2000 IASG CTA Index Sharpe

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