2009 IASG CTA Index Sharpe

Rank CTA/Program 1yr 3yr 5yr Sharpe
1 Diamond Capital Management
Enhanced S&P Program
23.63
2 Global Sigma Group, LLC
Global Sigma Plus
11.48
3 White River Group
Diversified Option Writing Strategy
56.68 8.26
4 White River Group
Stock Index Option Writing Strategy
19.97 7.96
5 OptHedge Advisors LLC
Diversified Options & Futures Program
57.96 6.20
6 GT CAPITAL CTA
GT CAPITAL CTA
5.01
7 Cauldron Investments, LLC
Stock Index Plus
5.00
8 Old Park Capital
Aegir
59.43 4.42
9 Blackheath Fund Management Inc.
Blackheath Futures Fund LP Class A
4.12
10 Insignia Managed Capital
Epoch3
4.09
11 Vergho Asset Management LLC
Kinematics
26.33 3.52
12 Pinstripe Trading, LLC
Standard
3.46
13 Quantmetrics Capital Management LLP
Quantmetrics Multi Strategy Fund
5.17 88.99 3.31
14 HiProb Trading Technology LLC
HiProb-I
62.73 3.22
15 HB Capital Management Inc.
Diversified Program
20.09 2.57
16 SMILe Global Management Limited
SMILe Managed Currency Account (JD Standard)
24.27 2.46
17 Global Bayesian Dynamics, LLC
BOND&FX Client Composite
2.45
18 Quantmetrics Capital Management LLP
Premier 12V Strategy
9.60 82.99 139.17 2.38
19 Mesirow Financial Investment Management, Inc.
Emerging Markets Alpha Programme
19.68 2.27
20 Diamond Peak Capital LLC
Northstar (2x) program
32.00 2.15
21 HPX Financial LLC
HPX Old School Program
42.35 1,424.68 1.94
22 Non Correlated Capital
Positive Theta Fund
200.04 1.93
23 Non Correlated Capital
Positive Theta Program
140.09 1.78
24 Midwest Trading Partners, LLC
Micro-Arbitrage Program (MAP)
1.86 9.56 34.90 1.78
25 Systematic Alpha Management
Systematic Alpha Futures Program
5.74 30.99 78.29 1.72
26 IKOS
IKOS FX Fund
18.06 1.68
27 Salus Alpha Capital Ltd
Salus Alpha Directional Markets (DMX)
3.19 127.46 221.21 1.66
28 Liberty Funds Group, Inc
Liberty Diversified Option Strategy
17.17 1.65
29 Ion Asset Architecture
Ion Fund Program
5.66 1.58
30 Ion Asset Architecture (Fund Program)
Ion Fund
5.66 1.57
31 Liberty Funds Group, Inc
Liberty Wealth Protection Fund
1.56
32 QQFund.com
QQFund.com Alpha Beta Program
83.91 1.55
33 Bluenose Capital Management, LLC
BNC BI
20.17 1.54
34 Quantis Asset Management
Ulysses Futures
1.54
35 A-VENTURE CAPITAL S.A
A-VENTURE CAPITAL S.A Euros signals
12.56 1.53
36 Warrington Asset Management
Warrington Strategic Program
18.62 12.65 43.89 1.47
37 Futures Truth Company, FTC-CTA
MS4
0.02 1.44
38 Tanyard Creek Capital
Livestock Program
-1.61 1.39
39 Quantitative Investment Management
Quantitative Global Program
10.93 61.66 103.92 1.39
40 Quantmetrics Capital Management LLP
Directional 10V Strategy
-0.56 48.28 1.39
41 W.G. Wealth Guardian Ltd.
SAFI2 Program
-0.39 32.08 32.49 1.34
42 Mobius Asset Management
Energy Weighted Program
11.96 47.13 78.92 1.34
43 Paskewitz Asset Management LLC
Contrarian S&P Stock Index
3.03 89.85 200.92 1.33
44 C-View Limited
Currency Managed Account Program
-2.51 5.72 15.44 1.31
45 Liberty Funds Group, Inc
Liberty Wealth Protection Strategy (1X)
9.42 1.31
46 LJM Partners
LJM Preservation & Growth Strategy
11.12 40.27 1.31
47 Kottke Associates
Stockton Fundamental Ag
71.10 179.01 1.30
48 Capricorn Strategies Limited
Capricorn fxST (Lev1)
17.59 23.38 20.09 1.27
49 Four Seasons Commodities Corp
Hawkeye Spread Program
3.48 25.85 1.25
50 Kottke Associates
Lark - Cattle Program
26.60 1.24
51 Mesirow Financial Investment Management, Inc.
Asian Markets Alpha Program
0.13 28.68 1.24
52 Superfund Group
Superfund Blue SPC Class A (Gold)
22.96 1.23
53 Revolution Capital Management
Mosaic Program
-18.52 183.71 1.22
54 IKOS
The IKOS Hedge Fund
16.94 34.51 58.68 1.20
55 QCAM Currency Asset Management AG
QCAM v-Pro
4.64 1.18
56 Di Tomasso Group Inc.
Equilibrium Program
53.09 117.73 331.69 1.17
57 Covenant Capital Management
Aggressive Program
26.75 68.30 215.75 1.17
58 Dendrich Ltd
QEP
77.13 152.85 1.17
59 Tyche Capital Advisors LLC
TCA Energy Spreads
11.02 1.16
60 Pacific Capital Advisors
Vanguard Program
2.44 1.16
61 Blackwater Capital Management
Global Program
15.99 122.99 1.15
62 Rosetta Capital Management
Macro Program
57.50 1.13
63 Emil van Essen
Spread Trading Program
28.81 213.89 1.13
64 Dominion Capital
Sapphire Program
5.11 32.92 1.11
65 Rotella Capital Management
Rotella Polaris Program (Diversified)
-6.86 11.93 33.62 1.11
66 LJM Partners
LJM Moderately Aggressive Strategy
29.09 35.46 135.05 1.11
67 ITB Capital Advisors LLC
ITB Time Value Trading Program
26.68 1.10
68 TMS Capital Limited
Arktos Global Currency Program II
0.39 1.08
69 Schindler Capital Management, LLC
Dairy Advantage Program
35.25 1,431.79 1.07
70 Transtrend B.V.
DTP – Enhanced Risk (USD)
-11.27 40.48 66.81 1.07
71 C-View Limited
Emerging & Minor Currency Program
2.82 1.07
72 SEB Asset Management
SEB Asset Selection Fund C (EUR)
-1.86 33.22 1.07
73 Revolution Capital Management
Alpha Fund
-5.49 93.65 108.24 1.05
74 Purple Valley Capital, Inc.
Diversified Trend 1
19.40 1.05
75 Romanesco Capital Management B.V
Persistence Program
1.76 31.96 1.03
76 Esulep LLC MAX
Esulep LLC MAX
4.15 1.02
77 Quantica Capital AG
Quantica Managed Futures
1.15 27.38 79.99 1.02
78 Global AG LLC
Global Ag LLC
26.79 1.00
79 Transtrend B.V.
DTP – Enhanced Risk (EUR)
-10.85 41.27 67.03 1.00
80 Heyden & Steindl GmbH
TOMAC2
-7.67 81.87 169.82 0.98
81 Four Seasons Commodities Corp
Lone Star Program
3.57 21.94 44.30 0.98
82 Rosetta Capital Management
Rosetta Trading Program
-4.27 15.28 80.24 0.98
83 KMJ Investments
KMJ Investments
-4.17 17.70 44.79 0.97
84 Ancile Capital Management
Global Markets Program
0.62 35.71 0.97
85 Wimmer Horizon LLP
Managed Account
-2.68 82.40 0.97
86 Revolution Capital Management
Alpha Program
-6.79 0.97
87 Mesirow Financial Investment Management, Inc.
Extended Markets Alpha Program
-4.14 2.49 14.40 0.97
88 Molinero Capital Management LLP
Global Markets Program
-6.89 24.07 0.97
89 Mondiale Asset Management
Mondiale Trading Program
1.48 -3.55 7.08 0.96
90 Rhicon Currency Management
Rhicon Strategic Program
-4.39 21.85 38.58 0.96
91 Wavefront Global Asset Management
IMFC Global Concentrated
0.96
92 Robinson-Langley Capital Management, LLC
Managed Account Program
-3.92 69.88 0.95
93 Robust Methods LLC
Macro Managed Account
-1.04 26.34 67.61 0.94
94 Trigon Investment Advisors, LLC
Discretionary Macro Program
8.41 0.93
95 NuWave Investment Management, LLC
NuWave Investment Partners LP
-8.10 40.03 84.43 0.93
96 Endeavour Capital LLP
Endeavour Pembroke
12.88 0.92
97 Millburn Corporation
Multi-Markets Program
-2.04 45.27 77.94 0.92
98 NuWave Investment Management, LLC
Combined Futures Portfolio
-8.10 39.34 78.71 0.90
99 Transtrend B.V.
DTP – Standard Risk (EUR)
-7.84 22.88 34.57 0.90
100 Red Rock Capital, LLC
Systematic Global Macro
2.43 66.54 74.48 0.90
101 Millburn Corporation
Diversified Program
-7.58 28.97 49.15 0.89
102 ISAM
ISAM Systematic Trend Fund
11.48 119.69 152.79 0.89
103 Kaiser Trading Group
Kaiser Global Diversified Program - Class B
-4.32 15.90 40.79 0.89
104 Novus Investments, LLC
Novus Precious Commodities
108.52 209.36 0.89
105 Wavefront Global Asset Management
IMFC Global Investment Program
-2.14 0.89
106 Sequent Capital
Sequent CTA - Fundamental Diversified (V12)
0.00 32.84 51.50 0.88
107 Arcanum Asset Management
Equity Index Option Program (Prop)
45.22 79.47 0.88
108 Rhicon Currency Management
Rhicon Systematic Currency Program
5.54 40.66 48.28 0.88
109 Briarwood Capital Management, Inc.
Diversified 2XL
22.02 59.57 146.33 0.87
110 White Indian Trading Co.
STAIRS (Client)
0.87
111 White Indian Trading Co.
STAIRS - Futures Program (Client)
22.75 0.86
112 Estlander & Partners
Alpha Trend
1.04 52.15 87.92 0.86
113 Transtrend B.V.
DTP – Enhanced Risk (JPY)
-11.32 34.74 57.16 0.85
114 Altradis Capital AG
AlphAlgo
-4.85 0.85
115 FORT LP
Fort Global Contrarian
7.72 13.34 35.06 0.85
116 IDS Capital
IDS F&F Systematic Trading
0.84
117 Future Trade AG
Thales Swing Trading Programme
-18.96 0.84
118 Welton Investment Partners
Welton Global
-5.57 31.35 73.46 0.82
119 Tactical Investment Management
Tactical Institutional Commodity Program
20.02 90.17 152.79 0.81
120 Quantum Leap Capital Management
Managed Account Program
-15.19 128.74 0.80
121 Eckhardt Trading Company
Evolution Strategies
-4.50 44.93 61.57 0.80
122 Briarwood Capital Management, Inc.
Diversified Trading Program
8.79 23.60 58.39 0.80
123 Alee Capital Management, LLC
Mistral Program
10.82 122.81 269.06 0.80
124 Eckhardt Trading Company
Evolution Strategies 1.2X
-5.52 51.02 68.30 0.80
125 Insignia Managed Capital
Medallion
0.78
126 FORT LP
Fort Global Diversified
-0.47 21.33 35.60 0.78
127 Amplitude Capital International Limited
Dynamic Strategy
-8.22 54.02 0.78
128 Somers Brothers Capital
Diversified Futures Program #1
-12.28 39.84 168.49 0.78
129 Covenant Capital Management
Original Program
15.48 38.95 87.77 0.78
130 Kaiser Trading Group
Kaiser Trading Fund 2X SPC - Share Class B
-7.78 27.09 0.78
131 Millburn Corporation
Commodity Program
-8.80 36.30 0.77
132 Mesirow Financial Investment Management, Inc.
Apollo Absolute Return Strategy
0.77
133 AIMhedge Management Ltd.
AIM Classic Fund EUR (Institutional)
-9.44 57.42 93.01 0.76
134 SinoPac Asset Management
SinoPac Multi Strategy Quant Fund
0.76
135 MERIT Alternative Investments GmbH
Futures Portfolio
2.62 26.58 33.67 0.76
136 Drury Capital
Diversified Trend-Following Program
9.04 101.19 52.39 0.75
137 QCM
Global Diversified Programme
-11.95 64.99 171.01 0.75
138 Mobius Asset Management
Custom Trading Program
-1.97 41.48 46.22 0.73
139 Insch Capital Management SA
Interbank Currency Program - 3X Leverage
-28.10 -9.97 11.79 0.73
140 Crabel Capital Management
Crabel Multi-Product
-0.34 31.19 51.59 0.72
141 Typhon Capital Management, LLC
Plutus Grain Strategy
3.56 0.72
142 Blackheath Fund Management Inc.
Blackheath Offshore Limited Class A
32.81 80.82 169.87 0.72
143 Gladius Asset Management
Fulham Program
-11.37 0.72
144 Clarke Capital Management
Worldwide
-11.09 108.26 72.91 0.71
145 Auctos Capital Management
Auctos Global Diversified
6.04 0.71
146 Clarke Capital Management
Global Basic
-29.78 70.84 67.48 0.70
147 LJM Partners
LJM Aggressive Strategy
50.02 -6.27 83.57 0.70
148 Argus Capital Management Pty Ltd
Dynamic Multi-strategy Program
-2.19 49.26 88.10 0.70
149 Haar Capital Management
Discretionary Commodity Trading Program
-3.53 14.07 0.70
150 Chesapeake Capital
Diversified (LV)
0.38 18.46 32.85 0.70
151 Dreiss Research Corporation
Diversified Program
-1.14 140.64 351.58 0.70
152 ReSolve Asset Management Inc.
Resolve Acorn Diversified Program
-5.96 36.85 0.68
153 Abraham Trading Company
Diversified Program
-5.56 48.16 43.72 0.68
154 Qbasis Invest
Futures Fund A
-15.99 0.68
155 Witter & Lester, Inc.
Redstone
4.65 4.72 7.55 0.68
156 Superfund Group
Superfund Green Gold L.P. Series A-1
0.67
157 Hyman Beck and Company
Global Portfolio
4.28 47.07 68.38 0.67
158 Range Wise
Investment Program
-8.73 8.60 8.58 0.67
159 Red Oak Commodity Advisors
Investment Program
25.45 58.74 151.32 0.67
160 Saxon Investment Corporation
Aggressive Diversified Program
19.24 125.16 120.86 0.66
161 Alee Capital Management, LLC
Poniente Program
-3.69 156.08 167.95 0.66
162 Superfund Group
Superfund Green Q-AG
-24.46 0.46 7.31 0.65
163 Clarke Capital Management
Jupiter
-29.26 63.56 0.65
164 Mark J. Walsh Company
Standard Program
-19.97 43.35 31.18 0.65
165 Saxon Investment Corporation
Diversified Program
10.45 64.24 58.39 0.65
166 Sunrise Capital Partners
Sunrise Expanded Diversified Program
4.34 40.84 49.84 0.64
167 Conquest Capital Group
Conquest Macro
-14.12 51.15 66.06 0.63
168 Rabar Market Research
Diversified Program
6.89 45.51 49.43 0.63
169 Beryl Investment Group LLC
Nominal Discretionary System
6.72 0.63
170 Superfund Group
Superfund Green Gold A (SPC)
-17.03 30.90 0.62
171 John Locke Investments
Cyril Systematic Program
-7.47 35.27 55.45 0.62
172 Campbell & Company, LP
Campbell Managed Futures Composite (f/k/a FME Large)
-7.17 -19.80 -6.06 0.62
173 EMC Capital Advisors, LLC
Classic
-14.35 46.94 89.55 0.61
174 Mulvaney Capital Management
The Mulvaney Global Markets Fund
-5.89 51.07 143.79 0.61
175 Hawksbill Capital Management
Global Diversified
-15.27 100.08 89.85 0.61
176 GIC Trading LLC
Global Diversified Trading Program
-2.11 93.29 104.31 0.61
177 RAM Management Group
RAM MRTP 1X-Conservative
2.90 47.76 55.09 0.61
178 Manning & Napier
MN Xenon Managed Futures (2x) Program
-16.43 35.37 0.60
179 Clarke Capital Management
Global Magnum
-32.44 23.83 15.25 0.60
180 Cardwell Investment Technologies
Cardwell Investment Technologies 1x Program
1.03 0.59
181 John Locke Investments
JL Commodity Long Flat Program
10.09 0.58
182 Kinkopf Capital Management
KCM S&P (Proprietary)
43.42 30.12 32.88 0.58
183 Eclipse Capital Management
Global Monetary
-13.36 21.41 22.02 0.57
184 Witter & Lester, Inc.
Stock Index Futures Trading Program
15.30 30.54 62.25 0.57
185 Keck Capital Management LLC
The Keck Program
-18.34 41.51 103.53 0.57
186 Trigon Investment Advisors, LLC
Global Macro Program (LIQUIDATED as of July 31, 2017)
2.16 14.36 23.51 0.57
187 Claughton Capital
Institutional Program
-6.92 20.29 0.56
188 Superfund Group
Superfund Green Gold B (SPC)
-30.56 16.24 0.55
189 Silicon Valley Quantitative Advisors
US Quantitative Portfolio (UQP)
-14.27 20.95 40.36 0.55
190 Kelly Angle Inc.
Genesis Program
-21.72 67.29 107.14 0.55
191 Superfund Group
Superfund Green Master
-51.03 -18.15 -15.78 0.55
192 Rotella Capital Management
Rotella Orion (Short-Term) Program
-1.68 14.13 0.54
193 SMN Investment Services GmbH
smn Diversified Futures Fund (1996)
-15.88 51.45 54.72 0.54
194 Clarke Capital Management
Millennium
-48.29 16.10 10.18 0.54
195 Conquest Capital Group
Conquest Select
-13.12 42.40 54.58 0.54
196 Estlander & Partners
Global XL
10.60 33.65 28.20 0.54
197 Superfund Group
Superfund Blue SPC Class A (EUR)
3.29 30.30 0.54
198 RAM Management Group
MRTP Aggressive
4.33 183.40 217.67 0.53
199 Seven Capital Management
Seven Absolute Return
0.53
200 DUNN Capital Management
World Monetary and Agriculture Program (WMA)
-0.58 62.01 40.36 0.53
201 SCT Capital Management
The Adaptive Quant Trading (AQT) Program
0.53
202 Superfund Group
Superfund Green GCT USD
-39.92 -18.53 -16.21 0.53
203 Ansbacher Investment Management
Market Neutral Put Skew Program
23.67 -22.05 -6.87 0.52
204 Alder Capital DAC
Alder Global 20
11.97 21.95 48.44 0.52
205 Parizek Capital
Futures Trading Program
-9.64 134.05 120.48 0.52
206 Manning & Napier
MN Xenon Global Fixed Income Program
-4.64 9.51 21.39 0.52
207 AIS Capital Management, L.P.
MAAP (3x-6x) Composite
97.26 -4.01 32.95 0.51
208 ITB Capital Management, LLC
ITB Premium Fund I, LTD
9.17 14.21 0.50
209 Trigon Investment Advisors, LLC
Foreign Exchange Program
-10.01 8.19 5.16 0.49
210 AIS Capital Management, L.P.
MAAP (2x-4x) Composite
64.56 20.50 56.78 0.49
211 Superfund Group
Superfund Green Gold C (SPC)
-43.22 -2.55 0.48
212 Hehmeyer Capital Management, LLC
Commodity Capital - Grain & Oil Seeds Program
2.53 7.82 0.48
213 Crescent Bay Capital Management
Premium Stock Index Program
2.12 -1.02 0.47
214 Neural Capital Ltd
Sentinel Trading Program
-10.44 8.49 0.47
215 Emil van Essen
EvE Systematic Global Opportunities
-1.63 0.46
216 Rho Asset Management
Rho Altius 1XL Program
-13.58 0.46
217 Estlander & Partners
Global Markets
5.46 16.83 17.05 0.45
218 M6 Capital Management LLC
Standard Program
-5.88 -1.96 0.44
219 DUNN Capital Management
D'Best Futures Fund, L.P.
-18.93 76.23 56.89 0.44
220 Gables Capital Management, Inc.
GCM Global FX
4.75 0.42
221 Jaguar Investments Ltd
Vario Capital Strategy
-10.30 -5.75 18.34 0.41
222 AIS Capital Management, L.P.
Frontera Global Opportunity Program (futures only)
0.41
223 Strategic Ag Trading
SAT HEARTLAND
6.96 0.40
224 Mobius Asset Management
Diversified Program
6.92 33.81 52.83 0.39
225 Clarke Capital Management
FX Plus
-23.93 26.94 56.06 0.38
226 Crabel Capital Management
WPD Crabel Futures Program
-10.86 0.38
227 Southwest Managed Investments, LLC
Global Diversified
-11.64 48.95 51.36 0.38
228 Quantica Capital AG
Quantica Diversified FX
4.66 0.32
229 Superfund Group
Superfund Green L.P. Series B
-44.07 -20.15 -15.93 0.30
230 Global Domain Partners, LLC
Global Domain Vector Fund - Series Sigma
0.29
231 Auspice Capital Advisors Ltd
Auspice Diversified Program
-7.89 28.71 0.28
232 M.S. Capital Management
Global Diversified Program
9.21 5.37 18.38 0.28
233 Rabar Market Research
Short-Term Program
0.25
234 Strategic Ag Trading
Chatham
-8.94 17.59 24.08 0.25
235 Superfund Group
Superfund Green L.P. Series A
-29.90 -9.72 -7.67 0.25
236 Xplor Capital Management, LLC
Global CTA Program
-12.15 -12.26 25.66 0.22
237 Estlander & Partners
Alpha Trend II - Class P
-2.65 0.15
238 Gregory P Asset Management LLC
Seasonal Spread and Options Strategy
0.13
239 ITB Capital Management, LLC
ITB Capital Income Fund I, LTD
8.52 -0.37 0.10
240 SEB Asset Management
SEB Asset Selection Opportunistic Fund C (EUR)
0.10
241 Superfund Group
Superfund Green Gold L.P. Series B-1
0.08
242 TRYCON G.C.M. AG
TRYCON CI Global Futures Fund HAIG, Class BI
-10.18 0.08
243 JLC Futures Management Company
JLC Managed Futures Fund I, LP.
-0.47
244 Amplitude Capital International Limited
Klassik Strategy
-0.67
245 Revolution Capital Management
Mosaic Institutional Program
-0.84
246 Qbasis Invest
Futures Fund B
-0.99
247 Paramount Capital Management LLC
Commodity Trading Program
-29.69 -1.22
248 Amplitude Capital International Limited
Amplitude Sinfonie Fund A Class
-2.43
Free Investment Plan Free CTA database

IASG Insight

IASG Invest Plan