2004 IASG CTA Index Sharpe

Rank CTA/Program 1yr 3yr 5yr Sharpe
1 LJM Partners
LJM Moderately Aggressive Strategy
38.21 3.93
2 Mesirow Financial Investment Management, Inc.
Extended Markets Alpha Program
3.54
3 Quantmetrics Capital Management LLP
Premier 12V Strategy
34.08 3.53
4 Millburn Ridgefield Corporation
Multi-Markets Program
2.88
5 Warrington Asset Management
Warrington Strategic Program
16.78 59.25 101.54 2.17
6 Rhicon Currency Management
Rhicon Systematic Currency Program
20.61 1.99
7 Systematic Alpha Management
Systematic Alpha Futures Program
1.97
8 Transtrend B.V.
DTP – Enhanced Risk (JPY)
1.96
9 Capricorn Strategies Limited
Capricorn fxST (Lev1)
4.62 19.73 50.37 1.90
10 W.G. Wealth Guardian Ltd.
SAFI2 Program
5.08 38.82 64.18 1.74
11 Salus Alpha Capital Ltd
Salus Alpha Directional Markets (DMX)
37.15 1.69
12 Paskewitz Asset Management LLC
Contrarian S&P Stock Index
17.30 1.68
13 C-View Limited
Currency Managed Account Program
12.08 22.18 47.43 1.64
14 Red Rock Capital, LLC
Systematic Global Macro
13.11 1.44
15 Mondiale Asset Management
Mondiale Trading Program
1.08 14.24 61.95 1.42
16 FORT LP
Fort Global Contrarian
18.45 1.42
17 Rhicon Currency Management
Rhicon Strategic Program
15.00 1.40
18 Covenant Capital Management
Aggressive Program
1.40
19 Quantitative Investment Management
Quantitative Global Program
21.85 1.38
20 Heyden & Steindl GmbH
TOMAC2
33.20 1.36
21 Rotella Capital Management
Rotella Polaris Program (Diversified)
-4.16 19.94 63.85 1.33
22 Welton Investment Partners
Welton Global
1.32
23 Rosetta Capital Management
Rosetta Trading Program
93.35 961.74 1.30
24 IKOS
The IKOS Hedge Fund
4.38 41.19 108.00 1.30
25 Briarwood Capital Management, Inc.
Diversified 2XL
1.27
26 Jaguar Investments Ltd
Vario Capital Strategy
1.20
27 Transtrend B.V.
DTP – Enhanced Risk (USD)
12.87 54.59 119.55 1.16
28 Insch Capital Management SA
Interbank Currency Program - 3X Leverage
17.75 140.19 351.06 1.16
29 Di Tomasso Group Inc.
Equilibrium Program
71.47 221.04 1.15
30 Transtrend B.V.
DTP – Enhanced Risk (EUR)
13.18 54.79 114.09 1.14
31 NuWave Investment Management, LLC
NuWave Investment Partners LP
25.23 87.69 1.09
32 NuWave Investment Management, LLC
Combined Futures Portfolio
25.23 87.69 1.09
33 KMJ Investments
KMJ Investments
21.47 42.31 52.75 1.09
34 Transtrend B.V.
DTP – Standard Risk (EUR)
8.27 33.93 67.53 1.09
35 Superfund Group
Superfund Green Master
19.92 252.62 1.04
36 Superfund Group
Superfund Green GCT USD
11.19 137.68 374.94 0.99
37 Millburn Ridgefield Corporation
Diversified Program
-0.56 28.89 41.20 0.94
38 Superfund Group
Superfund Green Q-AG
10.97 90.96 179.53 0.94
39 Kaiser Trading Group
Kaiser Global Diversified Program - Class B
4.67 10.98 40.45 0.93
40 Drury Capital
Diversified Trend-Following Program
7.27 42.40 98.91 0.92
41 Trigon Investment Advisors, LLC
Foreign Exchange Program
-4.79 56.67 0.92
42 Mobius Asset Management
Custom Trading Program
3.96 87.15 0.92
43 FORT LP
Fort Global Diversified
19.16 114.86 164.98 0.89
44 Manning & Napier
MN Xenon Global Fixed Income Program
0.89
45 Witter & Lester, Inc.
Redstone
6.21 13.52 11.97 0.89
46 Estlander & Partners
Alpha Trend
6.24 49.42 75.73 0.87
47 Clarke Capital Management
Worldwide
4.51 58.95 61.57 0.86
48 Eckhardt Trading Company
Evolution Strategies 1.2X
5.64 45.05 95.12 0.85
49 Range Wise
Investment Program
42.13 164.31 175.87 0.85
50 Tactical Investment Management
Tactical Institutional Commodity Program
8.03 88.09 190.20 0.84
51 Eckhardt Trading Company
Evolution Strategies
4.55 33.56 65.94 0.84
52 Briarwood Capital Management, Inc.
Diversified Trading Program
1.24 42.50 0.83
53 Clarke Capital Management
Global Basic
14.84 63.71 147.77 0.81
54 Clarke Capital Management
Global Magnum
7.74 66.20 184.75 0.81
55 Clarke Capital Management
Millennium
10.49 109.21 196.53 0.81
56 MERIT Alternative Investments GmbH
Futures Portfolio
0.07 11.76 38.97 0.80
57 Chesapeake Capital
Diversified (LV)
4.84 43.33 38.79 0.79
58 LJM Partners
LJM Aggressive Strategy
53.77 147.53 190.43 0.78
59 ISAM
ISAM Systematic Trend Fund
2.80 46.94 0.77
60 Ansbacher Investment Management
Market Neutral Put Skew Program
21.68 48.77 68.43 0.75
61 Abraham Trading Company
Diversified Program
15.38 144.87 231.32 0.74
62 Silicon Valley Quantitative Advisors
US Quantitative Portfolio (UQP)
33.85 63.86 200.40 0.74
63 Crabel Capital Management
Crabel Multi-Product
6.25 37.83 99.87 0.74
64 Campbell & Company, LP
Campbell Managed Futures Composite (f/k/a FME Large)
6.96 49.93 82.04 0.73
65 Covenant Capital Management
Original Program
28.15 181.91 112.18 0.73
66 Kinkopf Capital Management
KCM S&P (Proprietary)
27.98 7.73 199.66 0.73
67 Superfund Group
Superfund Green L.P. Series B
16.82 0.72
68 Mark J. Walsh Company
Standard Program
19.35 94.60 155.27 0.72
69 Argus Capital Management Pty Ltd
Dynamic Multi-strategy Program
-1.61 11.53 78.51 0.69
70 Hyman Beck and Company
Global Portfolio
-4.75 28.31 36.85 0.68
71 Saxon Investment Corporation
Aggressive Diversified Program
4.88 116.48 247.11 0.67
72 QCM
Global Diversified Programme
-9.72 18.67 50.66 0.67
73 Sunrise Capital Partners
Sunrise Expanded Diversified Program
5.96 42.47 75.19 0.66
74 Saxon Investment Corporation
Diversified Program
2.59 79.41 140.20 0.66
75 Rabar Market Research
Diversified Program
-2.86 50.07 54.01 0.66
76 John Locke Investments
Cyril Systematic Program
10.05 35.53 0.65
77 Eclipse Capital Management
Global Monetary
-10.75 26.23 25.20 0.65
78 Conquest Capital Group
Conquest Macro
-0.67 34.80 97.51 0.65
79 Superfund Group
Superfund Green L.P. Series A
11.35 0.64
80 Hawksbill Capital Management
Global Diversified
-8.84 58.61 142.91 0.64
81 EMC Capital Advisors, LLC
Classic
-13.02 14.16 53.78 0.63
82 AIS Capital Management, L.P.
MAAP (3x-6x) Composite
36.33 93.16 115.60 0.63
83 Estlander & Partners
Global XL
-0.19 31.46 87.27 0.62
84 Mulvaney Capital Management
The Mulvaney Global Markets Fund
-0.10 54.19 104.84 0.62
85 Estlander & Partners
Global Markets
0.17 16.78 45.75 0.61
86 Keck Capital Management LLC
The Keck Program
6.71 0.61
87 Red Oak Commodity Advisors
Investment Program
-1.80 132.81 103.23 0.61
88 AIS Capital Management, L.P.
MAAP (2x-4x) Composite
23.91 60.59 77.68 0.60
89 Trigon Investment Advisors, LLC
Global Macro Program (LIQUIDATED as of July 31, 2017)
-4.20 10.12 0.59
90 DUNN Capital Management
World Monetary and Agriculture Program (WMA)
-11.71 17.79 34.84 0.57
91 SMN Investment Services GmbH
smn Diversified Futures Fund (1996)
-8.77 42.32 65.46 0.57
92 Kelly Angle Inc.
Genesis Program
11.18 52.15 0.56
93 Witter & Lester, Inc.
Stock Index Futures Trading Program
44.04 28.46 27.28 0.56
94 Dreiss Research Corporation
Diversified Program
-8.98 32.89 48.86 0.55
95 RAM Management Group
RAM MRTP 1X-Conservative
-0.86 6.42 23.95 0.53
96 GIC Trading LLC
Global Diversified Trading Program
3.17 49.55 112.64 0.49
97 Alder Capital DAC
Alder Global 20
-8.74 16.99 0.49
98 DUNN Capital Management
D'Best Futures Fund, L.P.
3.80 39.72 102.45 0.46
99 Alee Capital Management, LLC
Mistral Program
-4.26 8.28 30.40 0.44
100 Conquest Capital Group
Conquest Select
0.42
101 Blackheath Fund Management Inc.
Blackheath Offshore Limited Class A
1.70 0.42
102 Alee Capital Management, LLC
Poniente Program
-2.62 4.32 33.00 0.38
103 RAM Management Group
MRTP Aggressive
-4.51 7.39 84.07 0.32
104 M.S. Capital Management
Global Diversified Program
7.86 10.50 58.83 0.30
105 Parizek Capital
Futures Trading Program
-26.35 -2.88 0.30
106 Clarke Capital Management
FX Plus
0.29
107 Southwest Managed Investments, LLC
Global Diversified
-1.69 12.01 0.24
108 Mobius Asset Management
Diversified Program
-1.35
109 Xplor Capital Management, LLC
Global CTA Program
-1.54
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