2016 IASG CTA Index Sharpe

Rank CTA/Program 1yr 3yr 5yr Sharpe
1 Typhon Capital Management, LLC
Vulcan Metals Strategy
5.23 75.44 151.06 2.42
2 Tianyou Asset Management, LLC
Tianyou Fund LP
11.11 96.50 2.40
3 Commodities Analytics LLC
Daily Analytics
33.68 87.57 2.24
4 Intex Capital
Covered Options Program
11.99 47.21 87.84 2.20
5 GNE Management, LLC
S&P Futures and Options Strategy (Client)
18.91 86.80 1.77
6 SandPointe
SandPointe Opportunities Strategy
11.01 1.73
7 Jaguar Investments Ltd
Aegir Capital Strategy
3.99 26.59 143.43 1.66
8 NordIX
NordIX AG - Government Bond Strategy (GBS) - (Advisory Mandates, not available for US investors)
-4.30 40.14 72.91 1.64
9 Alpha Z Advisors LLC
Alpha Z Futures Fund, LLC
61.77 330.27 1.56
10 Blue Diamond Asset Management
Blue Diamond Non-Directional Strategy
21.78 59.01 140.28 1.51
11 Bulkara Capital
Bulkara Systematic Fund SP
7.46 1.51
12 Salus Alpha Capital Ltd
Salus Alpha Global Alpha (GAX)
10.63 28.05 26.13 1.51
13 HPX Financial LLC
HPX Old School Program
-0.53 12.50 39.99 1.44
14 Blackheath Fund Management Inc.
Tactical FI Strategy
1.48 61.38 126.29 1.41
15 Hansa Capital Management, LLC
Hansa Investment & Trading, LLC - Long / Short Option Trading Strategy
-3.47 9.75 1.35
16 Cauldron Investments, LLC
Stock Index Plus
3.96 22.64 85.73 1.28
17 Sugar Creek Investment Management, LLC
Stockyards
-0.15 1.20
18 Jaguar Investments Ltd
Ultro Capital Strategy
0.29 18.88 39.56 1.18
19 QTS Capital Management, LLC
Tail Reaper
-0.87 9.10 1.16
20 QTS Capital Management, LLC
FX Managed Account
-6.60 104.94 206.84 1.13
21 Warrington Asset Management
Warrington Strategic Program
4.64 9.89 24.52 1.13
22 Red Rock Capital, LLC
Commodity Long-Short
-6.09 74.79 1.11
23 Non Correlated Capital
Positive Theta Fund
4.34 -12.00 13.10 1.10
24 Protec Energy Partners LLC
ET1
8.11 -2.58 20.57 1.02
25 Blue Bar Futures Trading Management LLC
Blue Bar Prime Ag Program
2.72 183.09 1.01
26 Non Correlated Capital
Positive Theta Program
5.10 -14.88 3.15 1.01
27 Salus Alpha Capital Ltd
Salus Alpha Directional Markets (DMX)
1.64 24.09 22.87 0.98
28 dormouse Limited
dormouse - Managed Account
13.96 56.87 73.02 0.97
29 Gregory P Asset Management LLC
Seasonal Spread and Options Strategy
6.40 13.05 42.01 0.93
30 LJM Partners
LJM Moderately Aggressive Strategy
19.03 48.34 89.45 0.93
31 Wharton Capital Management
Wharton AG Futures Program
-1.75 59.83 87.89 0.91
32 Bluenose Capital Management, LLC
BNC BI
7.22 19.85 26.30 0.91
33 C-View Limited
Currency Managed Account Program
2.83 -3.18 -5.58 0.90
34 FORT LP
Fort Global Contrarian
0.75 11.69 16.71 0.87
35 Taaffeite Capital Management LLC
TCM Global Index Fund (Flagship)
21.96 60.14 0.83
36 QCAM Currency Asset Management AG
QCAM v-Pro Dynamic
-3.66 41.67 48.59 0.83
37 LJM Partners
LJM Preservation & Growth Strategy
13.65 29.18 31.17 0.82
38 Certeza Asset Management
Macro Vega
1.46 7.76 24.56 0.81
39 Tlaloc Capital LLC
Grains Program
-2.94 -6.89 9.30 0.81
40 FORT LP
Fort Global Diversified
7.24 23.54 26.16 0.80
41 FORT LP
Global Futures Program (formerly Global Diversified Classic)
7.05 26.53 29.21 0.80
42 Mesirow Financial Investment Management, Inc.
Emerging Markets Currency Alpha Programme
-3.86 21.58 33.16 0.80
43 Three Rock Capital Management
Global Macro Program
9.56 35.01 56.28 0.79
44 Prolific Capital Markets, LLC
Prolific Swiss System
8.81 31.37 0.78
45 Schindler Capital Management, LLC
Dairy Advantage Program
10.20 58.52 55.80 0.76
46 Salus Alpha Capital Ltd
Salus Alpha Commodity Arbitrage (CAX)
1.83 3.78 3.58 0.75
47 Sugar Creek Investment Management, LLC
Dairy Arbitrage
-0.85 0.74
48 Dominion Capital
Diamond Program
-1.39 6.77 40.09 0.74
49 Crescendo Capital Management
Neutron Decay (Client)
25.36 15.28 0.74
50 Worldwide Capital Strategies
Profit Quest Macro World
36.60 204.36 183.28 0.73
51 Soaring Pelican, LLC
Diversified S&P Program
-0.64 31.70 31.08 0.73
52 Independent View
IV Quantitative Futures Fund
-9.60 15.16 0.72
53 Pinstripe Trading, LLC
Standard
9.31 29.84 55.39 0.72
54 1OAK Capital Limited
ACORN Commodity
-0.37 6.29 0.72
55 EMC Capital Advisors, LLC
EMC Alpha Plus Program
3.26 0.72
56 Four Seasons Commodities Corp
Lone Star Program
-0.52 2.21 7.74 0.71
57 Degraves Capital Management Pty Ltd
Degraves Global Diversified Program
-0.15 19.78 0.69
58 QTS Capital Management, LLC
QTS Partners, L.P.
-2.15 20.03 35.24 0.69
59 Sugar Creek Investment Management, LLC
WestCay Tropicals
6.39 0.69
60 Crabel Capital Management
WPD Crabel Futures Program
2.25 11.55 48.67 0.69
61 Dix Hills Partners
DHP Absolute Return Strategies
0.39 13.11 10.14 0.68
62 Advanced Arbitrage Concepts
Advanced Arbitrage Concepts Account 1
-4.82 33.99 0.68
63 Coloma Capital Futures(r), LLC
Hedged Volatility Strategy
4.16 22.25 0.68
64 GammaQ
Breckhurst Commodity Fund
7.44 35.93 49.25 0.67
65 ROW Asset Managment
Row Diversified Fund, L.P.
-0.13 23.94 36.02 0.67
66 Typhon Capital Management, LLC
Plutus Grain Strategy
-4.78 -0.67 6.61 0.66
67 Alee Capital Management, LLC
Mistral Program
7.53 22.97 32.12 0.66
68 Crabel Capital Management
Crabel Multi-Product
4.82 13.50 33.44 0.66
69 Ring Capital Management LLC
S&P E-Mini Select
-22.03 21.34 60.57 0.65
70 ISAM
ISAM Systematic Trend Fund
-12.17 63.76 20.73 0.65
71 Hehmeyer Capital Management, LLC
Commodity Capital - Grain & Oil Seeds Program
-0.30 -1.45 13.99 0.65
72 Sandpiper Asset Management
Sandpiper Global Macro Program
4.69 54.69 0.64
73 Hehmeyer Capital Management, LLC
HOGO
-4.82 30.24 0.64
74 Spring Valley Asset Management (SVAM)
SVAM Tactical Trend Portfolio
5.40 0.63
75 Dreiss Research Corporation
Diversified Program
16.22 127.34 73.01 0.62
76 Zoi Capital, LLC
Telio Program (Client)
-1.55 -7.83 18.56 0.61
77 Blackwater Capital Management
Tactical Equity
4.60 15.15 0.60
78 ATP CAPITAL MANAGEMENT, LLC
Granularity Alpha
-3.58 0.59
79 County Cork LLC
RLA I
-3.99 20.64 53.78 0.59
80 Witter & Lester, Inc.
Redstone
1.07 1.49 9.42 0.58
81 Mesirow Financial Investment Management, Inc.
Asian Markets Alpha Program
-6.77 5.99 8.35 0.58
82 Millburn Ridgefield Corporation
Multi-Markets Program
12.52 40.41 20.08 0.57
83 Novus Investments, LLC
Novus Precious Commodities
-0.92 -6.82 -9.52 0.57
84 NickJen Capital Management & Consultants LLC
NRD-1
-0.41 3.09 11.13 0.57
85 QMS Capital Management LP
QMS Diversified Global Macro Strategy
-10.00 8.21 47.67 0.56
86 Orgone Commodity Management LLC
Orgone AG 1
3.94 21.48 126.41 0.56
87 Alee Capital Management, LLC
Poniente Program
-2.15 11.62 38.74 0.56
88 EMC Capital Advisors, LLC
EMC Alpha Program
1.05 13.85 0.56
89 SEB Asset Management
SEB Asset Selection Fund C (EUR)
5.26 21.19 19.26 0.55
90 Witter & Lester, Inc.
Diversified Trading Program
-3.44 5.71 0.53
91 Hoss Capital Management, LLC
Hoss Agricultural Futures Program
-8.12 -5.88 7.03 0.53
92 Millburn Ridgefield Corporation
Commodity Program
-1.89 57.83 23.92 0.52
93 R Best LLC
R Best Private Client Program
-0.79 23.71 19.11 0.52
94 Insch Capital Management SA
Interbank Currency Program - 3X Leverage
-4.53 -15.07 -3.33 0.52
95 Emil van Essen
Spread Trading Program Limited
18.38 23.15 0.52
96 Future Trade AG
Thales Swing Trading Programme
-4.54 24.24 14.74 0.52
97 Demeter Capital Management
Livestock & Grain Trading Program
-0.21 19.63 27.92 0.51
98 Candriam Investor Group
Alternative Return Systemat
6.87 27.45 21.56 0.49
99 Sunrise Capital Partners
Sunrise Expanded Diversified Program
0.76 -3.13 -15.64 0.48
100 Emil van Essen
Multi-Strategy Program
6.23 0.48
101 Advanced Arbitrage Concepts
Advanced Arbitrage Concepts Account 2
-12.89 40.51 0.48
102 SMN Investment Services GmbH
smn Diversified Futures Fund (i14)
-8.52 47.58 15.91 0.48
103 Eagle Trading Systems Inc.
Eagle Global Financials
-18.81 -27.33 -33.90 0.45
104 DUNN Capital Management
DUNN WMA Institutional Program
-1.29 22.58 31.39 0.44
105 Bluenose Capital Management, LLC
BNC EI
4.83 -1.21 7.26 0.42
106 SCT Capital Management
The Adaptive Quant Trading (AQT) Program
3.47 13.50 13.68 0.42
107 Hehmeyer Capital Management, LLC
Hehmeyer Systematic Treasury & Equity Strategy
-0.64 19.29 14.68 0.42
108 Purple Valley Capital, Inc.
Diversified Trend 1
-30.02 14.15 -10.12 0.42
109 Piston Trading
The Piston
2.50 18.13 0.41
110 Third Street Ag Investments, LLC
Fundamental Discretionary Ag
0.32 4.03 0.40
111 SinoPac Asset Management
SinoPac Multi Strategy Quant Fund
-5.77 2.69 4.47 0.40
112 Emil van Essen
Long-Short Commodity Program - Accelerated
2.02 0.40
113 3D
Bull Program (Client)
-3.32 -0.45 2.46 0.39
114 Bocken Trading LLC
Discretionary Trading Program
-8.89 -8.33 43.26 0.39
115 Typhon Capital Management, LLC
Chiron Currency Program
5.44 1.93 -2.06 0.39
116 Turning Wheel Capital, Inc.
Pure Alpha
-8.49 -0.59 14.82 0.38
117 3D
S&P Program (Client)
-8.15 -4.96 -3.77 0.37
118 Quantum Leap Capital Management
Managed Account Program
9.23 -13.35 -22.52 0.37
119 SEB Asset Management
SEB Asset Selection Opportunistic Fund C (EUR)
10.34 42.01 41.70 0.36
120 GammaQ
Commodity Program Managed Account
0.86 23.72 40.91 0.36
121 Ditsch Trading, LLC
Agricultural Trading Program
-3.10 -2.31 100.91 0.36
122 M6 Capital Management LLC
Standard Program
-4.78 -7.12 2.20 0.35
123 Amapa Capital Advisors LLC
Energy Program
21.19 19.73 11.11 0.35
124 Eagle Trading Systems Inc.
Eagle Quantitative Macro
-5.86 -5.02 -7.53 0.34
125 Ramsey Quantitative Systems Inc
RQSI Systematic Global Macro Fund
14.44 33.67 32.52 0.33
126 Mesirow Financial Investment Management, Inc.
Extended Markets Alpha Program
3.39 27.85 14.69 0.33
127 Angle Capital Management LLC
AIP Program
-16.43 -1.07 -1.23 0.33
128 Typhon Capital Management, LLC
Proteus Dynamic Volatility Program
-2.68 -3.08 13.89 0.32
129 Vivienne Investissement
OUESSANT UCITS FUND (A)
7.20 7.11 0.32
130 Trigon Investment Advisors, LLC
Foreign Exchange Program
2.55 3.54 7.10 0.31
131 Aquantum
Aquantum Commodity Spread Program (ACS)
-14.81 8.96 0.31
132 TRYCON G.C.M. AG
Tungsten TRYCON AI Global Markets, Class C (UCITS IV)
5.10 15.61 11.45 0.30
133 Melissinos Trading
Eupatrid Global Trends
-1.12 22.93 18.41 0.29
134 3D
Intraday Program (Client)
-3.84 16.90 0.28
135 Tomas Capital Pty Ltd
GCAF | AUD (managed by Tomas Capital Australia Pty Ltd)
-13.83 63.23 28.87 0.28
136 Conquest Capital Group
Conquest Macro
6.81 12.80 -30.05 0.27
137 Conquest Capital Group
Conquest Select
-0.25 12.80 5.99 0.26
138 Principle Capital Management LLC
Principle Commodity Futures (Prop)
12.04 -3.52 0.03 0.25
139 Glendorn Capital Management LLC
Diversified Short-Term Trading Strategy
10.61 5.00 0.25
140 Trigon Investment Advisors, LLC
Discretionary Macro Program
-4.81 8.54 17.76 0.24
141 Trading Study
SPK – E-Mini S&P 500 Option
5.17 6.10 5.01 0.24
142 Garraway Capital Management LLP
Garraway Financial Trends
18.66 32.98 0.24
143 Sona Trading Strategies LLC.
Diversified Program
1.18 3.03 6.71 0.23
144 Bluenose Capital Management, LLC
BNC CL
16.49 3.82 0.22
145 Rosetta Capital Management
Macro Program
-31.17 -27.10 -43.45 0.22
146 Urban Tree Capital, LLC
UTC Plus (Client)
12.18 16.22 0.21
147 Emil van Essen
Long-Short Commodity Program
-2.07 4.06 0.21
148 Metolius Capital LLC
Metolius Diversified
-0.03 10.14 4.74 0.21
149 Qbasis Invest
Qbasis i Trend Fund
-12.33 9.10 0.20
150 Tyche Capital Advisors LLC
Institutional Spreads
-1.15 0.18
151 Redleaf Capital, LLC
Fallback Fundamentals - Accounts <$50K
-32.51 -62.68 -32.99 0.18
152 Seven Capital Management
Seven Absolute Return
7.38 3.25 1.15 0.16
153 Ilgenwald Trading, LLC
Ilgenwald Trading, LLC
6.83 1.14 0.14
154 Vision Capital Management
Global Futures
-17.89 7.52 0.14
155 Mehnert Capital Management, LLC
DTP (Client)
7.36 13.93 0.10
156 Turk Capital LLC
US Equity Long/Short Strategy
-7.89 0.10
157 Campbell & Company, LP
Campbell Managed Futures Representative Account (f/k/a FME Large)
-10.14 4.51 0.10
158 Glider Trading LLP
Glider Trading Strategy (Class C)
-5.27 7.82 0.09
159 Sophic Associates, LLC
Sophic Macro
7.23 13.56 0.09
160 Hehmeyer Capital Management, LLC
Hehmeyer Meat Complex
-4.09 4.63 0.08
161 Robust Methods LLC
Macro Managed Account
7.91 -9.87 -25.76 0.08
162 Whitmore Capital Management LLC
Whitmore Capital LP
-1.75 -42.10 0.07
163 Greenwave Capital Management
Greenwave Flagship Plus
3.10 7.08 0.06
164 Quantica Capital AG
2X Quantica Managed Futures Fund
16.30 0.34 0.06
165 Deep Field Capital AG
SINGULARITY Fund
-33.32 -13.82 3.61 0.06
166 ROW Asset Managment
Row Currency Program
-3.11 9.01 23.49 0.05
167 Quest Partners LLC
AlphaQuest Short Bias (AQSB)
2.18 7.47 0.05
168 Estlander & Partners
Alpha Trend II - Class P
-10.34 12.19 -20.54 0.04
169 Quantica Capital AG
1X Quantica Managed Futures Fund
8.66 2.28 0.03
170 Kopis Capital Management, LLC
Commodity Long Only
3.70 -3.71 0.00
171 Estlander & Partners
Freedom
-3.81 7.61 -0.94 -0.02
172 Covenant Capital Management
Optimal Program
-26.46 -0.03
173 QCM
Alpha Financials Program
-2.27 -7.59 -0.04
174 Redleaf Capital, LLC
Fallback Fundamentals - Accounts >$50K
-13.49 -40.23 -16.51 -0.12
175 County Cork LLC
County Cork Fusion Equity
-7.69 -13.56 -0.16
176 3D
3D Intraday Breakout Program
-7.52 -0.17
177 Strategic Capital Advisors LLC
Multi-strategy Futures Program
-2.80 -7.48 -20.14 -0.19
178 Aquantum
Aquantum Global Systematic Program (AGS)
3.45 -8.58 -0.20
179 Dixon Midland Company LLC
Dixon Midland Diversified LLC
-9.47 9.54 -9.09 -0.23
180 Sugar Creek Investment Management, LLC
Cotton RV
-3.28 -0.25
181 Paradox Capital Management
Sentiment Program (1X)
-6.84 -6.58 -0.29
182 Superfund Group
Superfund Red USD SICAV
-9.42 -27.10 -0.43
183 Valia Capital Management
Global Tactical Program
1.26 -0.46
184 Superfund Group
Superfund Red EUR SICAV
-10.57 -28.56 -0.48
185 NovoDyn Advisors LLC
NDC Mean Reversion FT - A
-1.33 -11.65 -0.64
186 JLC Futures Management Company
JLC Managed Futures Fund I, LP.
-14.64 -29.49 -26.65 -0.68
187 1900 Investments Asset Management
Dynamic Oil Strategy Program
-1.42 -10.77 -0.70
188 Blake Capital Management, Inc.
SRD Currencies
0.04 -0.29 -1.25
189 NovoDyn Advisors LLC
NDC Mean Reversion FT - A (Extended Markets)
-0.70 -7.66 -1.79
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