2001 IASG CTA Index Sharpe

Rank CTA/Program 1yr 3yr 5yr Sharpe
1 Capricorn Strategies Limited
Capricorn fxST (Lev1)
9.21 41.12 2.50
2 W.G. Wealth Guardian Ltd.
SAFI2 Program
9.12 43.83 2.14
3 Warrington Asset Management
Warrington Strategic Program
1.93 60.18 160.98 2.06
4 Mondiale Asset Management
Mondiale Trading Program
8.18 38.35 1.97
5 C-View Limited
Currency Managed Account Program
15.72 47.70 213.50 1.92
6 NuWave Investment Management, LLC
NuWave Investment Partners LP
1.57
7 NuWave Investment Management, LLC
Combined Futures Portfolio
1.57
8 Rotella Capital Management
Rotella Polaris Program (Diversified)
15.36 37.94 115.12 1.54
9 IKOS
The IKOS Hedge Fund
-4.05 63.40 1.23
10 Kaiser Trading Group
Kaiser Global Diversified Program - Class B
19.97 53.33 1.22
11 KMJ Investments
KMJ Investments
-0.44 72.45 115.19 1.20
12 ISAM
ISAM Systematic Trend Fund
1.19
13 Transtrend B.V.
DTP – Enhanced Risk (USD)
26.36 38.89 133.61 1.17
14 Rosetta Capital Management
Rosetta Trading Program
59.28 1.15
15 Superfund Group
Superfund Green GCT USD
42.58 1.12
16 Drury Capital
Diversified Trend-Following Program
20.62 54.30 1.11
17 Kinkopf Capital Management
KCM S&P (Proprietary)
66.81 213.95 1.11
18 MERIT Alternative Investments GmbH
Futures Portfolio
10.10 36.91 1.06
19 Briarwood Capital Management, Inc.
Diversified Trading Program
1.06
20 Insch Capital Management SA
Interbank Currency Program - 3X Leverage
13.85 1.05
21 Superfund Group
Superfund Green Master
1.03
22 Transtrend B.V.
DTP – Enhanced Risk (EUR)
27.96 1.02
23 Millburn Ridgefield Corporation
Diversified Program
-4.07 9.76 36.28 0.99
24 Superfund Group
Superfund Green Q-AG
18.83 83.53 260.10 0.98
25 Trigon Investment Advisors, LLC
Global Macro Program (LIQUIDATED as of July 31, 2017)
12.94 0.97
26 Clarke Capital Management
Global Basic
-1.22 59.38 244.25 0.95
27 Transtrend B.V.
DTP – Standard Risk (EUR)
16.93 0.95
28 Silicon Valley Quantitative Advisors
US Quantitative Portfolio (UQP)
0.10 0.95
29 Alder Capital DAC
Alder Global 20
0.94
30 Clarke Capital Management
Global Magnum
16.48 74.87 0.93
31 Parizek Capital
Futures Trading Program
24.98 0.92
32 Witter & Lester, Inc.
Redstone
-7.42 9.89 22.12 0.90
33 Eckhardt Trading Company
Evolution Strategies 1.2X
8.70 30.42 186.00 0.90
34 Eckhardt Trading Company
Evolution Strategies
5.34 18.61 120.11 0.87
35 Argus Capital Management Pty Ltd
Dynamic Multi-strategy Program
27.88 58.75 193.35 0.86
36 Clarke Capital Management
Worldwide
-13.32 16.53 93.64 0.85
37 Estlander & Partners
Alpha Trend
5.08 36.11 84.58 0.85
38 FORT LP
Fort Global Diversified
12.90 15.43 67.04 0.82
39 Estlander & Partners
Global Markets
10.57 0.82
40 QCM
Global Diversified Programme
18.44 32.17 79.45 0.82
41 Alee Capital Management, LLC
Poniente Program
-3.66 34.65 0.81
42 Tactical Investment Management
Tactical Institutional Commodity Program
16.24 23.11 84.39 0.81
43 Chesapeake Capital
Diversified (LV)
-7.98 0.03 27.92 0.80
44 Clarke Capital Management
Millennium
-0.55 49.08 0.76
45 Hyman Beck and Company
Global Portfolio
20.47 7.52 56.26 0.74
46 Ansbacher Investment Management
Market Neutral Put Skew Program
18.41 39.79 190.49 0.73
47 Crabel Capital Management
Crabel Multi-Product
13.83 66.68 0.73
48 Conquest Capital Group
Conquest Macro
2.21 0.72
49 Alee Capital Management, LLC
Mistral Program
2.70 48.77 0.72
50 Campbell & Company, LP
Campbell Managed Futures Composite (f/k/a FME Large)
6.20 29.69 84.15 0.71
51 Mark J. Walsh Company
Standard Program
-4.88 8.34 86.91 0.70
52 John Locke Investments
Cyril Systematic Program
7.24 0.70
53 EMC Capital Advisors, LLC
Classic
14.50 19.76 42.03 0.68
54 Eclipse Capital Management
Global Monetary
-5.08 11.40 35.64 0.68
55 Abraham Trading Company
Diversified Program
19.16 41.75 64.07 0.68
56 Sunrise Capital Partners
Sunrise Expanded Diversified Program
13.62 28.43 95.05 0.66
57 Hawksbill Capital Management
Global Diversified
22.76 15.55 188.14 0.66
58 Estlander & Partners
Global XL
14.66 40.83 72.36 0.66
59 Kelly Angle Inc.
Genesis Program
-3.95 0.65
60 Rabar Market Research
Diversified Program
0.76 -7.04 28.70 0.65
61 Range Wise
Investment Program
-8.94 0.59 -16.92 0.65
62 RAM Management Group
RAM MRTP 1X-Conservative
3.18 15.12 32.78 0.64
63 Saxon Investment Corporation
Aggressive Diversified Program
14.39 99.68 168.77 0.64
64 DUNN Capital Management
World Monetary and Agriculture Program (WMA)
1.12 29.52 112.62 0.62
65 Saxon Investment Corporation
Diversified Program
9.34 53.75 98.56 0.62
66 AIS Capital Management, L.P.
MAAP (3x-6x) Composite
2.84 60.71 -18.72 0.58
67 LJM Partners
LJM Aggressive Strategy
21.03 88.37 0.56
68 Witter & Lester, Inc.
Stock Index Futures Trading Program
-24.63 -0.22 36.14 0.56
69 Dreiss Research Corporation
Diversified Program
-7.92 11.57 6.02 0.56
70 SMN Investment Services GmbH
smn Diversified Futures Fund (1996)
8.11 12.42 47.77 0.54
71 Mulvaney Capital Management
The Mulvaney Global Markets Fund
6.69 0.54
72 AIS Capital Management, L.P.
MAAP (2x-4x) Composite
3.22 45.47 -0.91 0.53
73 Red Oak Commodity Advisors
Investment Program
-18.84 56.54 82.66 0.51
74 DUNN Capital Management
D'Best Futures Fund, L.P.
5.15 14.23 39.80 0.46
75 Trigon Investment Advisors, LLC
Foreign Exchange Program
-4.86 0.43
76 RAM Management Group
MRTP Aggressive
18.54 50.31 0.40
77 M.S. Capital Management
Global Diversified Program
22.97 17.47 0.38
78 GIC Trading LLC
Global Diversified Trading Program
24.93 26.58 0.31
79 Covenant Capital Management
Original Program
-22.16 -0.66
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