1998 IASG CTA Index Sharpe

Rank CTA/Program 1yr 3yr 5yr Sharpe
1 W.G. Wealth Guardian Ltd.
SAFI2 Program
33.60 4.46
2 Mondiale Asset Management
Mondiale Trading Program
32.61 3.62
3 M.S. Capital Management
Global Diversified Program
3.03
4 Kaiser Trading Group
Kaiser Global Diversified Program - Class B
2.61
5 Warrington Asset Management
Warrington Strategic Program
29.96 2.44
6 C-View Limited
Currency Managed Account Program
42.44 2.34
7 Rotella Capital Management
Rotella Polaris Program (Diversified)
22.72 98.14 241.08 1.76
8 MERIT Alternative Investments GmbH
Futures Portfolio
1.54
9 Drury Capital
Diversified Trend-Following Program
47.21 1.52
10 Transtrend B.V.
DTP – Enhanced Risk (USD)
21.95 121.49 1.34
11 Clarke Capital Management
Worldwide
33.31 140.20 1.27
12 KMJ Investments
KMJ Investments
21.33 25.61 1.25
13 SMN Investment Services GmbH
smn Diversified Futures Fund (1996)
16.79 1.22
14 Clarke Capital Management
Global Magnum
44.80 1.22
15 Clarke Capital Management
Global Basic
41.88 1.21
16 Witter & Lester, Inc.
Redstone
12.22 12.59 1.17
17 FORT LP
Fort Global Diversified
48.17 120.61 246.72 1.15
18 Millburn Corporation
Diversified Program
8.21 47.53 114.08 1.08
19 Argus Capital Management Pty Ltd
Dynamic Multi-strategy Program
29.77 1.07
20 Superfund Group
Superfund Green Q-AG
62.54 1.04
21 Eckhardt Trading Company
Evolution Strategies 1.2X
35.81 267.52 392.82 1.02
22 Eckhardt Trading Company
Evolution Strategies
27.10 174.53 240.02 1.01
23 Tactical Investment Management
Tactical Institutional Commodity Program
12.96 96.39 193.86 0.99
24 Chesapeake Capital
Diversified (LV)
16.31 47.12 94.50 0.97
25 Hyman Beck and Company
Global Portfolio
16.84 61.06 115.86 0.96
26 Quality Capital Management
Global Diversified Programme
23.20 56.81 0.95
27 Clarke Capital Management
Millennium
36.98 0.90
28 Ansbacher Investment Management
Market Neutral Put Skew Program
23.72 102.63 0.89
29 Estlander & Partners
Alpha Trend
19.67 47.76 78.53 0.87
30 Range Wise
Investment Program
-20.27 -4.14 1.00 0.87
31 Eclipse Capital Management
Global Monetary
5.05 59.11 69.56 0.82
32 Rabar Market Research
Diversified Program
24.30 39.36 110.07 0.79
33 Mark J. Walsh Company
Standard Program
40.24 115.14 150.58 0.78
34 RAM Management Group
RAM MRTP 1X-Conservative
3.58 22.89 52.32 0.77
35 Dreiss Research Corporation
Diversified Program
22.87 20.54 165.91 0.74
36 Hawksbill Capital Management
Global Diversified
43.72 81.80 86.72 0.74
37 EMC Capital Advisors, LLC
Classic
3.40 15.98 14.81 0.73
38 Campbell & Company, LP
Campbell Managed Futures Composite (f/k/a FME Large)
20.09 93.04 92.01 0.73
39 Estlander & Partners
Global XL
7.15 59.87 120.34 0.71
40 Abraham Trading Company
Diversified Program
4.39 15.25 51.93 0.71
41 Sunrise Capital Partners
Sunrise Expanded Diversified Program
25.84 81.24 105.31 0.69
42 DUNN Capital Management
World Monetary and Agriculture Program (WMA)
13.67 160.00 316.67 0.68
43 Witter & Lester, Inc.
Stock Index Futures Trading Program
33.42 61.24 131.01 0.67
44 Saxon Investment Corporation
Aggressive Diversified Program
26.31 59.20 108.41 0.61
45 Saxon Investment Corporation
Diversified Program
20.60 57.06 92.90 0.59
46 DUNN Capital Management
D'Best Futures Fund, L.P.
20.52 56.75 0.57
47 AIS Capital Management, L.P.
MAAP (3x-6x) Composite
-35.88 -8.32 17.04 0.55
48 Crabel Capital Management
Crabel Multi-Product
0.55
49 Red Oak Commodity Advisors
Investment Program
-18.73 8.64 47.91 0.53
50 AIS Capital Management, L.P.
MAAP (2x-4x) Composite
-21.93 -1.74 20.59 0.46
51 LJM Partners
LJM Aggressive Strategy
0.11
52 RAM Management Group
MRTP Aggressive
0.00
53 IKOS
The IKOS Hedge Fund
-0.48
54 GIC Trading LLC
Global Diversified Trading Program
-5.40
Free Investment Plan Free CTA database

IASG Insight

IASG Invest Plan