1999 IASG CTA Index Sharpe

Rank CTA/Program 1yr 3yr 5yr Sharpe
1 Capricorn Strategies Limited
Capricorn fxST (Lev1)
12.36 3.38
2 W.G. Wealth Guardian Ltd.
SAFI2 Program
21.61 3.30
3 Warrington Asset Management
Warrington Strategic Program
26.57 106.22 2.60
4 C-View Limited
Currency Managed Account Program
22.40 159.80 2.26
5 Silicon Valley Quantitative Advisors
US Quantitative Portfolio (UQP)
1.95
6 Mondiale Asset Management
Mondiale Trading Program
-2.41 1.76
7 Rotella Capital Management
Rotella Polaris Program (Diversified)
0.98 57.47 154.43 1.58
8 Kaiser Trading Group
Kaiser Global Diversified Program - Class B
21.16 1.54
9 KMJ Investments
KMJ Investments
60.67 100.49 406.06 1.41
10 Witter & Lester, Inc.
Redstone
11.41 23.81 51.95 1.31
11 Drury Capital
Diversified Trend-Following Program
10.46 1.25
12 Clarke Capital Management
Worldwide
14.64 90.50 1.19
13 Alee Capital Management, LLC
Mistral Program
23.53 1.19
14 MERIT Alternative Investments GmbH
Futures Portfolio
10.10 1.17
15 Transtrend B.V.
DTP – Enhanced Risk (USD)
-2.21 64.49 179.60 1.11
16 Superfund Group
Superfund Green Q-AG
25.38 146.01 1.10
17 Clarke Capital Management
Global Basic
5.31 127.46 1.05
18 Millburn Ridgefield Corporation
Diversified Program
0.20 24.41 92.29 1.04
19 FORT LP
Fort Global Diversified
-6.40 35.45 195.80 0.95
20 Eckhardt Trading Company
Evolution Strategies 1.2X
-3.05 112.61 482.27 0.93
21 Ansbacher Investment Management
Market Neutral Put Skew Program
23.47 156.58 0.92
22 Chesapeake Capital
Diversified (LV)
3.30 32.10 73.39 0.92
23 Eckhardt Trading Company
Evolution Strategies
-4.54 77.16 286.12 0.91
24 Clarke Capital Management
Global Magnum
2.06 0.90
25 Estlander & Partners
Alpha Trend
15.73 56.95 87.70 0.89
26 Hyman Beck and Company
Global Portfolio
0.81 46.51 109.66 0.88
27 Argus Capital Management Pty Ltd
Dynamic Multi-strategy Program
-0.81 83.28 0.85
28 Eclipse Capital Management
Global Monetary
12.31 36.76 114.85 0.83
29 QCM
Global Diversified Programme
4.10 41.34 0.82
30 Range Wise
Investment Program
-3.62 -20.40 -15.62 0.76
31 Tactical Investment Management
Tactical Institutional Commodity Program
-20.21 19.51 135.33 0.73
32 Campbell & Company, LP
Campbell Managed Futures Composite (f/k/a FME Large)
6.82 51.67 146.32 0.72
33 Mark J. Walsh Company
Standard Program
-17.41 42.49 177.15 0.72
34 LJM Partners
LJM Aggressive Strategy
60.55 0.72
35 Rabar Market Research
Diversified Program
-9.41 25.42 42.10 0.71
36 SMN Investment Services GmbH
smn Diversified Futures Fund (1996)
-3.30 27.10 0.71
37 Alee Capital Management, LLC
Poniente Program
5.61 0.70
38 EMC Capital Advisors, LLC
Classic
-11.09 5.44 25.05 0.69
39 Clarke Capital Management
Millennium
5.18 0.69
40 Abraham Trading Company
Diversified Program
4.76 21.26 28.13 0.68
41 DUNN Capital Management
World Monetary and Agriculture Program (WMA)
13.14 85.73 484.30 0.67
42 Sunrise Capital Partners
Sunrise Expanded Diversified Program
4.44 58.62 111.12 0.67
43 Hawksbill Capital Management
Global Diversified
-24.55 88.14 26.37 0.66
44 Red Oak Commodity Advisors
Investment Program
79.32 109.24 151.23 0.65
45 AIS Capital Management, L.P.
MAAP (3x-6x) Composite
43.99 -27.18 81.84 0.64
46 Witter & Lester, Inc.
Stock Index Futures Trading Program
0.70 37.41 133.95 0.64
47 Estlander & Partners
Global Markets
0.63
48 Estlander & Partners
Global XL
-1.14 20.99 153.56 0.63
49 Dreiss Research Corporation
Diversified Program
-0.40 -5.36 91.80 0.63
50 RAM Management Group
RAM MRTP 1X-Conservative
-1.16 14.00 34.70 0.62
51 Saxon Investment Corporation
Aggressive Diversified Program
24.53 67.62 6.98 0.62
52 Saxon Investment Corporation
Diversified Program
14.84 48.31 35.68 0.60
53 AIS Capital Management, L.P.
MAAP (2x-4x) Composite
31.47 -10.45 56.41 0.59
54 Crabel Capital Management
Crabel Multi-Product
14.94 0.57
55 IKOS
The IKOS Hedge Fund
10.91 0.48
56 Kinkopf Capital Management
KCM S&P (Proprietary)
12.87 0.46
57 DUNN Capital Management
D'Best Futures Fund, L.P.
-21.17 -3.52 116.35 0.40
58 Covenant Capital Management
Original Program
0.35
59 Mulvaney Capital Management
The Mulvaney Global Markets Fund
0.11
60 Transtrend B.V.
DTP – Standard Risk (EUR)
-0.08
61 RAM Management Group
MRTP Aggressive
-12.31 -0.10
62 Conquest Capital Group
Conquest Macro
-0.37
63 GIC Trading LLC
Global Diversified Trading Program
-10.97 -0.57
64 Transtrend B.V.
DTP – Enhanced Risk (EUR)
-0.81
65 M.S. Capital Management
Global Diversified Program
-18.28 -1.02
Free Investment Plan Free CTA database

IASG Insight

IASG Invest Plan