2017 IASG CTA Index 5 Year Rolling

Rank CTA/Program 1yr 3yr 5yr Sharpe
1 Tianyou Asset Management, LLC
Tianyou Fund LP
20.05 70.77 244.07 2.46
2 Dreiss Research Corporation
Diversified Program
-10.16 9.87 141.56 0.59
3 Orgone Commodity Management LLC
Orgone AG 1
3.90 14.67 116.54 0.53
4 QTS Capital Management, LLC
FX Managed Account
-2.29 14.11 112.15 1.02
5 Typhon Capital Management, LLC
Vulcan Metals Strategy
2.81 41.38 110.03 2.19
6 Chesapeake Capital
Diversified Plus (HV)
9.73 6.01 102.94 0.40
7 Blackheath Fund Management Inc.
Blackheath Tactical FI Strategy
7.97 29.00 93.38 1.37
8 GammaQ
Breckhurst Commodity Fund
28.95 38.93 85.59 0.76
9 Worldwide Capital Strategies
Profit Quest Macro World
-27.99 11.05 78.53 0.56
10 Gregory P Asset Management LLC
Alternative Multi Strategy
6.43 46.18 75.30 0.55
11 Tomas Capital Pty Ltd
GCAF | AUD (managed by Tomas Capital Australia Pty Ltd)
7.79 -7.31 70.68 0.30
12 Sandpiper Asset Management
Sandpiper Global Macro Program
-12.24 1.69 68.27 0.41
13 Wharton Capital Management
Wharton AG Futures Program
5.79 14.94 66.95 0.88
14 Tomas Capital Pty Ltd
GCAF | USD
8.82 -9.62 65.29 0.25
15 Cauldron Investments, LLC
Stock Index Plus
10.62 18.55 65.19 1.33
16 Ring Capital Management LLC
S&P E-Mini Select
15.05 10.36 61.34 0.74
17 SteppenWolf Capital LLC
Multi-Strategy Vol 10
11.68 17.87 59.05 0.92
18 Millburn Ridgefield Corporation
Commodity Program
7.91 32.87 57.73 0.53
19 DUNN Capital Management
DUNN WMA Institutional Program
10.80 15.73 56.58 0.53
20 Pinstripe Trading, LLC
Standard
11.17 42.38 56.14 0.78
21 Capital Fund Management S.A.
CFM IS Trends Fund LP Series 1 (USD 10% Volatility)
8.09 12.21 54.03 0.74
22 SMN Investment Services GmbH
smn Diversified Futures Fund (i14)
8.39 1.51 53.80 0.48
23 SEB Asset Management
SEB Asset Selection Opportunistic Fund C (EUR)
0.12 6.58 53.38 0.33
24 Blue Diamond Asset Management
Blue Diamond Non-Directional Strategy
-7.98 31.86 53.18 1.20
25 ISAM
ISAM Systematic Trend Fund
1.66 2.79 48.71 0.62
26 GammaQ
Commodity Program Managed Account
11.11 18.82 47.96 0.45
27 Salus Alpha Capital Ltd
Salus Alpha Global Alpha (GAX)
10.54 15.70 47.87 1.51
28 Schindler Capital Management, LLC
Dairy Advantage Program
-8.13 -2.25 47.33 0.71
29 Salus Alpha Capital Ltd
Salus Alpha Directional Markets (DMX)
12.10 16.44 47.22 0.98
30 Demeter Capital Management
Livestock & Grain Trading Program
12.90 10.51 46.07 0.55
31 QTS Capital Management, LLC
Tail Reaper
-2.33 5.01 41.12 0.94
32 dormouse Limited
dormouse - Managed Account
-4.81 42.20 39.19 0.75
33 Millburn Ridgefield Corporation
Multi-Markets Program
4.78 25.29 37.36 0.57
34 Jaguar Investments Ltd
Aegir Capital Strategy
-1.97 10.40 34.87 1.41
35 Aspect Capital
Aspect Diversified Fund - Class A (USD)
5.00 2.92 29.84 0.49
36 Alee Capital Management, LLC
Mistral Program
-9.62 -11.43 29.38 0.61
37 Three Rock Capital Management
Global Macro Program
-10.17 12.24 28.81 0.58
38 Mesirow Financial Investment Management, Inc.
Extended Markets Alpha Program
10.43 15.50 28.63 0.39
39 ROW Asset Managment
Row Diversified Fund, L.P.
0.31 -2.19 27.42 0.55
40 Jaguar Investments Ltd
Ultro Capital Strategy
-0.64 2.15 26.77 1.00
41 Bluenose Capital Management, LLC
BNC BI
12.93 26.00 26.24 0.98
42 Vivienne Investissement
OUESSANT UCITS FUND (A)
13.30 15.72 26.13 0.59
43 SEB Asset Management
SEB Asset Selection Fund C (EUR)
-0.98 2.77 24.55 0.49
44 County Cork LLC
RLA I
-4.39 -9.29 24.52 0.51
45 Degraves Capital Management Pty Ltd
Degraves Global Diversified Program
-6.76 0.04 24.49 0.41
46 Independent View
IV Quantitative Futures Fund
-6.27 -10.57 24.35 0.43
47 R Best LLC
R Best Private Client Program
-0.26 16.33 24.03 0.43
48 Seven Capital Management
Seven Absolute Return
14.21 10.45 23.64 0.32
49 FORT LP
Global Futures Program (formerly Global Diversified Classic)
2.23 8.19 23.31 0.78
50 Vilk Commodity Services Limited
Vilk Base Metals Relative Value Program
2.58 5.37 23.24 0.55
51 Silicon Valley Quantitative Advisors
UQP Large
-23.87 -20.51 23.02 0.22
52 QTS Capital Management, LLC
QTS Partners, L.P.
-2.76 7.23 22.85 0.61
53 Mesirow Financial Investment Management, Inc.
Emerging Markets Alpha Programme
0.56 4.66 22.59 0.73
54 Crabel Capital Management
WPD Crabel Futures Program
7.60 10.24 22.24 0.69
55 QMS Capital Management LP
QMS Diversified Global Macro Strategy
-8.16 -15.16 22.13 0.39
56 SCT Capital Management
The Adaptive Quant Trading (AQT) Program
5.56 7.73 21.92 0.48
57 QCAM Currency Asset Management AG
QCAM v-Pro Dynamic
-13.84 18.99 21.66 0.64
58 FORT LP
Fort Global Diversified
3.26 7.18 21.61 0.79
59 Melissinos Trading
Eupatrid Program
-10.57 -20.41 21.24 0.15
60 Doherty Advisors LLC
Relative Value Growth
2.58 15.42 21.14 1.03
61 Kaiser Trading Group
Kaiser Global Diversified Program - Class A
0.25 3.04 21.04 0.64
62 FORT LP
Fort Global Contrarian
6.56 5.93 20.95 0.86
63 Hehmeyer Capital Management, LLC
Hehmeyer Systematic Treasury & Equity Strategy
0.86 13.35 20.84 0.38
64 Garraway Capital Management LLP
Garraway Financial Trends
-3.01 7.83 20.38 0.16
65 Kaiser Trading Group
Kaiser Trading Fund 2X SPC - Share Class A
0.94 2.22 20.00 0.34
66 HPX Financial LLC
HPX Old School Program
1.58 -3.06 17.64 1.37
67 Typhon Capital Management, LLC
Proteus Dynamic Volatility Program
8.25 4.65 16.02 0.48
68 Amapa Capital Advisors LLC
Energy Program
1.33 28.46 15.94 0.33
69 Soaring Pelican, LLC
Diversified S&P Program
-4.77 7.34 15.40 0.59
70 Episteme Capital Partners (UK), LLP
Episteme Systematic Quest (ESQ) Composite
0.79 0.97 15.13 0.35
71 Warrington Asset Management
Warrington Strategic Program
3.78 12.43 14.66 1.11
72 Alee Capital Management, LLC
Poniente Program
-17.10 -28.37 14.55 0.48
73 Ditsch Trading, LLC
Agricultural Trading Program
3.22 0.83 14.26 0.34
74 Crabel Capital Management
Crabel Multi-Product
-2.33 1.36 13.19 0.63
75 ROW Asset Managment
Row Currency Program
1.15 -6.14 12.59 0.05
76 Certeza Asset Management
4x Macro Vega
3.44 8.46 12.22 0.84
77 Candriam Investor Group
Alternative Return Systemat
-11.45 -2.75 11.72 0.35
78 Trigon Investment Advisors, LLC
Discretionary Macro Program
-5.15 -6.45 10.41 0.13
79 TRYCON G.C.M. AG
Tungsten TRYCON Basic Invest HAIG, Class C (UCITS IV)
-1.19 2.57 10.14 0.22
80 Metolius Capital LLC
Metolius Diversified
-0.90 -2.45 9.22 0.15
81 Typhon Capital Management, LLC
Plutus Grain Strategy
3.69 5.90 8.50 0.64
82 Witter & Lester, Inc.
Redstone
4.30 4.84 8.03 0.60
83 Gregory P Asset Management LLC
Seasonal Spread and Options Strategy
-8.92 0.12 7.47 0.78
84 Salus Alpha Capital Ltd
Salus Alpha Commodity Arbitrage (CAX)
3.47 10.99 6.99 0.72
85 Tlaloc Capital LLC
Grains Program
3.42 -0.75 6.61 0.79
86 NickJen Capital Management & Consultants LLC
NRD-1
0.61 2.05 6.41 0.52
87 Greenwave Capital Management
Greenwave Flagship Plus
-0.52 5.03 5.59 0.58
88 Bluenose Capital Management, LLC
BNC EI
12.36 14.88 4.58 0.53
89 Conquest Capital Group
Conquest Select
-9.52 -11.78 4.41 0.19
90 Greenwave Capital Management
Greenwave Flagship Discretionary Plus
1.56 3.67 4.25 0.07
91 Doherty Advisors LLC
Relative Value Plus
-0.91 5.33 3.68 0.29
92 Four Seasons Commodities Corp
Lone Star Program
-1.91 -4.22 3.49 0.64
93 Dixon Midland Company LLC
Dixon Midland Diversified LLC
-7.53 -14.49 3.48 -0.30
94 Mesirow Financial Investment Management, Inc.
Asian Markets Alpha Program
-3.56 -5.80 3.37 0.48
95 M6 Capital Management LLC
Standard Program
8.84 9.82 2.85 0.38
96 Hehmeyer Capital Management, LLC
Commodity Capital - Grain & Oil Seeds Program
-1.28 -2.00 2.74 0.56
97 Estlander & Partners
Freedom
-1.60 -5.74 2.57 -0.04
98 SinoPac Asset Management
SinoPac Multi Strategy Quant Fund
7.90 16.82 2.50 0.46
99 Kessler Investment Advisors, Inc.
Kessler Cornerstone Absolute Return Strategy
2.90 3.82 2.02 0.61
100 Paradox Capital Management
Sentiment Program (1X)
4.99 3.22 1.68 -0.10
101 Third Street Ag Investments, LLC
Fundamental Discretionary Ag
-0.33 3.32 1.41 0.32
102 Greenwave Capital Management
Greenwave Flaghship (Futures Only)
-0.04 0.56 0.62 -0.49
103 Bocken Trading LLC
Discretionary Trading Program
-5.54 -26.58 -0.13 0.29
104 Trading Study
SPK – E-Mini S&P 500 Option
-5.78 4.34 -1.06 0.05
105 Trigon Investment Advisors, LLC
Foreign Exchange Program
-5.13 0.36 -1.45 0.27
106 Typhon Capital Management, LLC
Chiron Currency Program
-3.36 -3.56 -2.02 0.28
107 Blake Capital Management, Inc.
SRD Short Equities
-0.10 -0.71 -3.15 -1.98
108 Turning Wheel Capital, Inc.
Pure Alpha
-11.67 -19.25 -8.78 -0.12
109 Seven Capital Management
Seven Fixed Income Fund
-9.41 -8.19 -9.18 -0.45
110 Doherty Advisors LLC
Grey Swan Hedge
-2.53 -6.19 -10.27 -1.89
111 Future Trade AG
Thales Swing Trading Programme
-22.57 -21.61 -15.00 0.39
112 Non Correlated Capital
Positive Theta Program
0.12 -6.62 -17.44 0.95
113 Insch Capital Management SA
Interbank Currency Program - 3X Leverage
-4.08 -8.09 -18.37 0.49
114 Robust Methods LLC
Macro Managed Account
1.65 -3.92 -21.42 0.08
115 Purple Valley Capital, Inc.
Diversified Trend 1
-11.97 -46.12 -22.91 0.36
116 Paskewitz Asset Management LLC
Multi-strategy Futures Program
-7.04 -2.48 -23.52 -0.29
117 Angle Capital Management LLC
AIP Program
-32.10 -46.37 -23.62 0.11
118 Whitmore Capital Management LLC
Whitmore Capital LP
13.52 11.15 -24.21 0.15
119 Estlander & Partners
Alpha Trend II - Class P
-33.16 -42.91 -25.89 -0.07
120 Redleaf Capital, LLC
Fallback Fundamentals - Accounts >$50K
-3.13 -39.41 -26.18 -0.14
121 Glenhaven Capital LLC
Glenhaven Global II LP
0.16 -5.74 -36.04 -0.28
122 Rosetta Capital Management
Macro Program
8.70 -21.57 -39.47 0.24
123 Redleaf Capital, LLC
Fallback Fundamentals - Accounts <$50K
-11.07 -59.07 -54.10 0.12
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