1997 IASG CTA Index

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