2003 IASG CTA Index

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