1999 IASG CTA Index

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