2002 IASG CTA Index

Rank CTA/Program 1yr 3yr 5yr Sharpe
85 Covenant Capital Management
Original Program
44.98 9.12 0.20
84 Southwest Managed Investments, LLC
Global Diversified
5.13 0.30
83 RAM Management Group
MRTP Aggressive
-0.39 70.73 0.34
82 Di Tomasso Group Inc.
Equilibrium Program
10.28 0.40
81 Alee Capital Management, LLC
Mistral Program
-11.30 6.82 0.40
80 M.S. Capital Management
Global Diversified Program
8.60 56.10 0.41
79 AIS Capital Management, L.P.
MAAP (2x-4x) Composite
-3.83 6.41 9.22 0.47
78 LJM Partners
LJM Aggressive Strategy
-4.23 12.37 0.48
77 GIC Trading LLC
Global Diversified Trading Program
25.62 78.61 0.48
76 Witter & Lester, Inc.
Stock Index Futures Trading Program
-8.02 -8.87 22.44 0.51
75 AIS Capital Management, L.P.
MAAP (3x-6x) Composite
-9.05 1.52 -6.27 0.51
74 Alee Capital Management, LLC
Poniente Program
-2.02 24.92 0.53
73 Red Oak Commodity Advisors
Investment Program
35.07 17.91 71.83 0.54
72 DUNN Capital Management
D'Best Futures Fund, L.P.
55.49 125.31 114.06 0.55
71 RAM Management Group
RAM MRTP 1X-Conservative
1.28 17.96 20.77 0.58
70 Dreiss Research Corporation
Diversified Program
22.40 37.12 67.80 0.58
69 SMN Investment Services GmbH
smn Diversified Futures Fund (1996)
16.52 35.47 52.98 0.59
68 John Locke Investments
Cyril Systematic Program
8.99 0.60
67 Saxon Investment Corporation
Aggressive Diversified Program
9.31 75.28 175.70 0.61
66 Saxon Investment Corporation
Diversified Program
19.98 60.64 122.48 0.63
65 Mulvaney Capital Management
The Mulvaney Global Markets Fund
19.37 58.58 0.64
64 Estlander & Partners
Global XL
9.58 56.11 65.36 0.64
63 Ansbacher Investment Management
Market Neutral Put Skew Program
-0.20 12.99 72.60 0.65
62 EMC Capital Advisors, LLC
Classic
-2.58 31.23 20.64 0.65
61 DUNN Capital Management
World Monetary and Agriculture Program (WMA)
54.05 76.36 126.80 0.66
60 Sunrise Capital Partners
Sunrise Expanded Diversified Program
14.49 40.79 85.03 0.67
59 Hawksbill Capital Management
Global Diversified
36.37 108.85 126.46 0.67
58 Rabar Market Research
Diversified Program
24.52 27.78 43.87 0.68
57 Abraham Trading Company
Diversified Program
21.51 64.41 79.79 0.68
56 Eclipse Capital Management
Global Monetary
17.68 16.72 37.71 0.70
55 Campbell & Company, LP
Campbell Managed Futures Composite (f/k/a FME Large)
16.39 41.32 81.27 0.72
54 Mark J. Walsh Company
Standard Program
46.46 92.12 122.52 0.73
53 Estlander & Partners
Global Markets
5.79 32.04 0.74
52 Quality Capital Management
Global Diversified Programme
5.49 33.93 71.77 0.74
51 Kinkopf Capital Management
KCM S&P (Proprietary)
-19.47 123.98 0.74
50 Parizek Capital
Futures Trading Program
11.27 0.76
49 Hyman Beck and Company
Global Portfolio
21.38 29.46 52.49 0.76
48 NuWave Investment Management, LLC
Combined Futures Portfolio
20.00 0.78
47 NuWave Investment Management, LLC
NuWave Investment Partners LP
20.00 0.78
46 Range Wise
Investment Program
45.78 52.16 16.93 0.79
45 Chesapeake Capital
Diversified (LV)
11.07 7.55 29.23 0.80
44 Clarke Capital Management
Millennium
34.62 90.81 174.90 0.81
43 Clarke Capital Management
Global Magnum
5.82 81.30 167.94 0.81
42 Argus Capital Management Pty Ltd
Dynamic Multi-strategy Program
10.87 77.44 128.41 0.82
41 Witter & Lester, Inc.
Redstone
1.68 0.29 25.40 0.83
40 Estlander & Partners
Alpha Trend
8.74 27.88 77.11 0.83
39 Crabel Capital Management
Crabel Multi-Product
27.35 84.68 0.84
38 MERIT Alternative Investments GmbH
Futures Portfolio
0.17 24.57 0.86
37 Eckhardt Trading Company
Evolution Strategies
11.07 38.00 67.44 0.86
36 Clarke Capital Management
Worldwide
20.50 22.49 87.19 0.87
35 Tactical Investment Management
Tactical Institutional Commodity Program
34.71 107.84 87.32 0.88
34 Eckhardt Trading Company
Evolution Strategies 1.2X
14.23 53.66 102.32 0.88
33 Clarke Capital Management
Global Basic
15.69 75.10 161.61 0.88
32 Silicon Valley Quantitative Advisors
US Quantitative Portfolio (UQP)
24.51 128.26 0.89
31 FORT LP
Fort Global Diversified
56.01 92.41 166.84 0.91
30 Conquest Capital Group
Conquest Macro
35.32 98.27 0.91
29 ISAM
ISAM Systematic Trend Fund
18.64 0.93
28 Trigon Investment Advisors, LLC
Global Macro Program (LIQUIDATED as of July 31, 2017)
7.43 0.94
27 Drury Capital
Diversified Trend-Following Program
5.55 47.43 139.74 0.97
26 Alder Capital DAC
Alder Global 20
15.39 0.98
25 Millburn Corporation
Diversified Program
24.82 36.73 48.24 0.99
24 Kelly Angle Inc.
Genesis Program
84.01 1.00
23 Superfund Group
Superfund Green Q-AG
38.43 102.62 312.94 1.00
22 Kaiser Trading Group
Kaiser Global Diversified Program - Class B
0.60 27.31 1.05
21 Insch Capital Management SA
Interbank Currency Program - 3X Leverage
35.37 154.21 1.12
20 Trigon Investment Advisors, LLC
Foreign Exchange Program
38.87 1.14
19 Superfund Group
Superfund Green Master
79.84 1.17
18 KMJ Investments
KMJ Investments
32.20 41.89 176.60 1.22
17 Briarwood Capital Management, Inc.
Diversified Trading Program
26.42 1.22
16 Transtrend B.V.
DTP – Standard Risk (EUR)
16.63 45.90 1.22
15 IKOS
The IKOS Hedge Fund
12.59 65.87 1.22
14 Superfund Group
Superfund Green GCT USD
69.21 238.12 1.23
13 Transtrend B.V.
DTP – Enhanced Risk (USD)
26.26 79.32 113.85 1.23
12 Superfund Group
Superfund Green L.P. Series A
1.25
11 Rosetta Capital Management
Rosetta Trading Program
123.85 1.28
10 Superfund Group
Superfund Green L.P. Series B
1.29
9 Transtrend B.V.
DTP – Enhanced Risk (EUR)
26.28 74.66 1.31
8 FORT LP
Fort Global Contrarian
1.39
7 Mondiale Asset Management
Mondiale Trading Program
1.11 43.34 85.50 1.51
6 Rotella Capital Management
Rotella Polaris Program (Diversified)
20.64 64.81 104.22 1.53
5 Mobius Asset Management
Custom Trading Program
78.25 1.65
4 C-View Limited
Currency Managed Account Program
6.48 28.50 124.02 1.79
3 W.G. Wealth Guardian Ltd.
SAFI2 Program
13.95 34.77 118.97 1.94
2 Warrington Asset Management
Warrington Strategic Program
15.55 46.24 140.55 2.05
1 Capricorn Strategies Limited
Capricorn fxST (Lev1)
10.80 39.15 2.38
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