.24 0.64
101 W.G. Wealth Guardian Ltd.
SAFI2 Program
7.38 8.71 24.95 1.04
102 White Indian Trading Co.
STAIRS - Futures Program (Client)
-4.60 4.91 24.74 0.37
103 Chesapeake Capital
Diversified (LV)
13.77 20.09 24.73 0.63
104 KMJ Investments
KMJ Investments
11.65 25.97 24.61 0.87
105 Cardwell Investment Technologies
Cardwell Investment Technologies 1x Program
11.48 14.42 24.22 0.42
106 Transtrend B.V.
DTP – Enhanced Risk (JPY)
16.36 17.60 23.49 0.64
107 Eckhardt Trading Company
Evolution Strategies
15.88 21.34 23.46 0.72
108 Transtrend B.V.
DTP – Enhanced Risk (USD)
17.48 17.62 23.44 0.92
109 LJM Partners
LJM Preservation & Growth Strategy
0.94 2.49 23.35 0.69
110 Auspice Capital Advisors Ltd
Auspice Diversified Program
24.75 8.05 23.30 0.32
111 Global Bayesian Dynamics, LLC
BOND&FX Client Composite
0.55 -8.32 23.19 0.62
112 NickJen Capital Management & Consultants LLC
NRD-1
0.24 8.06 22.65 0.64
113 Red Rock Capital, LLC
Systematic Global Macro
21.80 12.64 22.62 0.71
114 Warrington Asset Management
Warrington Strategic Program
1.43 14.94 20.77 1.16
115 Capricorn Strategies Limited
Capricorn fxST (Lev1)
6.26 11.67 20.71 1.14
116 Superfund Group
Superfund Green Master
28.27 28.09 20.56 0.46
117 Hawksbill Capital Management
Global Diversified
21.99 -15.47 20.38 0.56
118 Alder Capital DAC
Alder Global 20
1.15 13.90 20.33 0.43
119 Amplitude Capital International Limited
Amplitude Sinfonie Fund A Class
18.17 27.99 20.18 0.18
120 EMC Capital Advisors, LLC
Classic
28.01 25.97 19.95 0.56
121 Mesirow Financial Investment Management, Inc.
Asian Markets Alpha Program
8.89 11.05 19.32 0.60
122 Insignia Managed Capital
Epoch3
-11.35 30.22 19.25 0.50
123 Endeavour Capital LLP
Endeavour Pembroke
15.32 9.53 19.10 0.62
124 SEB Asset Management
SEB Asset Selection Fund C (EUR)
16.77 14.91 19.09 0.66
125 Rhicon Currency Management
Rhicon Strategic Program
8.25 14.36 18.44 0.74
126 Eagle Trading Systems Inc.
Eagle Quantitative Macro
11.34 8.41 18.41 0.56
127 Abraham Trading Company
Diversified Program
21.27 14.92 18.39 0.62
128 Amplitude Capital International Limited
Dynamic Strategy
2.75 12.94 18.24 0.55
129 Salus Alpha Capital Ltd
Salus Alpha Directional Markets (DMX)
19.46 20.03 18.12 1.13
130 Molinero Capital Management LLP
Global Markets Program
17.99 17.28 17.97 0.58
131 Welton Investment Partners
Welton Global
34.01 16.07 17.92 0.55
132 Pacific Capital Advisors
Vanguard Program
13.15 9.67 17.46 0.69
133 Beryl Investment Group LLC
Nominal Discretionary System
1.87 -1.01 17.31 0.51
134 John Locke Investments
Cyril Systematic Program
26.82 18.96 17.28 0.51
135 Rosetta Capital Management
Macro Program
1.36 -21.37 17.12 0.46
136 Wimmer Horizon LLP
Managed Account
41.32 6.11 16.92 0.64
137 Seven Capital Management
Seven Absolute Return
6.76 4.59 16.90 0.36
138 Rotella Capital Management
Rotella Polaris Program (Diversified)
10.85 16.17 15.73 0.94
139 Rabar Market Research
Short-Term Program
8.15 -4.73 15.59 0.22
140 QCAM Currency Asset Management AG
QCAM v-Pro Dynamic
2.58 7.59 15.55 0.97
141 Eagle Trading Systems Inc.
Eagle Global Financials
-1.03 -9.98 15.29 0.56
142 Dominion Capital
Sapphire Program
-1.80 28.97 14.94 0.52
143 Xplor Capital Management, LLC
Global CTA Program
4.97 0.62 14.70 0.21
144 Emil van Essen
Spread Trading Program
-7.83 -23.93 13.55 0.68
145 Gladius Asset Management
Fulham Program
7.55 3.25 13.21 0.41
146 White Indian Trading Co.
STAIRS (Client)
-4.64 1.45 13.05 0.26
147 Witter & Lester, Inc.
Redstone
0.97 8.86 13.05 0.63
148 Parizek Capital
Futures Trading Program
26.56 -5.14 12.95 0.40
149 Witter & Lester, Inc.
Stock Index Futures Trading Program
-1.40 15.32 11.86 0.52
150 Futures Truth Company, FTC-CTA
MS4
4.07 -0.73 11.43 0.73
151 Blackheath Fund Management Inc.
Blackheath Offshore Limited Class A
10.42 -9.50 11.20 0.52
152 Typhon Capital Management, LLC
Chiron Currency Program
2.15 -1.85 11.11 0.55
153 Superfund Group
Superfund Blue SPC Class A (EUR)
-1.13 5.93 11.01 0.37
154 Wavefront Global Asset Management
IMFC Global Concentrated
12.17 4.27 10.67 0.33
155 Transtrend B.V.
DTP – Standard Risk (EUR)
10.64 9.11 10.61 0.69
156 Millburn Ridgefield Corporation
Diversified Program
17.76 4.59 10.08 0.82
157 Kaiser Trading Group
Kaiser Trading Fund 2X SPC - Share Class B
-1.37 10.69 9.70 0.33
158 GIC Trading LLC
Global Diversified Trading Program
40.41 15.82 9.55 0.46
159 C-View Limited
Emerging & Minor Currency Program
-0.90 -0.02 9.17 0.44
160 Insch Capital Management SA
Interbank Currency Program - 3X Leverage
-11.37 0.89 7.99 0.58
161 QCAM Currency Asset Management AG
QCAM v-Pro
1.00 3.91 7.91 0.43
162 Blackheath Fund Management Inc.
Blackheath Futures Fund LP Class A
9.70 -12.90 7.72 0.14
163 MERIT Alternative Investments GmbH
Futures Portfolio
5.03 3.37 7.42 0.59
164 Trigon Investment Advisors, LLC
Discretionary Macro Program
10.05 19.39 7.32 0.39
165 AIMhedge Management Ltd.
AIM Classic Fund EUR (Institutional)
7.41 -2.52 7.21 0.48
166 Haar Capital Management
Discretionary Commodity Trading Program
-4.74 -3.81 7.11 0.41
167 AIS Capital Management, L.P.
Frontera Global Opportunity Program (futures only)
-3.94 1.66 6.86 0.10
168 Drury Capital
Diversified Trend-Following Program
20.76 26.22 6.52 0.59
169 RAM Management Group
MRTP Aggressive
-14.33 -28.53 6.37 0.43
170 Crescent Bay Capital Management
Premium Stock Index Program
1.12 -3.85 6.06 0.29
171 Saxon Investment Corporation
Aggressive Diversified Program
-4.54 -10.73 5.51 0.58
172 Greenwave Capital Management
Greenwave Flagship
0.06 0.54 4.68 -0.08
173 Trigon Investment Advisors, LLC
Global Macro Program (LIQUIDATED as of July 31, 2017)
6.73 13.79 4.35 0.37
174 RAM Management Group
RAM MRTP 1X-Conservative
-4.71 -9.74 4.34 0.49
175 Conquest Capital Group
Conquest Select
15.69 8.71 3.83 0.32
176 Kaiser Trading Group
Kaiser Global Diversified Program - Class B
-0.67 5.11 3.60 0.69
177 Millburn Ridgefield Corporation
Multi-Markets Program
17.43 0.43 3.45 0.53
178 Saxon Investment Corporation
Diversified Program
-2.36 -6.03 3.40 0.58
179 Millburn Ridgefield Corporation
Commodity Program
28.18 0.64 3.03 0.45
180 Paskewitz Asset Management LLC
Contrarian S&P Stock Index
2.36 1.94 2.83 0.75
181 Briarwood Capital Management, Inc.
Diversified Trading Program
-10.41 -1.40 2.31 0.56
182 Estlander & Partners
Alpha Trend
10.11 2.05 1.77 0.70
183 Estlander & Partners
Global Markets
4.53 0.29 1.69 0.32
184 Jaguar Investments Ltd
Vario Capital Strategy
-1.10 -0.42 1.40 0.19
185 Superfund Group
Superfund Green L.P. Series B
12.38 6.07 1.25 0.24
186 GT CAPITAL CTA
GT CAPITAL CTA
-14.31 -18.90 0.53 0.18
187 Trigon Investment Advisors, LLC
Foreign Exchange Program
-2.13 1.24 0.33 0.32
188 Estlander & Partners
Global XL
8.66 -1.20 0.12 0.45
189 IDS Capital
IDS F&F Systematic Trading
19.99 3.88 0.08 0.03
190 C-View Limited
Currency Managed Account Program
1.13 -1.38 -0.31 1.03
191 Superfund Group
Superfund Green Q-AG
9.27 6.46 -0.60 0.51
192 Midwest Trading Partners, LLC
Micro-Arbitrage Program (MAP)
-0.85 -0.02 -1.83 0.79
193 Heyden & Steindl GmbH
TOMAC2
6.54 32.80 -2.46 0.66
194 Hyman Beck and Company
Global Portfolio
15.74 0.07 -3.22 0.54
195 Mesirow Financial Investment Management, Inc.
Extended Markets Alpha Program
22.69 9.18 -3.97 0.32
196 Bridgeton Fund Management, LLC
Bridgeton Tactical Advisors Fund
13.98 3.54 -4.47 0.39
197 HB Capital Management Inc.
Diversified Program
5.90 2.28 -4.60 0.33
198 Quantica Capital AG
Quantica Diversified FX
11.61 -4.82 -4.70 0.00
199 Systematic Alpha Management
Systematic Alpha Futures Program
-10.73 7.46 -5.22 0.70
200 Superfund Group
Superfund Green L.P. Series A
5.55 -2.11 -5.56 0.16
201 Quantitative Investment Management
Quantitative Global Program
-12.30 -8.62 -7.02 0.74
202 Manning & Napier
MN Xenon Global Fixed Income Program
-8.15 -14.13 -7.39 0.08
203 Robinson-Langley Capital Management, LLC
Managed Account Program
36.58 6.90 -8.34 0.33
204 Mobius Asset Management
Diversified Program
-2.84 -11.12 -8.80 0.14
205 Quantmetrics Capital Management LLP
Premier 12V Strategy
-0.89 -5.72 -8.94 1.34
206 Sequent Capital
Sequent CTA - Fundamental Diversified (V12)
9.48 -9.39 -9.39 0.31
207 John Locke Investments
JL Commodity Long Flat Program
-3.57 -13.25 -10.05 0.04
208 Superfund Group
Superfund Green GCT USD
15.92 6.05 -10.38 0.39
209 Superfund Group
Superfund Green Gold A (SPC)
5.04 -25.56 -10.82 0.33
210 Ion Asset Architecture
Ion Fund Program
0.22 -5.48 -11.74 0.27
211 Ion Asset Architecture (Fund Program)
Ion Fund
0.22 -5.48 -11.74 0.27
212 Superfund Group
Superfund Green Gold B (SPC)
13.47 -20.65 -12.14 0.32
213 QCM
Global Diversified Programme
12.65 -4.54 -12.28 0.55
214 Sunrise Capital Partners
Sunrise Expanded Diversified Program
7.21 -6.64 -12.53 0.52
215 Manning & Napier
MN Xenon Managed Futures (2x) Program
-14.91 -22.85 -13.86 0.18
216 Mobius Asset Management
Energy Weighted Program
-7.67 -13.18 -14.00 0.54
217 JLC Futures Management Company
JLC Managed Futures Fund I, LP.
-9.25 -5.59 -15.48 -0.41
218 Revolution Capital Management
Mosaic Institutional Program
-14.64 -15.55 -17.94 -0.35
219 Superfund Group
Superfund Green Gold C (SPC)
17.66 -19.48 -18.76 0.30
220 NuWave Investment Management, LLC
Combined Futures Portfolio
0.50 -23.45 -18.96 0.53
221 NuWave Investment Management, LLC
NuWave Investment Partners LP
-0.94 -24.60 -19.43 0.54
222 Kinkopf Capital Management
KCM S&P (Proprietary)
-41.24 -24.13 -20.49 0.38
223 Estlander & Partners
Alpha Trend II - Class P
31.35 -6.97 -20.50 0.07
224 Di Tomasso Group Inc.
Equilibrium Program
5.87 -27.53 -21.87 0.76
225 Robust Methods LLC
Macro Managed Account
-4.65 -21.45 -26.69 0.16
226 Qbasis Invest
Futures Fund A
42.16 -20.14 -30.53 0.14
227 Qbasis Invest
Futures Fund B
41.87 -21.84 -32.21 -0.34
228 Mobius Asset Management
Custom Trading Program
-16.14 -26.21 -33.53 0.31
229 White River Group
Diversified Option Writing Strategy
-54.13 -53.33 -33.68 0.20
230 AIS Capital Management, L.P.
MAAP (2x-4x) Composite
-36.47 -48.58 -34.05 0.33
231 Conquest Capital Group
Conquest Macro
3.59 -35.76 -36.71 0.28
232 Revolution Capital Management
Mosaic Program
-33.64 -39.86 -45.98 0.26
233 AIS Capital Management, L.P.
MAAP (3x-6x) Composite
-51.01 -69.29 -57.70 0.36
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