2008 IASG CTA Index Sharpe

Rank CTA/Program 1yr 3yr 5yr Sharpe
1 Vergho Asset Management LLC
Kinematics
35.69
2 White River Group
Diversified Option Writing Strategy
19.87
3 Cardwell Investment Technologies
Cardwell Investment Technologies 1x Program
18.87
4 Esulep LLC MAX
Esulep LLC MAX
7.11
5 OptHedge Advisors LLC
Diversified Options & Futures Program
5.51
6 Quantmetrics Capital Management LLP
Quantmetrics Multi Strategy Fund
39.60 4.65
7 Old Park Capital
Aegir
3.63
8 Bluenose Capital Management, LLC
BNC BI
3.58
9 White River Group
Stock Index Option Writing Strategy
3.57
10 TMS Capital Limited
Arktos Global Currency Program II
2.83
11 Tanyard Creek Capital
Livestock Program
2.79
12 HiProb Trading Technology LLC
HiProb-I
2.78
13 Futures Truth Company, FTC-CTA
MS4
50.99 2.65
14 QCAM Currency Asset Management AG
QCAM v-Pro
2.60
15 Quantmetrics Capital Management LLP
Premier 12V Strategy
33.83 88.57 192.60 2.51
16 Revolution Capital Management
Mosaic Program
92.96 2.34
17 HB Capital Management Inc.
Diversified Program
2.21
18 Crabel Capital Management
WPD Crabel Futures Program
2.21
19 Ion Asset Architecture
Ion Fund Program
24.50 2.21
20 Ion Asset Architecture (Fund Program)
Ion Fund
24.41 2.20
21 HPX Financial LLC
HPX Old School Program
531.19 2.14
22 Purple Valley Capital, Inc.
Diversified Trend 1
2.04
23 Midwest Trading Partners, LLC
Micro-Arbitrage Program (MAP)
3.60 13.20 2.02
24 Revolution Capital Management
Alpha Program
28.23 1.99
25 A-VENTURE CAPITAL S.A
A-VENTURE CAPITAL S.A Euros signals
31.07 1.96
26 Typhon Capital Management, LLC
Plutus Grain Strategy
1.94
27 Quantmetrics Capital Management LLP
Directional 10V Strategy
21.61 1.89
28 Diamond Peak Capital LLC
Northstar (2x) program
1.87
29 Systematic Alpha Management
Systematic Alpha Futures Program
16.85 42.11 1.83
30 Salus Alpha Capital Ltd
Salus Alpha Directional Markets (DMX)
62.63 161.38 326.90 1.80
31 Pacific Capital Advisors
Vanguard Program
16.57 1.80
32 Tyche Capital Advisors LLC
TCA Energy Spreads
1.78
33 Kaiser Trading Group
Kaiser Trading Fund 2X SPC - Share Class B
15.28 1.73
34 Gladius Asset Management
Fulham Program
49.07 1.70
35 Mesirow Financial Investment Management, Inc.
Asian Markets Alpha Program
4.02 1.59
36 SEB Asset Management
SEB Asset Selection Fund C (EUR)
24.46 1.59
37 Future Trade AG
Thales Swing Trading Programme
106.03 1.55
38 Paskewitz Asset Management LLC
Contrarian S&P Stock Index
32.38 156.11 242.61 1.47
39 Qbasis Invest
Futures Fund A
1.46
40 Quantitative Investment Management
Quantitative Global Program
12.51 55.22 124.00 1.45
41 Mesirow Financial Investment Management, Inc.
Extended Markets Alpha Program
1.29 9.64 1.45
42 W.G. Wealth Guardian Ltd.
SAFI2 Program
17.13 45.16 39.77 1.45
43 Molinero Capital Management LLP
Global Markets Program
12.64 62.03 1.45
44 IKOS
IKOS FX Fund
1.42
45 Robinson-Langley Capital Management, LLC
Managed Account Program
30.65 1.42
46 Superfund Group
Superfund Blue SPC Class A (Gold)
32.89 1.42
47 C-View Limited
Currency Managed Account Program
4.38 15.79 32.71 1.41
48 Warrington Asset Management
Warrington Strategic Program
-17.43 8.80 41.67 1.40
49 Dominion Capital
Sapphire Program
19.21 27.06 1.38
50 Four Seasons Commodities Corp
Hawkeye Spread Program
2.75 62.31 1.37
51 Revolution Capital Management
Alpha Fund
30.19 125.78 1.35
52 Romanesco Capital Management B.V
Persistence Program
0.19 69.96 1.34
53 Altradis Capital AG
AlphAlgo
39.80 1.33
54 Rho Asset Management
Rho Altius 1XL Program
31.65 1.30
55 LJM Partners
LJM Preservation & Growth Strategy
12.14 1.28
56 Blackwater Capital Management
Global Program
55.61 119.78 1.27
57 Mobius Asset Management
Energy Weighted Program
6.14 41.68 1.27
58 Clarke Capital Management
Jupiter
80.02 134.01 1.27
59 Transtrend B.V.
DTP – Enhanced Risk (JPY)
26.76 68.57 1.24
60 Wavefront Global Asset Management
IMFC Global Investment Program
47.56 1.23
61 Rhicon Currency Management
Rhicon Strategic Program
14.13 30.01 66.68 1.23
62 Quantica Capital AG
Quantica Managed Futures
18.91 40.22 1.21
63 Amplitude Capital International Limited
Dynamic Strategy
14.32 78.59 1.21
64 Transtrend B.V.
DTP – Enhanced Risk (EUR)
30.52 76.80 112.05 1.20
65 Rotella Capital Management
Rotella Polaris Program (Diversified)
16.03 32.03 37.49 1.20
66 Transtrend B.V.
DTP – Enhanced Risk (USD)
29.38 77.38 112.21 1.19
67 Wimmer Horizon LLP
Managed Account
64.57 106.50 1.18
68 Covenant Capital Management
Aggressive Program
27.55 32.14 1.16
69 Ancile Capital Management
Global Markets Program
19.85 64.35 1.16
70 Kottke Associates
Stockton Fundamental Ag
48.08 97.32 1.16
71 Quantum Leap Capital Management
Managed Account Program
90.51 1.16
72 Heyden & Steindl GmbH
TOMAC2
39.45 148.57 289.25 1.16
73 Millburn Ridgefield Corporation
Multi-Markets Program
30.97 66.57 1.15
74 Schindler Capital Management, LLC
Dairy Advantage Program
59.42 1,894.48 1.14
75 Emil van Essen
Spread Trading Program
83.70 1.14
76 Robust Methods LLC
Macro Managed Account
9.65 49.61 1.14
77 IKOS
The IKOS Hedge Fund
-5.72 20.01 41.64 1.13
78 Manning & Napier
MN Xenon Managed Futures (2x) Program
43.21 1.12
79 Di Tomasso Group Inc.
Equilibrium Program
-1.68 85.27 383.53 1.12
80 Transtrend B.V.
DTP – Standard Risk (EUR)
18.82 40.80 58.10 1.10
81 NuWave Investment Management, LLC
NuWave Investment Partners LP
51.34 71.66 151.33 1.09
82 Dendrich Ltd
QEP
-60.62 257.71 1.09
83 Capricorn Strategies Limited
Capricorn fxST (Lev1)
13.07 0.15 6.84 1.09
84 Millburn Ridgefield Corporation
Commodity Program
30.95 80.35 1.08
85 AIMhedge Management Ltd.
AIM Classic Fund EUR (Institutional)
42.48 73.84 1.06
86 NuWave Investment Management, LLC
Combined Futures Portfolio
51.79 69.63 143.51 1.06
87 Rosetta Capital Management
Rosetta Trading Program
15.48 54.41 264.04 1.05
88 Four Seasons Commodities Corp
Lone Star Program
3.32 29.79 1.05
89 Briarwood Capital Management, Inc.
Diversified 2XL
17.28 73.12 1.04
90 White Indian Trading Co.
STAIRS - Futures Program (Client)
1.04
91 Welton Investment Partners
Welton Global
25.31 60.25 1.04
92 KMJ Investments
KMJ Investments
-1.03 58.20 83.53 1.03
93 Mondiale Asset Management
Mondiale Trading Program
-4.57 5.38 6.65 1.03
94 Somers Brothers Capital
Diversified Futures Program #1
80.78 122.66 1.02
95 Sequent Capital
Sequent CTA - Fundamental Diversified (V12)
11.18 31.45 1.02
96 LJM Partners
LJM Moderately Aggressive Strategy
-17.06 37.84 151.66 1.01
97 Emil van Essen
EvE Systematic Global Opportunities
5.99 1.00
98 Rhicon Currency Management
Rhicon Systematic Currency Program
14.74 38.50 69.45 1.00
99 Kaiser Trading Group
Kaiser Global Diversified Program - Class B
8.39 33.79 54.02 0.98
100 Red Rock Capital, LLC
Systematic Global Macro
49.73 71.84 92.67 0.98
101 Superfund Group
Superfund Green Gold A (SPC)
32.29 109.71 0.97
102 Mesirow Financial Investment Management, Inc.
Emerging Markets Alpha Programme
0.97
103 Haar Capital Management
Discretionary Commodity Trading Program
1.78 50.62 0.95
104 Superfund Group
Superfund Green Gold B (SPC)
43.96 134.88 0.95
105 Insch Capital Management SA
Interbank Currency Program - 3X Leverage
23.76 26.77 83.07 0.95
106 Millburn Ridgefield Corporation
Diversified Program
22.15 52.20 60.49 0.93
107 ISAM
ISAM Systematic Trend Fund
77.78 129.50 133.11 0.92
108 Estlander & Partners
Alpha Trend
37.84 61.55 97.59 0.91
109 ReSolve Asset Management Inc.
Resolve Acorn Diversified Program
22.32 55.56 0.90
110 Superfund Group
Superfund Green Gold C (SPC)
53.50 140.12 0.88
111 FORT LP
Fort Global Contrarian
1.30 16.89 48.52 0.88
112 Beryl Investment Group LLC
Nominal Discretionary System
6.73 0.87
113 Briarwood Capital Management, Inc.
Diversified Trading Program
8.20 33.98 47.40 0.87
114 Jaguar Investments Ltd
Vario Capital Strategy
1.40 22.26 0.86
115 Eckhardt Trading Company
Evolution Strategies
13.16 55.65 76.89 0.85
116 QCM
Global Diversified Programme
59.51 152.99 177.88 0.84
117 Eckhardt Trading Company
Evolution Strategies 1.2X
14.76 61.93 88.17 0.84
118 Alee Capital Management, LLC
Mistral Program
44.46 163.66 218.86 0.83
119 FORT LP
Fort Global Diversified
11.64 31.12 62.36 0.82
120 Conquest Capital Group
Conquest Select
51.96 81.84 0.82
121 Clarke Capital Management
Worldwide
62.90 117.10 103.24 0.81
122 Claughton Capital
Institutional Program
13.03 55.40 0.81
123 Mobius Asset Management
Custom Trading Program
19.86 34.14 55.06 0.81
124 Manning & Napier
MN Xenon Global Fixed Income Program
12.07 17.58 0.81
125 Tactical Investment Management
Tactical Institutional Commodity Program
48.35 96.89 127.53 0.81
126 C-View Limited
Emerging & Minor Currency Program
0.81
127 Clarke Capital Management
Global Basic
79.90 93.30 173.88 0.81
128 Superfund Group
Superfund Green Q-AG
35.44 46.90 57.64 0.80
129 MERIT Alternative Investments GmbH
Futures Portfolio
12.71 25.02 30.35 0.79
130 Neural Capital Ltd
Sentinel Trading Program
7.86 56.07 0.79
131 Clarke Capital Management
Millennium
95.53 146.29 135.43 0.79
132 Conquest Capital Group
Conquest Macro
45.59 90.13 92.06 0.79
133 Auctos Capital Management
Auctos Global Diversified
14.47 0.78
134 Superfund Group
Superfund Green Master
74.18 102.88 106.22 0.78
135 Crabel Capital Management
Crabel Multi-Product
-0.95 42.70 61.62 0.77
136 Rotella Capital Management
Rotella Orion (Short-Term) Program
2.92 0.77
137 Clarke Capital Management
Global Magnum
46.36 55.23 83.79 0.76
138 Keck Capital Management LLC
The Keck Program
62.18 118.20 165.96 0.76
139 Drury Capital
Diversified Trend-Following Program
75.65 56.11 49.92 0.76
140 Alee Capital Management, LLC
Poniente Program
93.35 163.34 170.95 0.76
141 Covenant Capital Management
Original Program
19.21 15.72 108.38 0.76
142 Trigon Investment Advisors, LLC
Discretionary Macro Program
11.99 0.75
143 John Locke Investments
Cyril Systematic Program
24.43 54.19 84.90 0.75
144 Argus Capital Management Pty Ltd
Dynamic Multi-strategy Program
45.44 52.45 89.21 0.74
145 Superfund Group
Superfund Green GCT USD
50.51 53.46 55.06 0.73
146 Range Wise
Investment Program
4.64 34.34 69.09 0.73
147 Non Correlated Capital
Positive Theta Fund
18.97 0.72
148 Dreiss Research Corporation
Diversified Program
140.62 248.37 315.77 0.72
149 Chesapeake Capital
Diversified (LV)
15.38 30.85 38.75 0.72
150 Abraham Trading Company
Diversified Program
28.80 70.90 75.58 0.71
151 Kottke Associates
Lark - Cattle Program
0.71
152 Mark J. Walsh Company
Standard Program
50.30 69.85 95.63 0.69
153 Hyman Beck and Company
Global Portfolio
49.78 78.06 53.79 0.69
154 Endeavour Capital LLP
Endeavour Pembroke
0.16 0.68
155 Mulvaney Capital Management
The Mulvaney Global Markets Fund
108.87 95.75 158.79 0.67
156 GIC Trading LLC
Global Diversified Trading Program
75.89 112.97 115.31 0.67
157 Kelly Angle Inc.
Genesis Program
127.17 101.41 194.21 0.67
158 Witter & Lester, Inc.
Redstone
-4.81 2.74 9.15 0.66
159 Saxon Investment Corporation
Aggressive Diversified Program
36.25 107.56 94.27 0.66
160 M6 Capital Management LLC
Standard Program
-1.76 18.79 0.66
161 SMN Investment Services GmbH
smn Diversified Futures Fund (1996)
58.53 90.94 67.79 0.66
162 Arcanum Asset Management
Equity Index Option Program (Prop)
-24.79 0.65
163 Campbell & Company, LP
Campbell Managed Futures Composite (f/k/a FME Large)
-0.29 -8.87 8.25 0.65
164 Sunrise Capital Partners
Sunrise Expanded Diversified Program
29.88 47.20 52.17 0.65
165 Novus Investments, LLC
Novus Precious Commodities
10.59 0.65
166 Saxon Investment Corporation
Diversified Program
20.83 52.99 47.13 0.65
167 Red Oak Commodity Advisors
Investment Program
-1.86 65.34 96.73 0.65
168 Trigon Investment Advisors, LLC
Foreign Exchange Program
25.04 17.57 11.27 0.64
169 Hawksbill Capital Management
Global Diversified
96.38 121.14 104.24 0.64
170 Eclipse Capital Management
Global Monetary
19.78 60.64 25.70 0.64
171 Silicon Valley Quantitative Advisors
US Quantitative Portfolio (UQP)
64.90 119.27 119.13 0.64
172 Rabar Market Research
Diversified Program
18.22 48.47 35.80 0.64
173 EMC Capital Advisors, LLC
Classic
46.24 102.15 92.51 0.64
174 Blackheath Fund Management Inc.
Blackheath Offshore Limited Class A
3.12 57.28 106.65 0.63
175 LJM Partners
LJM Aggressive Strategy
-48.47 -13.95 88.16 0.63
176 RAM Management Group
RAM MRTP 1X-Conservative
22.62 34.76 49.42 0.62
177 Parizek Capital
Futures Trading Program
120.73 159.10 79.72 0.62
178 Clarke Capital Management
FX Plus
59.95 59.95 0.61
179 Non Correlated Capital
Positive Theta Program
11.91 0.61
180 Trigon Investment Advisors, LLC
Global Macro Program (LIQUIDATED as of July 31, 2017)
14.70 20.42 15.83 0.60
181 Superfund Group
Superfund Green L.P. Series B
46.57 70.95 75.60 0.56
182 Witter & Lester, Inc.
Stock Index Futures Trading Program
0.54 33.45 102.69 0.56
183 RAM Management Group
MRTP Aggressive
71.96 121.17 190.75 0.55
184 Auspice Capital Advisors Ltd
Auspice Diversified Program
44.22 0.55
185 Superfund Group
Superfund Blue SPC Class A (EUR)
19.06 25.15 0.55
186 DUNN Capital Management
World Monetary and Agriculture Program (WMA)
51.47 68.86 24.64 0.54
187 Crescent Bay Capital Management
Premium Stock Index Program
-5.05 19.59 0.54
188 Estlander & Partners
Global XL
21.35 11.80 15.69 0.53
189 Southwest Managed Investments, LLC
Global Diversified
55.24 93.54 68.40 0.51
190 DUNN Capital Management
D'Best Futures Fund, L.P.
126.74 115.53 100.88 0.50
191 Hehmeyer Capital Management, LLC
Commodity Capital - Grain & Oil Seeds Program
-3.49 13.64 0.49
192 Kinkopf Capital Management
KCM S&P (Proprietary)
-9.37 0.85 18.57 0.49
193 Superfund Group
Superfund Green L.P. Series A
30.00 45.47 46.67 0.49
194 Alder Capital DAC
Alder Global 20
3.58 18.94 20.98 0.48
195 Ansbacher Investment Management
Market Neutral Put Skew Program
-40.04 -32.22 -8.37 0.47
196 ITB Capital Management, LLC
ITB Premium Fund I, LTD
-8.40 27.49 0.46
197 AIS Capital Management, L.P.
MAAP (3x-6x) Composite
-73.59 -53.56 -8.12 0.44
198 Estlander & Partners
Global Markets
9.87 7.38 11.18 0.44
199 TRYCON G.C.M. AG
TRYCON CI Global Futures Fund HAIG, Class BI
18.38 0.43
200 John Locke Investments
JL Commodity Long Flat Program
5.90 0.42
201 AIS Capital Management, L.P.
MAAP (2x-4x) Composite
-52.39 -25.85 18.06 0.41
202 Strategic Ag Trading
Chatham
16.32 51.97 0.39
203 Xplor Capital Management, LLC
Global CTA Program
29.16 14.08 0.38
204 Mobius Asset Management
Diversified Program
1.96 23.72 0.34
205 M.S. Capital Management
Global Diversified Program
0.00 13.83 16.93 0.25
206 Quantica Capital AG
Quantica Diversified FX
-7.68 0.22
207 ITB Capital Management, LLC
ITB Capital Income Fund I, LTD
-2.87 0.00
208 Paramount Capital Management LLC
Commodity Trading Program
-2.29
209 QQFund.com
QQFund.com Alpha Beta Program
-17.97
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