2003 IASG CTA Index Sharpe

Rank CTA/Program 1yr 3yr 5yr Sharpe
1 Red Rock Capital, LLC
Systematic Global Macro
7.46
2 Quantmetrics Capital Management LLP
Premier 12V Strategy
5.03
3 LJM Partners
LJM Moderately Aggressive Strategy
3.03
4 Heyden & Steindl GmbH
TOMAC2
2.24
5 Warrington Asset Management
Warrington Strategic Program
18.01 39.00 118.43 2.13
6 Capricorn Strategies Limited
Capricorn fxST (Lev1)
3.29 24.99 61.50 2.00
7 W.G. Wealth Guardian Ltd.
SAFI2 Program
15.93 44.15 90.01 1.94
8 Quantitative Investment Management
Quantitative Global Program
1.67
9 C-View Limited
Currency Managed Account Program
2.37 26.15 61.00 1.65
10 Mondiale Asset Management
Mondiale Trading Program
11.78 22.26 56.36 1.58
11 FORT LP
Fort Global Contrarian
24.74 1.51
12 Rotella Capital Management
Rotella Polaris Program (Diversified)
3.73 44.37 72.63 1.45
13 IKOS
The IKOS Hedge Fund
20.14 29.79 121.03 1.40
14 Trigon Investment Advisors, LLC
Foreign Exchange Program
18.49 56.55 1.28
15 Insch Capital Management SA
Interbank Currency Program - 3X Leverage
50.69 132.23 1.25
16 Rosetta Capital Management
Rosetta Trading Program
145.31 774.63 1.25
17 Transtrend B.V.
DTP – Enhanced Risk (USD)
8.47 73.06 90.22 1.18
18 Superfund Group
Superfund Green Master
63.50 1.16
19 Transtrend B.V.
DTP – Enhanced Risk (EUR)
8.30 75.00 1.16
20 Transtrend B.V.
DTP – Standard Risk (EUR)
6.05 44.63 1.11
21 Mobius Asset Management
Custom Trading Program
1.00 1.11
22 Superfund Group
Superfund Green GCT USD
26.33 204.79 1.10
23 Briarwood Capital Management, Inc.
Diversified Trading Program
11.34 1.09
24 KMJ Investments
KMJ Investments
-11.38 16.64 102.03 1.08
25 Salus Alpha Capital Ltd
Salus Alpha Directional Markets (DMX)
1.06
26 ISAM
ISAM Systematic Trend Fund
20.48 1.00
27 Drury Capital
Diversified Trend-Following Program
25.77 60.13 104.83 0.99
28 Kaiser Trading Group
Kaiser Global Diversified Program - Class B
5.40 27.21 62.58 0.99
29 Superfund Group
Superfund Green Q-AG
24.31 104.48 215.83 0.98
30 Trigon Investment Advisors, LLC
Global Macro Program (LIQUIDATED as of July 31, 2017)
6.99 29.81 0.98
31 Millburn Corporation
Diversified Program
3.85 24.34 42.27 0.97
32 Di Tomasso Group Inc.
Equilibrium Program
69.77 0.95
33 NuWave Investment Management, LLC
NuWave Investment Partners LP
24.90 0.95
34 NuWave Investment Management, LLC
Combined Futures Portfolio
24.90 0.95
35 Clarke Capital Management
Worldwide
26.21 31.84 77.23 0.91
36 MERIT Alternative Investments GmbH
Futures Portfolio
11.49 22.97 52.90 0.91
37 Tactical Investment Management
Tactical Institutional Commodity Program
29.25 102.40 114.35 0.90
38 FORT LP
Fort Global Diversified
15.57 103.56 108.13 0.89
39 Estlander & Partners
Alpha Trend
29.34 47.79 91.43 0.89
40 Eckhardt Trading Company
Evolution Strategies 1.2X
20.21 49.26 79.08 0.88
41 Eckhardt Trading Company
Evolution Strategies
15.01 34.57 51.52 0.87
42 Clarke Capital Management
Global Magnum
45.77 79.67 169.74 0.85
43 Witter & Lester, Inc.
Redstone
5.11 -1.05 17.45 0.85
44 Clarke Capital Management
Millennium
40.66 88.32 182.29 0.85
45 Alder Capital DAC
Alder Global 20
11.10 0.84
46 Clarke Capital Management
Global Basic
23.22 40.82 127.21 0.84
47 Superfund Group
Superfund Green L.P. Series B
27.71 0.83
48 Chesapeake Capital
Diversified (LV)
23.08 25.80 36.75 0.82
49 Quality Capital Management
Global Diversified Programme
24.61 55.68 73.73 0.81
50 Crabel Capital Management
Crabel Multi-Product
1.85 47.66 116.21 0.76
51 Range Wise
Investment Program
27.56 69.33 87.06 0.76
52 Argus Capital Management Pty Ltd
Dynamic Multi-strategy Program
2.25 44.96 79.96 0.76
53 Hyman Beck and Company
Global Portfolio
10.98 62.28 44.84 0.76
54 Superfund Group
Superfund Green L.P. Series A
20.23 0.75
55 Parizek Capital
Futures Trading Program
18.50 64.80 0.75
56 Conquest Capital Group
Conquest Macro
0.29 38.71 0.75
57 Estlander & Partners
Global Markets
10.19 28.89 0.75
58 Campbell & Company, LP
Campbell Managed Futures Composite (f/k/a FME Large)
20.43 48.87 81.79 0.74
59 Abraham Trading Company
Diversified Program
74.66 152.91 200.84 0.74
60 Eclipse Capital Management
Global Monetary
20.19 34.25 57.57 0.73
61 Mulvaney Capital Management
The Mulvaney Global Markets Fund
29.30 64.68 0.73
62 SMN Investment Services GmbH
smn Diversified Futures Fund (1996)
33.89 68.66 75.39 0.73
63 Mark J. Walsh Company
Standard Program
11.32 55.08 76.64 0.72
64 Rabar Market Research
Diversified Program
24.08 55.67 43.62 0.70
65 Ansbacher Investment Management
Market Neutral Put Skew Program
22.50 44.76 70.91 0.70
66 Saxon Investment Corporation
Aggressive Diversified Program
88.82 136.10 312.15 0.70
67 Silicon Valley Quantitative Advisors
US Quantitative Portfolio (UQP)
-1.68 22.55 0.69
68 Saxon Investment Corporation
Diversified Program
45.75 91.20 168.87 0.68
69 Sunrise Capital Partners
Sunrise Expanded Diversified Program
17.44 52.78 72.68 0.68
70 Kinkopf Capital Management
KCM S&P (Proprietary)
4.54 40.43 164.29 0.67
71 Hawksbill Capital Management
Global Diversified
27.59 113.59 101.04 0.67
72 EMC Capital Advisors, LLC
Classic
34.72 50.28 57.18 0.66
73 LJM Partners
LJM Aggressive Strategy
68.08 94.83 203.23 0.66
74 Estlander & Partners
Global XL
20.19 51.02 85.48 0.66
75 Red Oak Commodity Advisors
Investment Program
75.51 92.39 271.10 0.64
76 John Locke Investments
Cyril Systematic Program
12.99 32.07 0.63
77 Blackheath Fund Management Inc.
Blackheath Offshore Limited Class A
0.63
78 DUNN Capital Management
World Monetary and Agriculture Program (WMA)
-13.40 34.90 72.80 0.61
79 Covenant Capital Management
Original Program
51.73 71.22 0.61
80 Dreiss Research Corporation
Diversified Program
19.28 34.44 62.89 0.60
81 AIS Capital Management, L.P.
MAAP (3x-6x) Composite
55.78 45.71 127.72 0.59
82 Kelly Angle Inc.
Genesis Program
-25.63 31.45 0.59
83 RAM Management Group
RAM MRTP 1X-Conservative
5.98 10.75 23.57 0.59
84 AIS Capital Management, L.P.
MAAP (2x-4x) Composite
34.75 33.77 88.52 0.56
85 Alee Capital Management, LLC
Mistral Program
27.50 16.14 68.24 0.55
86 GIC Trading LLC
Global Diversified Trading Program
15.40 81.10 83.50 0.53
87 Witter & Lester, Inc.
Stock Index Futures Trading Program
-3.04 -32.79 -11.01 0.48
88 Alee Capital Management, LLC
Poniente Program
9.33 3.20 44.24 0.48
89 DUNN Capital Management
D'Best Futures Fund, L.P.
-13.43 41.54 53.76 0.47
90 RAM Management Group
MRTP Aggressive
12.91 33.31 69.04 0.37
91 Southwest Managed Investments, LLC
Global Diversified
8.37 0.36
92 M.S. Capital Management
Global Diversified Program
-5.67 25.97 20.33 0.27
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