2017 IASG CTA Index Sharpe

Rank CTA/Program 1yr 3yr 5yr Sharpe
1 Warrington Asset Management
Tactical Program Client
7.63 2.70
2 Carbide Capital Inc.
Carbide Absolute Return Program
12.09 40.03 2.68
3 Buckingham Global Advisors, LLC
Weekly Emini Program
23.50 2.55
4 Tianyou Asset Management, LLC
Tianyou Fund LP
20.05 70.77 244.07 2.46
5 Typhon Capital Management, LLC
Vulcan Metals Strategy
2.81 41.38 110.03 2.19
6 Lochridge Investment Advisors
Lochridge Investment Advisors, LLC (Energy)
4.68 2.17
7 Commodities Analytics LLC
Daily Analytics
3.26 66.94 1.91
8 Evergreen Commodity Advisors, LLC
Discretionary
4.24 69.00 1.81
9 Alpha Z Advisors LLC
Alpha Z Futures Fund, LLC
56.77 428.96 1.71
10 Hartswell Capital Ltd
MP-1
8.95 196.92 1.70
11 SandPointe
SandPointe Opportunities Strategy
7.38 37.63 1.66
12 Doherty Advisors LLC
Compass
12.72 1.58
13 Buttonwood LLC
Energy Diversified 1
2.55 17.47 1.54
14 Salus Alpha Capital Ltd
Salus Alpha Global Alpha (GAX)
10.54 15.70 47.87 1.51
15 SandPointe
SandPointe All-Seasons Strategy
10.05 112.69 1.49
16 Jaguar Investments Ltd
Aegir Capital Strategy
-1.97 10.40 34.87 1.41
17 HPX Financial LLC
HPX Old School Program
1.58 -3.06 17.64 1.37
18 Blackheath Fund Management Inc.
Blackheath Tactical FI Strategy
7.97 29.00 93.38 1.37
19 Cauldron Investments, LLC
Stock Index Plus
10.62 18.55 65.19 1.33
20 Blue Bar Futures Trading Management LLC
Blue Bar Prime Ag Program
79.28 80.46 1.25
21 Bluegrass Capital Management
Cross Market Bias Model
0.25 6.55 1.24
22 Bulkara Capital
Bulkara Systematic Fund SP
3.31 43.97 1.23
23 Blue Diamond Asset Management
Blue Diamond Non-Directional Strategy
-7.98 31.86 53.18 1.20
24 SYNERGIE CAPITAL MANAGEMENT LLC
Synergie Focused Strategy
22.20 90.43 1.17
25 Doherty Advisors LLC
Orion
16.73 1.14
26 Warrington Asset Management
Warrington Strategic Program
3.78 12.43 14.66 1.11
27 SMJ Capital Management Ltd.
Systematic Currency FX Strategy
5.49 37.34 1.11
28 NuWave Investment Management, LLC
Commodity Value Portfolio
8.03 18.94 1.07
29 Doherty Advisors LLC
Relative Value Growth
2.58 15.42 21.14 1.03
30 QTS Capital Management, LLC
FX Managed Account
-2.29 14.11 112.15 1.02
31 WESTCAY LLC
Tropicals Program
3.33 18.66 1.02
32 Jaguar Investments Ltd
Ultro Capital Strategy
-0.64 2.15 26.77 1.00
33 Salus Alpha Capital Ltd
Salus Alpha Directional Markets (DMX)
12.10 16.44 47.22 0.98
34 Bluenose Capital Management, LLC
BNC BI
12.93 26.00 26.24 0.98
35 Non Correlated Capital
Positive Theta Program
0.12 -6.62 -17.44 0.95
36 QTS Capital Management, LLC
Tail Reaper
-2.33 5.01 41.12 0.94
37 QCAM Asset Management AG
Multi-Strategy Vol 10
11.68 17.87 59.05 0.92
38 Blackwater Capital Management
Tactical Equity
13.13 40.00 0.91
39 Wharton Capital Management
Wharton AG Futures Program
5.79 14.94 66.95 0.88
40 FORT LP
Fort Global Contrarian
6.56 5.93 20.95 0.86
41 AG Capital Investments, LLC
Discretionary Global Macro Program
34.49 88.16 0.86
42 Vivienne Investissement
MACH 3
44.71 0.85
43 Certeza Asset Management
4x Macro Vega
3.44 8.46 12.22 0.84
44 EMC Capital Advisors, LLC
EMC Alpha Plus Program
13.51 15.78 0.83
45 Taaffeite Capital Management LLC
TCM Global Index Fund (Flagship)
11.77 82.72 0.82
46 Eclipse Capital Management
Alpha Asia
2.13 34.03 0.81
47 Certeza Asset Management
4x Omni
4.48 12.88 0.79
48 FORT LP
Fort Global Diversified
3.26 7.18 21.61 0.79
49 Tlaloc Capital LLC
Grains Program
3.42 -0.75 6.61 0.79
50 Pinstripe Trading, LLC
Standard
11.17 42.38 56.14 0.78
51 Gregory P Asset Management LLC
Seasonal Spread and Options Strategy
-8.92 0.12 7.47 0.78
52 FORT LP
Global Futures Program (formerly Global Diversified Classic)
2.23 8.19 23.31 0.78
53 Meliora Capital LLP
Commodity Absolute Return (1x)
3.23 21.75 0.77
54 Systematic Absolute Return AG
SAR Volatility Arbitrage (VOLA)
-4.09 36.33 0.77
55 GammaQ
Breckhurst Commodity Fund
28.95 38.93 85.59 0.76
56 EMC Capital Advisors, LLC
EMC Alpha Program
11.06 10.58 0.75
57 dormouse Limited
dormouse - Managed Account
-4.81 42.20 39.19 0.75
58 Capital Fund Management S.A.
CFM IS Trends Fund LP Series 1 (USD 10% Volatility)
8.09 12.21 54.03 0.74
59 Ring Capital Management LLC
S&P E-Mini Select
15.05 10.36 61.34 0.74
60 Insch Capital Management SA
Insch Kintore (Bidirectional Gold)
21.18 0.74
61 Mesirow Financial Investment Management, Inc.
Emerging Markets Alpha Programme
0.56 4.66 22.59 0.73
62 Salus Alpha Capital Ltd
Salus Alpha Commodity Arbitrage (CAX)
3.47 10.99 6.99 0.72
63 Typhon Capital Management, LLC
Helios Deutsche
1.92 17.61 0.72
64 Schindler Capital Management, LLC
Dairy Advantage Program
-8.13 -2.25 47.33 0.71
65 Advanced Arbitrage Concepts
Advanced Arbitrage Concepts Account 1
7.70 20.60 0.71
66 Global Sigma Group, LLC
Global Sigma BondVOL LP
11.84 0.71
67 Crabel Capital Management
WPD Crabel Futures Program
7.60 10.24 22.24 0.69
68 Hehmeyer Capital Management, LLC
HOGO
8.16 21.11 0.69
69 Automaton Trading LLC
Diversified
13.08 6.21 0.67
70 Typhon Capital Management, LLC
Plutus Grain Strategy
3.69 5.90 8.50 0.64
71 Coloma Capital Futures(r), LLC
Hedged Volatility Strategy
3.98 25.10 0.64
72 Paskewitz Asset Management LLC
Contrarian S&P Stock Index LF
8.28 17.91 0.64
73 Kaiser Trading Group
Kaiser Global Diversified Program - Class A
0.25 3.04 21.04 0.64
74 Four Seasons Commodities Corp
Lone Star Program
-1.91 -4.22 3.49 0.64
75 QCAM Currency Asset Management AG
QCAM v-Pro Dynamic
-13.84 18.99 21.66 0.64
76 Red Rock Capital, LLC
Commodity Long-Short
-14.25 5.73 0.63
77 Crabel Capital Management
Crabel Multi-Product
-2.33 1.36 13.19 0.63
78 ISAM
ISAM Systematic Trend Fund
1.66 2.79 48.71 0.62
79 QTS Capital Management, LLC
QTS Partners, L.P.
-2.76 7.23 22.85 0.61
80 Alee Capital Management, LLC
Mistral Program
-9.62 -11.43 29.38 0.61
81 Kessler Investment Advisors, Inc.
Kessler Cornerstone Absolute Return Strategy
2.90 3.82 2.02 0.61
82 Advanced Arbitrage Concepts
Advanced Arbitrage Concepts Account 2
23.04 35.33 0.61
83 Witter & Lester, Inc.
Redstone
4.30 4.84 8.03 0.60
84 Soaring Pelican, LLC
Diversified S&P Program
-4.77 7.34 15.40 0.59
85 Linnis
Linnis ONE, LP
8.60 28.96 0.59
86 Vivienne Investissement
OUESSANT UCITS FUND (A)
13.30 15.72 26.13 0.59
87 Dreiss Research Corporation
Diversified Program
-10.16 9.87 141.56 0.59
88 Greenwave Capital Management
Greenwave Flagship Plus
-0.52 5.03 5.59 0.58
89 Three Rock Capital Management
Global Macro Program
-10.17 12.24 28.81 0.58
90 Millburn Ridgefield Corporation
Multi-Markets Program
4.78 25.29 37.36 0.57
91 Hehmeyer Capital Management, LLC
Commodity Capital - Grain & Oil Seeds Program
-1.28 -2.00 2.74 0.56
92 Worldwide Capital Strategies
Profit Quest Macro World
-27.99 11.05 78.53 0.56
93 ROW Asset Managment
Row Diversified Fund, L.P.
0.31 -2.19 27.42 0.55
94 Gregory P Asset Management LLC
Alternative Multi Strategy
6.43 46.18 75.30 0.55
95 Demeter Capital Management
Livestock & Grain Trading Program
12.90 10.51 46.07 0.55
96 Vilk Commodity Services Limited
Vilk Base Metals Relative Value Program
2.58 5.37 23.24 0.55
97 M&R Capital, LLC
Livestock Trading Program
13.85 44.75 0.55
98 Global Wealth Analytics, Inc.
Triple M
4.54 56.57 0.54
99 Aquantum
Aquantum Commodity Spread Program (ACS)
17.54 4.18 0.54
100 Millburn Ridgefield Corporation
Commodity Program
7.91 32.87 57.73 0.53
101 DUNN Capital Management
DUNN WMA Institutional Program
10.80 15.73 56.58 0.53
102 Talenta Capital LLP
Diversified
7.14 2.18 0.53
103 Orgone Commodity Management LLC
Orgone AG 1
3.90 14.67 116.54 0.53
104 Bluenose Capital Management, LLC
BNC EI
12.36 14.88 4.58 0.53
105 Emil van Essen
Multi-Strategy Program
4.67 17.16 0.53
106 NickJen Capital Management & Consultants LLC
NRD-1
0.61 2.05 6.41 0.52
107 County Cork LLC
RLA I
-4.39 -9.29 24.52 0.51
108 Emil van Essen
Long-Short Commodity Program - Accelerated
10.33 19.45 0.50
109 Insch Capital Management SA
Interbank Currency Program - 3X Leverage
-4.08 -8.09 -18.37 0.49
110 SEB Asset Management
SEB Asset Selection Fund C (EUR)
-0.98 2.77 24.55 0.49
111 Aspect Capital
Aspect Diversified Fund - Class A (USD)
5.00 2.92 29.84 0.49
112 Alee Capital Management, LLC
Poniente Program
-17.10 -28.37 14.55 0.48
113 Typhon Capital Management, LLC
Proteus Dynamic Volatility Program
8.25 4.65 16.02 0.48
114 Mesirow Financial Investment Management, Inc.
Asian Markets Alpha Program
-3.56 -5.80 3.37 0.48
115 SMN Investment Services GmbH
smn Diversified Futures Fund (i14)
8.39 1.51 53.80 0.48
116 SCT Capital Management
The Adaptive Quant Trading (AQT) Program
5.56 7.73 21.92 0.48
117 Witter & Lester, Inc.
Diversified Trading Program
1.68 1.32 0.47
118 Prolific Capital Markets, LLC
Prolific Swiss System
-4.87 5.76 0.47
119 SinoPac Asset Management
SinoPac Multi Strategy Quant Fund
7.90 16.82 2.50 0.46
120 GammaQ
Commodity Program Managed Account
11.11 18.82 47.96 0.45
121 Independent View
IV Quantitative Futures Fund
-6.27 -10.57 24.35 0.43
122 R Best LLC
R Best Private Client Program
-0.26 16.33 24.03 0.43
123 ATP CAPITAL MANAGEMENT, LLC
Granularity Alpha
0.15 8.30 0.42
124 Spring Valley Asset Management (SVAM)
SVAM Tactical Trend Portfolio
0.76 10.83 0.41
125 Sandpiper Asset Management
Sandpiper Global Macro Program
-12.24 1.69 68.27 0.41
126 Degraves Capital Management Pty Ltd
Degraves Global Diversified Program
-6.76 0.04 24.49 0.41
127 Chesapeake Capital
Diversified Plus (HV)
9.73 6.01 102.94 0.40
128 Mesirow Financial Investment Management, Inc.
Extended Markets Alpha Program
10.43 15.50 28.63 0.39
129 Future Trade AG
Thales Swing Trading Programme
-22.57 -21.61 -15.00 0.39
130 QMS Capital Management LP
QMS Diversified Global Macro Strategy
-8.16 -15.16 22.13 0.39
131 M6 Capital Management LLC
Standard Program
8.84 9.82 2.85 0.38
132 Hehmeyer Capital Management, LLC
Hehmeyer Systematic Treasury & Equity Strategy
0.86 13.35 20.84 0.38
133 Bluenose Capital Management, LLC
BNC CL
14.23 41.70 0.36
134 Purple Valley Capital, Inc.
Diversified Trend 1
-11.97 -46.12 -22.91 0.36
135 Emil van Essen
Long-Short Commodity Program
10.93 12.10 0.36
136 Episteme Capital Partners (US), LLC
Episteme Systematic Quest (ESQ) Composite
0.79 0.97 15.13 0.35
137 Candriam Investor Group
Alternative Return Systemat
-11.45 -2.75 11.72 0.35
138 Emil van Essen
Spread Trading Program Limited
-3.26 28.19 0.34
139 Kaiser Trading Group
Kaiser Trading Fund 2X SPC - Share Class A
0.94 2.22 20.00 0.34
140 Ditsch Trading, LLC
Agricultural Trading Program
3.22 0.83 14.26 0.34
141 Amapa Capital Advisors LLC
Energy Program
1.33 28.46 15.94 0.33
142 SEB Asset Management
SEB Asset Selection Opportunistic Fund C (EUR)
0.12 6.58 53.38 0.33
143 Seven Capital Management
Seven Absolute Return
14.21 10.45 23.64 0.32
144 Third Street Ag Investments, LLC
Fundamental Discretionary Ag
-0.33 3.32 1.41 0.32
145 Quantica Capital AG
2X Quantica Managed Futures Fund
22.47 0.39 0.30
146 Tomas Capital Pty Ltd
GCAF | AUD (managed by Tomas Capital Australia Pty Ltd)
7.79 -7.31 70.68 0.30
147 Bocken Trading LLC
Discretionary Trading Program
-5.54 -26.58 -0.13 0.29
148 Doherty Advisors LLC
Relative Value Plus
-0.91 5.33 3.68 0.29
149 Turk Capital LLC
US Equity Long/Short Strategy
14.64 4.00 0.28
150 Typhon Capital Management, LLC
Chiron Currency Program
-3.36 -3.56 -2.02 0.28
151 Quantica Capital AG
1X Quantica Managed Futures Fund
11.22 2.03 0.27
152 Trigon Investment Advisors, LLC
Foreign Exchange Program
-5.13 0.36 -1.45 0.27
153 Tomas Capital Pty Ltd
GCAF | USD
8.82 -9.62 65.29 0.25
154 Urban Tree Capital, LLC
UTC Plus (Client)
5.65 12.79 0.25
155 Rosetta Capital Management
Macro Program
8.70 -21.57 -39.47 0.24
156 TRYCON G.C.M. AG
Tungsten TRYCON Basic Invest HAIG, Class C (UCITS IV)
-1.19 2.57 10.14 0.22
157 Silicon Valley Quantitative Advisors
UQP Large
-23.87 -20.51 23.02 0.22
158 Conquest Capital Group
Conquest Select
-9.52 -11.78 4.41 0.19
159 Kopis Capital Management, LLC
Commodity Long Short Separate Account
-3.63 0.19
160 Garraway Capital Management LLP
Garraway Financial Trends
-3.01 7.83 20.38 0.16
161 Metolius Capital LLC
Metolius Diversified
-0.90 -2.45 9.22 0.15
162 Whitmore Capital Management LLC
Whitmore Capital LP
13.52 11.15 -24.21 0.15
163 Melissinos Trading
Eupatrid Program
-10.57 -20.41 21.24 0.15
164 Trigon Investment Advisors, LLC
Discretionary Macro Program
-5.15 -6.45 10.41 0.13
165 Glendorn Capital Management LLC
Diversified Short-Term Trading Strategy
-2.19 -2.51 0.13
166 Redleaf Capital, LLC
Fallback Fundamentals - Accounts <$50K
-11.07 -59.07 -54.10 0.12
167 ML Systems LLC
Sledon Classic (Client)
3.85 0.34 0.12
168 Angle Capital Management LLC
AIP Program
-32.10 -46.37 -23.62 0.11
169 Robust Methods LLC
Macro Managed Account
1.65 -3.92 -21.42 0.08
170 Greenwave Capital Management
Greenwave Flagship Discretionary Plus
1.56 3.67 4.25 0.07
171 Talenta Capital LLP
S&P 500 Momentum
10.78 -2.53 0.06
172 Trading Study
SPK – E-Mini S&P 500 Option
-5.78 4.34 -1.06 0.05
173 Glider Trading LLP
Glider Trading Strategy (Class C)
-0.62 -5.50 0.05
174 ROW Asset Managment
Row Currency Program
1.15 -6.14 12.59 0.05
175 Ilgenwald Trading, LLC
Ilgenwald Trading, LLC
-5.60 -8.63 0.01
176 Metolius Capital LLC
Metolius Enhanced Fund 2.5X
1.18 -0.01
177 Hehmeyer Capital Management, LLC
Hehmeyer Meat Complex
-0.51 0.26 -0.04
178 Estlander & Partners
Freedom
-1.60 -5.74 2.57 -0.04
179 Covenant Capital Management
Optimal Program
-27.04 -93.00 -0.05
180 Estlander & Partners
Alpha Trend II - Class P
-33.16 -42.91 -25.89 -0.07
181 Paradox Capital Management
Sentiment Program (1X)
4.99 3.22 1.68 -0.10
182 Turning Wheel Capital, Inc.
Pure Alpha
-11.67 -19.25 -8.78 -0.12
183 Aquantum
Aquantum Global Systematic Program (AGS)
0.68 -7.91 -0.12
184 Qbasis Invest
Qbasis i Trend Fund
-23.15 -41.99 -0.12
185 Redleaf Capital, LLC
Fallback Fundamentals - Accounts >$50K
-3.13 -39.41 -26.18 -0.14
186 Superfund Group
Superfund Red USD SICAV
16.01 0.01 -0.15
187 Superfund Group
Superfund Red EUR SICAV
13.82 -7.00 -0.21
188 Gregory P Asset Management LLC
Low Volatility Income Strategy
4.96 -0.22
189 Glenhaven Capital LLC
Glenhaven Global II LP
0.16 -5.74 -36.04 -0.28
190 Paskewitz Asset Management LLC
Multi-strategy Futures Program
-7.04 -2.48 -23.52 -0.29
191 Dixon Midland Company LLC
Dixon Midland Diversified LLC
-7.53 -14.49 3.48 -0.30
192 Quest Partners LLC
AlphaQuest Short Bias (AQSB)
-22.81 -16.24 -0.31
193 Bensboro Advisors, LLC
Seasonal Spread Trading Program
-11.30 -10.23 -0.31
194 Tyche Capital Advisors LLC
Institutional Spreads
-6.14 -9.41 -0.33
195 Valia Capital Management
Global Tactical Program
-0.42 13.77 -0.44
196 Helford Capital Partners LLP
Helford Diversified Systematic Alpha 1
7.11 -0.45
197 Seven Capital Management
Seven Fixed Income Fund
-9.41 -8.19 -9.18 -0.45
198 Greenwave Capital Management
Greenwave Flaghship (Futures Only)
-0.04 0.56 0.62 -0.49
199 Blake Capital Management, Inc.
SRD Currencies
-1.04 -1.34 -1.48
200 Doherty Advisors LLC
Grey Swan Hedge
-2.53 -6.19 -10.27 -1.89
201 Blake Capital Management, Inc.
SRD Short Equities
-0.10 -0.71 -3.15 -1.98
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