2001 IASG CTA Index

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