1997 IASG CTA Index Sharpe

Rank CTA/Program 1yr 3yr 5yr Sharpe
1 W.G. Wealth Guardian Ltd.
SAFI2 Program
22.87
2 Mondiale Asset Management
Mondiale Trading Program
3.25
3 C-View Limited
Currency Managed Account Program
49.02 2.82
4 Warrington Asset Management
Warrington Strategic Program
25.37 1.98
5 Rotella Capital Management
Rotella Polaris Program (Diversified)
27.08 105.32 314.28 1.91
6 Clarke Capital Management
Global Magnum
1.49
7 Transtrend B.V.
DTP – Enhanced Risk (USD)
37.93 134.45 1.45
8 KMJ Investments
KMJ Investments
2.85 159.60 1.34
9 Clarke Capital Management
Global Basic
52.24 1.30
10 Clarke Capital Management
Worldwide
24.66 1.29
11 Drury Capital
Diversified Trend-Following Program
1.29
12 Range Wise
Investment Program
3.58 9.80 62.17 1.21
13 SMN Investment Services GmbH
smn Diversified Futures Fund (1996)
12.55 1.19
14 Argus Capital Management Pty Ltd
Dynamic Multi-strategy Program
42.39 1.18
15 Millburn Ridgefield Corporation
Diversified Program
14.74 77.35 121.38 1.10
16 FORT LP
Fort Global Diversified
-2.34 113.29 1.05
17 Tactical Investment Management
Tactical Institutional Commodity Program
32.60 161.10 1.05
18 Eckhardt Trading Company
Evolution Strategies 1.2X
61.47 342.23 631.16 1.02
19 Eckhardt Trading Company
Evolution Strategies
46.01 218.22 322.53 1.01
20 Witter & Lester, Inc.
Redstone
-0.98 21.53 1.00
21 Hyman Beck and Company
Global Portfolio
24.38 77.99 111.78 0.98
22 Chesapeake Capital
Diversified (LV)
9.94 44.31 170.60 0.97
23 AIS Capital Management, L.P.
MAAP (3x-6x) Composite
-21.13 96.95 267.14 0.92
24 Eclipse Capital Management
Global Monetary
15.91 82.10 110.42 0.89
25 RAM Management Group
RAM MRTP 1X-Conservative
11.34 31.56 0.88
26 QCM
Global Diversified Programme
10.20 0.86
27 AIS Capital Management, L.P.
MAAP (2x-4x) Composite
-12.75 52.39 116.17 0.85
28 Ansbacher Investment Management
Market Neutral Put Skew Program
67.96 0.85
29 Estlander & Partners
Global XL
14.22 139.37 122.14 0.80
30 Estlander & Partners
Alpha Trend
13.32 35.52 79.90 0.80
31 Rabar Market Research
Diversified Program
11.39 26.21 152.76 0.77
32 Mark J. Walsh Company
Standard Program
23.02 139.29 212.56 0.77
33 EMC Capital Advisors, LLC
Classic
14.69 36.03 83.22 0.76
34 Abraham Trading Company
Diversified Program
10.88 17.16 95.45 0.75
35 Hawksbill Capital Management
Global Diversified
73.51 16.55 178.86 0.74
36 Red Oak Commodity Advisors
Investment Program
43.58 72.39 106.14 0.72
37 Dreiss Research Corporation
Diversified Program
-22.66 56.73 194.61 0.71
38 Campbell & Company, LP
Campbell Managed Futures Composite (f/k/a FME Large)
18.24 92.03 67.38 0.71
39 DUNN Capital Management
World Monetary and Agriculture Program (WMA)
44.42 354.34 486.63 0.69
40 Sunrise Capital Partners
Sunrise Expanded Diversified Program
20.69 60.64 65.68 0.65
41 Saxon Investment Corporation
Aggressive Diversified Program
6.56 -31.99 0.61
42 Witter & Lester, Inc.
Stock Index Futures Trading Program
2.27 74.13 103.94 0.60
43 Saxon Investment Corporation
Diversified Program
7.09 -2.04 144.01 0.58
44 DUNN Capital Management
D'Best Futures Fund, L.P.
1.55 127.71 0.55
45 Superfund Group
Superfund Green Q-AG
20.71 0.27
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