2002 IASG CTA Index Sharpe

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