2018 IASG CTA Index 5 Year Rolling

Rank CTA/Program 1yr 3yr 5yr Sharpe
1 Blue Bar Futures Trading Management LLC
Blue Bar Prime Ag Program
41.63 160.81 618.81 1.31
2 Alpha Z Advisors LLC
Alpha Z Futures Fund, LLC
-11.52 124.40 496.83 1.33
3 Hartswell Capital Ltd
MP-1
-13.96 33.14 210.73 1.21
4 Tianyou Asset Management, LLC
Tianyou Fund LP
-4.03 28.01 126.40 1.46
5 Millburn Ridgefield Corporation
Commodity Program
23.58 30.83 110.47 0.62
6 Worldwide Capital Strategies
Profit Quest Macro World
-6.35 -7.89 105.25 0.50
7 QTS Capital Management, LLC
FX Managed Account
0.55 -4.45 97.66 0.97
8 GammaQ
Breckhurst Commodity Fund
7.82 49.37 88.99 0.75
9 Typhon Capital Management, LLC
Vulcan Metals Strategy
2.28 10.89 84.87 2.00
10 Dreiss Research Corporation
Diversified Program
-9.53 -5.54 84.77 0.56
11 514 Capital Partners
514 Fund
15.70 -3.62 82.79 0.71
12 Gregory P Asset Management LLC
Alternative Multi Strategy
3.89 33.01 78.62 0.52
13 Blue Diamond Asset Management
Blue Diamond Non-Directional Strategy
17.29 31.44 71.63 1.27
14 Blackheath Fund Management Inc.
Blackheath Tactical FI Strategy
-1.52 7.89 71.58 1.18
15 dormouse Limited
dormouse - Managed Account
11.63 21.09 66.68 0.81
16 RCMA Capital LLP
Merchant Commodity Fund
11.36 6.89 64.67 0.65
17 Wharton Capital Management
Wharton AG Futures Program
-4.03 0.39 62.83 0.74
18 Millburn Ridgefield Corporation
Multi-Markets Program
4.40 23.09 53.59 0.56
19 Silicon Valley Quantitative Advisors
UQP Large
2.54 -15.68 51.58 0.21
20 Sandpiper Asset Management
Sandpiper Global Macro Program
11.37 2.33 51.20 0.45
21 SinoPac Asset Management
SinoPac Multi Strategy Quant Fund
34.98 37.58 49.81 0.68
22 Aquantum
Aquantum Commodity Spread Program (ACS)
13.96 14.11 45.95 0.64
23 QCAM Asset Management AG
Multi-Strategy Vol 10
-4.57 15.63 45.61 0.70
24 ROW Asset Managment
Row Diversified Fund, L.P.
4.88 6.48 44.86 0.67
25 Amapa Capital Advisors LLC
Energy Program
19.40 46.63 44.85 0.40
26 Red Rock Capital, LLC
Commodity Long-Short
-3.74 -22.49 44.27 0.49
27 Urban Tree Capital, LLC
UTC Plus (Client)
16.89 38.54 43.53 0.43
28 Demeter Capital Management
Livestock & Grain Trading Program
6.09 19.53 43.30 0.55
29 Episteme Capital Partners (US), LLC
Episteme Systematic Quest (ESQ) Composite
17.09 20.47 43.04 0.52
30 GammaQ
Commodity Program Managed Account
3.51 16.01 42.29 0.45
31 Crediton Hill LLC
Crediton Hill Managed Account Program
5.34 16.03 38.20 3.51
32 Prolific Capital Markets, LLC
Prolific Swiss System
10.50 14.38 38.10 0.58
33 Salus Alpha Capital Ltd
Salus Alpha Global Alpha (GAX)
-2.66 19.04 37.79 1.36
34 Advanced Arbitrage Concepts
Advanced Arbitrage Concepts Account 2
-20.90 -15.22 36.75 0.29
35 Ramsey Quantitative Systems Inc
RQSI Systematic Global Macro Fund
-11.94 17.04 36.71 0.56
36 Advanced Arbitrage Concepts
Advanced Arbitrage Concepts Account 1
-6.83 -4.49 34.45 0.48
37 SMN Investment Services GmbH
smn Diversified Futures Fund (i14)
-16.07 -16.78 34.26 0.42
38 Capital Fund Management S.A.
CFM IS Trends Fund LP Series 1 (USD 10% Volatility)
-9.91 -9.27 34.09 0.45
39 Schindler Capital Management, LLC
Dairy Advantage Program
-9.47 -8.35 31.85 0.67
40 Soaring Pelican, LLC
Diversified S&P Program
5.06 -0.60 31.76 0.57
41 Vortex
Currency Program
-7.63 -2.96 31.35 0.40
42 Coloma Capital Futures(r), LLC
Hedged Volatility Strategy
2.70 11.23 30.54 0.58
43 Salus Alpha Capital Ltd
Salus Alpha Directional Markets (DMX)
-6.43 6.61 30.16 0.89
44 QTS Capital Management, LLC
Tail Reaper
14.55 15.03 29.01 1.12
45 Pinstripe Trading, LLC
Standard
-11.16 7.97 28.25 0.57
46 Ring Capital Management LLC
S&P E-Mini Select
-8.16 -17.61 28.21 0.51
47 Jaguar Investments Ltd
Aegir Capital Strategy
2.55 4.54 27.26 1.31
48 Jaguar Investments Ltd
Ultro Capital Strategy
6.63 6.25 25.95 1.04
49 Crabel Capital Management
WPD Crabel Futures Program
4.13 14.56 24.99 0.68
50 Three Rock Capital Management
Global Macro Program
2.98 1.39 24.95 0.56
51 FORT LP
Fort Global Diversified
-2.28 8.20 24.65 0.76
52 Doherty Advisors LLC
Relative Value Growth
3.00 11.07 24.22 1.00
53 QTS Capital Management, LLC
QTS Partners, L.P.
6.33 1.18 24.11 0.60
54 DUNN Capital Management
DUNN WMA Institutional Program
-8.73 -0.18 23.96 0.32
55 Hehmeyer Capital Management, LLC
Hehmeyer Systematic Treasury & Equity Strategy
2.48 2.43 23.20 0.38
56 Tomas Capital Pty Ltd
GCAF | AUD (managed by Tomas Capital Australia Pty Ltd)
-30.08 -35.06 23.01 0.09
57 QMS Capital Management LP
QMS Financials-Only Global Macro Strategy
14.42 1.86 22.11 0.40
58 EMC Capital Advisors, LLC
EMC Alpha Program
-3.47 8.33 22.05 0.47
59 SEB Asset Management
SEB Asset Selection Opportunistic Fund C (EUR)
-14.16 -5.17 22.04 0.19
60 Salus Alpha Capital Ltd
Salus Alpha Commodity Arbitrage (CAX)
13.29 19.37 21.66 0.83
61 Crabel Capital Management
Crabel Multi-Product
9.35 11.95 21.21 0.63
62 County Cork LLC
RLA I
4.16 -4.38 20.15 0.50
63 R Best LLC
R Best Private Client Program
-2.82 -3.85 19.90 0.25
64 Warrington Asset Management
Warrington Strategic Program
3.80 12.72 18.37 1.09
65 Tomas Capital Pty Ltd
GCAF | USD
-28.50 -34.07 17.62 0.04
66 Chesapeake Capital
Diversified Plus (HV)
-15.53 -14.21 17.41 0.37
67 HPX Financial LLC
HPX Old School Program
1.95 3.02 16.51 1.31
68 WESTCAY LLC
Tropicals Program
-6.34 4.79 16.22 0.49
69 Aspect Capital
Aspect Diversified Fund - Class A (USD)
-14.62 -18.56 16.00 0.41
70 Alee Capital Management, LLC
Mistral Program
4.28 1.34 15.89 0.59
71 FORT LP
Global Futures Program (formerly Global Diversified Classic)
-10.44 -1.99 15.84 0.73
72 Emil van Essen
Long-Short Commodity Program
-0.20 8.42 15.21 0.29
73 Vivienne Investissement
OUESSANT UCITS FUND (A)
-5.28 15.04 14.95 0.34
74 Orion Asset Management
Algorithmic Trading Program
-9.45 9.55 14.83 0.52
75 Alpha Centauri Capital Management LLC
Alpha Centauri Tactical Opportunities
1.16 3.68 14.77 0.43
76 Conquest Capital Group
Conquest Select
-1.40 -6.83 13.39 0.26
77 Quantica Capital AG
2X Quantica Managed Futures Fund
-7.76 31.38 13.35 0.18
78 Greenwave Capital Management
Greenwave Flagship Discretionary Plus
7.89 10.23 12.67 0.28
79 Seven Capital Management
Seven Absolute Return
-4.50 17.12 12.62 0.22
80 FORT LP
Fort Global Contrarian
-5.48 1.48 12.49 0.79
81 Certeza Asset Management
4x Macro Vega
0.45 5.42 11.97 0.70
82 Emil van Essen
Spread Trading Program Limited
-6.22 7.40 11.73 0.15
83 Quantica Capital AG
1X Quantica Managed Futures Fund
-1.87 18.59 11.63 0.17
84 Doherty Advisors LLC
Relative Value Plus
4.12 3.98 11.48 0.32
85 QMS Capital Management LP
QMS Diversified Global Macro Strategy
12.15 -7.31 11.46 0.46
86 SEB Asset Management
SEB Asset Selection Fund C (EUR)
-7.16 -3.23 11.41 0.37
87 SCT Capital Management
The Adaptive Quant Trading (AQT) Program
-7.43 1.11 10.91 0.28
88 Independent View
IV Quantitative Futures Fund
2.53 -13.06 10.87 0.41
89 Garraway Capital Management LLP
Garraway Financial Trends
-14.70 -1.83 10.01 -0.05
90 Greenwave Capital Management
Greenwave Flagship Plus
3.20 5.92 10.00 0.57
91 Kessler Investment Advisors, Inc.
Kessler Cornerstone Absolute Return Strategy
-4.09 4.74 9.36 0.51
92 Gregory P Asset Management LLC
Seasonal Spread and Options Strategy
2.45 -0.71 5.49 0.74
93 Trading Study
SPK – E-Mini S&P 500 Option
4.41 3.47 4.38 0.10
94 Hehmeyer Capital Management, LLC
Hehmeyer Meat Complex
0.52 -4.29 4.37 -0.06
95 Witter & Lester, Inc.
Diversified Trading Program
-3.17 -4.92 4.09 0.34
96 Third Street Ag Investments, LLC
Fundamental Discretionary Ag
0.31 0.30 4.01 0.27
97 Candriam Investor Group
Alternative Return Systemat
-7.92 -12.87 3.91 0.25
98 Metolius Capital LLC
Metolius Diversified
-5.02 -5.90 3.68 0.04
99 Typhon Capital Management, LLC
Plutus Grain Strategy
0.13 -1.14 3.13 0.60
100 NickJen Capital Management & Consultants LLC
NRD-1
-0.81 -0.61 2.88 0.44
101 TRYCON G.C.M. AG
Tungsten TRYCON Basic Invest HAIG, Class C (UCITS IV)
-10.14 -6.68 2.65 -0.08
102 Trigon Investment Advisors, LLC
Discretionary Macro Program
-1.24 -10.83 1.67 0.09
103 Quest Partners LLC
AlphaQuest Short Bias (AQSB)
21.78 -3.38 1.63 -0.02
104 Greenwave Capital Management
Greenwave Flaghship (Futures Only)
0.31 0.62 1.06 -0.55
105 Witter & Lester, Inc.
Redstone
-7.46 -2.45 -2.04 0.49
106 Blake Capital Management, Inc.
SRD Short Equities
-0.62 -0.72 -2.05 -2.07
107 Four Seasons Commodities Corp
Lone Star Program
-2.49 -4.85 -2.24 0.56
108 Kaiser Trading Group
Kaiser Global Diversified Program - Class A
-6.46 3.42 -2.42 0.56
109 Blake Capital Management, Inc.
SRD Currencies
-1.33 -2.32 -2.64 -1.72
110 Typhon Capital Management, LLC
Proteus Dynamic Volatility Program
-8.39 -2.48 -2.89 0.22
111 Kaiser Trading Group
Kaiser Trading Fund 2X SPC - Share Class A
-6.37 2.74 -3.13 0.25
112 Estlander & Partners
Freedom
-9.12 -13.98 -3.78 -0.13
113 Tlaloc Capital LLC
Grains Program
-0.53 -0.15 -4.21 0.64
114 Dixon Midland Company LLC
Dixon Midland Diversified LLC
-6.43 -21.67 -5.22 -0.35
115 Typhon Capital Management, LLC
Chiron Currency Program
-3.43 -1.60 -5.27 0.17
116 Doherty Advisors LLC
Grey Swan Hedge
1.47 -4.01 -6.59 -1.37
117 Ilgenwald Trading, LLC
Ilgenwald Trading, LLC
-2.22 -1.50 -6.75 -0.03
118 HASAFUMA
La Cucaracha
1.11 -27.10 -9.26 -0.05
119 Ditsch Trading, LLC
Agricultural Trading Program
-12.27 -12.25 -11.54 0.26
120 Trigon Investment Advisors, LLC
Foreign Exchange Program
-9.99 -12.43 -11.58 0.20
121 Bluenose Capital Management, LLC
BNC BI
-36.12 -22.65 -13.54 0.38
122 Robust Methods LLC
Macro Managed Account
-6.34 2.74 -14.19 0.02
123 Centurion Investment Management Inc.
Composite
-15.08 -17.59 -14.39 -0.07
124 Bocken Trading LLC
Discretionary Trading Program
-1.47 -15.21 -14.68 0.25
125 HASAFUMA
FX Momentum
-23.99 44.29 -18.43 0.17
126 Purple Valley Capital, Inc.
Diversified Trend 1
-18.98 -50.09 -18.58 0.29
127 Rosetta Capital Management
Macro Program
1.01 -24.42 -19.95 0.23
128 Superfund Group
Superfund Red USD SICAV
-6.83 -2.09 -21.20 -0.21
129 Bluenose Capital Management, LLC
BNC CL
-35.01 -13.52 -22.92 -0.10
130 Kopis Capital Management, LLC
Commodity Long Only
-7.17 -18.25 -24.09 -0.25
131 Bluenose Capital Management, LLC
BNC EI
-32.83 -20.88 -25.43 0.04
132 Paskewitz Asset Management LLC
Multi-strategy Futures Program
-14.53 -22.78 -26.49 -0.47
133 Superfund Group
Superfund Red EUR SICAV
-10.73 -9.13 -27.41 -0.32
134 Asset Management by Windsor Securities
Non-Correlated All-Class Growth Strategy (MAC)
-31.96 -32.61 -27.96 0.24
135 Estlander & Partners
Alpha Trend II - Class P
-13.70 -48.28 -35.29 -0.10
136 Whitmore Capital Management LLC
Whitmore Capital LP
-2.91 8.28 -36.18 0.12
137 Future Trade AG
Thales Swing Trading Programme
-33.88 -51.13 -36.39 0.24
138 HASAFUMA
Micro Macro
-0.75 0.88 -37.47 -0.79
139 HASAFUMA
Börstjänaren Hedgehog
-27.98 -57.26 -53.03 -0.07
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