2000 IASG CTA Index

Rank CTA/Program 1yr 3yr 5yr Sharpe
72 Covenant Capital Management
Original Program
-3.31 -0.12
71 GIC Trading LLC
Global Diversified Trading Program
13.81 -0.02
70 M.S. Capital Management
Global Diversified Program
16.89 0.04
69 Transtrend B.V.
DTP – Enhanced Risk (EUR)
8.09 0.16
68 RAM Management Group
MRTP Aggressive
44.59 0.32
67 Transtrend B.V.
DTP – Standard Risk (EUR)
6.98 0.39
66 DUNN Capital Management
D'Best Futures Fund, L.P.
37.80 30.92 70.28 0.48
65 Parizek Capital
Futures Trading Program
0.48
64 LJM Partners
LJM Aggressive Strategy
-3.06 0.52
63 AIS Capital Management, L.P.
MAAP (2x-4x) Composite
7.19 10.02 38.48 0.56
62 AIS Capital Management, L.P.
MAAP (3x-6x) Composite
8.54 0.21 43.28 0.61
61 Saxon Investment Corporation
Diversified Program
22.45 69.59 120.86 0.62
60 Red Oak Commodity Advisors
Investment Program
7.57 56.76 109.57 0.62
59 Dreiss Research Corporation
Diversified Program
21.66 48.88 46.05 0.64
58 DUNN Capital Management
World Monetary and Agriculture Program (WMA)
13.22 45.60 233.05 0.65
57 Saxon Investment Corporation
Aggressive Diversified Program
40.18 120.50 177.90 0.65
56 Sunrise Capital Partners
Sunrise Expanded Diversified Program
8.22 42.23 104.86 0.66
55 Hawksbill Capital Management
Global Diversified
24.76 35.28 71.12 0.66
54 SMN Investment Services GmbH
smn Diversified Futures Fund (1996)
7.54 21.45 0.66
53 Estlander & Partners
Global XL
24.24 31.61 96.35 0.67
52 Abraham Trading Company
Diversified Program
13.54 24.17 37.10 0.67
51 Rabar Market Research
Diversified Program
1.85 14.67 28.57 0.68
50 RAM Management Group
RAM MRTP 1X-Conservative
12.89 15.58 37.12 0.68
49 EMC Capital Advisors, LLC
Classic
17.65 8.15 21.31 0.69
48 Witter & Lester, Inc.
Stock Index Futures Trading Program
31.46 76.63 113.46 0.70
47 Ansbacher Investment Management
Market Neutral Put Skew Program
-4.38 46.06 139.23 0.73
46 Hyman Beck and Company
Global Portfolio
-11.47 4.28 43.75 0.73
45 Campbell & Company, LP
Campbell Managed Futures Composite (f/k/a FME Large)
14.32 46.65 135.73 0.73
44 Mark J. Walsh Company
Standard Program
37.91 59.74 145.05 0.74
43 Crabel Capital Management
Crabel Multi-Product
27.40 0.74
42 Mulvaney Capital Management
The Mulvaney Global Markets Fund
24.51 0.76
41 Eclipse Capital Management
Global Monetary
4.50 23.29 86.74 0.76
40 Quality Capital Management
Global Diversified Programme
7.20 37.48 74.99 0.78
39 Range Wise
Investment Program
14.62 -11.92 5.90 0.81
38 Tactical Investment Management
Tactical Institutional Commodity Program
32.73 19.63 107.99 0.81
37 Argus Capital Management Pty Ltd
Dynamic Multi-strategy Program
25.16 61.11 0.83
36 FORT LP
Fort Global Diversified
9.24 51.50 125.56 0.87
35 Chesapeake Capital
Diversified (LV)
5.23 26.44 59.92 0.88
34 Kinkopf Capital Management
KCM S&P (Proprietary)
66.74 0.88
33 Estlander & Partners
Alpha Trend
11.92 55.00 91.39 0.89
32 John Locke Investments
Cyril Systematic Program
0.91
31 Eckhardt Trading Company
Evolution Strategies
17.94 43.11 209.11 0.91
30 Eckhardt Trading Company
Evolution Strategies 1.2X
23.75 62.93 340.94 0.93
29 Clarke Capital Management
Millennium
42.52 105.33 0.94
28 Clarke Capital Management
Global Magnum
47.09 117.39 0.98
27 Alee Capital Management, LLC
Mistral Program
17.26 0.99
26 Estlander & Partners
Global Markets
12.88 1.00
25 Millburn Corporation
Diversified Program
14.20 23.81 68.81 1.03
24 Superfund Group
Superfund Green Q-AG
23.18 151.04 1.06
23 Clarke Capital Management
Global Basic
53.22 128.92 1.08
22 Conquest Capital Group
Conquest Macro
43.35 1.09
21 Superfund Group
Superfund Green GCT USD
40.15 1.09
20 Transtrend B.V.
DTP – Enhanced Risk (USD)
12.40 34.04 143.46 1.09
19 Clarke Capital Management
Worldwide
17.26 79.20 222.91 1.11
18 MERIT Alternative Investments GmbH
Futures Portfolio
12.94 1.12
17 Drury Capital
Diversified Trend-Following Program
15.80 88.31 1.17
16 Kaiser Trading Group
Kaiser Global Diversified Program - Class B
5.49 1.19
15 Rosetta Capital Management
Rosetta Trading Program
1.24
14 Witter & Lester, Inc.
Redstone
6.54 33.21 33.65 1.30
13 KMJ Investments
KMJ Investments
7.80 110.15 117.56 1.31
12 Alee Capital Management, LLC
Poniente Program
32.33 1.52
11 Rotella Capital Management
Rotella Polaris Program (Diversified)
18.42 46.74 136.93 1.56
10 Kelly Angle Inc.
Genesis Program
1.58
9 Silicon Valley Quantitative Advisors
US Quantitative Portfolio (UQP)
83.13 1.60
8 Insch Capital Management SA
Interbank Currency Program - 3X Leverage
64.95 1.77
7 IKOS
The IKOS Hedge Fund
53.54 1.86
6 C-View Limited
Currency Managed Account Program
4.27 81.79 1.94
5 Mondiale Asset Management
Mondiale Trading Program
31.05 69.60 2.32
4 W.G. Wealth Guardian Ltd.
SAFI2 Program
8.39 76.10 2.55
3 Warrington Asset Management
Warrington Strategic Program
24.16 104.23 2.83
2 Capricorn Strategies Limited
Capricorn fxST (Lev1)
14.99 3.06
1 Trigon Investment Advisors, LLC
Foreign Exchange Program
3.48
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