2018 IASG CTA Index Sharpe

Rank CTA/Program 1yr 3yr 5yr Sharpe
1 Crediton Hill LLC
Crediton Hill Managed Account Program
5.34 16.03 38.20 3.51
2 Warrington Asset Management
Tactical Program Client
5.28 20.15 2.74
3 Typhon Capital Management, LLC
Vulcan Metals Strategy
2.28 10.89 84.87 2.00
4 Eamon Capital
Zephyr Program
1.18 66.86 1.92
5 Buckingham Global Advisors, LLC
Weekly Emini Program
5.31 54.15 1.87
6 Evergreen Commodity Advisors, LLC
Discretionary
14.48 38.51 1.87
7 Lochridge Investment Advisors
Lochridge Investment Advisors, LLC (Energy)
2.36 23.33 1.80
8 Tianyou Asset Management, LLC
Tianyou Fund LP
-4.03 28.01 126.40 1.46
9 Salus Alpha Capital Ltd
Salus Alpha Global Alpha (GAX)
-2.66 19.04 37.79 1.36
10 Sector Arc Advisors
Global Lean Hog Ag
7.26 36.37 1.35
11 Alpha Z Advisors LLC
Alpha Z Futures Fund, LLC
-11.52 124.40 496.83 1.33
12 Blue Bar Futures Trading Management LLC
Blue Bar Prime Ag Program
41.63 160.81 618.81 1.31
13 HPX Financial LLC
HPX Old School Program
1.95 3.02 16.51 1.31
14 Jaguar Investments Ltd
Aegir Capital Strategy
2.55 4.54 27.26 1.31
15 Blue Diamond Asset Management
Blue Diamond Non-Directional Strategy
17.29 31.44 71.63 1.27
16 W.G. Wealth Guardian Ltd.
Strategic Volatility Returns Program (SVRP)
1.88 51.25 1.26
17 Hartswell Capital Ltd
MP-1
-13.96 33.14 210.73 1.21
18 Blackheath Fund Management Inc.
Blackheath Tactical FI Strategy
-1.52 7.89 71.58 1.18
19 NuWave Investment Management, LLC
Commodity Value Portfolio
6.31 19.43 1.14
20 QTS Capital Management, LLC
Tail Reaper
14.55 15.03 29.01 1.12
21 Warrington Asset Management
Warrington Strategic Program
3.80 12.72 18.37 1.09
22 Jaguar Investments Ltd
Ultro Capital Strategy
6.63 6.25 25.95 1.04
23 Doherty Advisors LLC
Compass
2.00 28.09 1.02
24 Doherty Advisors LLC
Relative Value Growth
3.00 11.07 24.22 1.00
25 Buttonwood LLC
Energy Diversified 1
-0.95 7.89 0.99
26 QTS Capital Management, LLC
FX Managed Account
0.55 -4.45 97.66 0.97
27 Bluegrass Capital Management
Cross Market Bias Model
0.05 2.27 0.97
28 Macrocapital Limited
Macrocapital Adaptive Volatility Strategy
4.53 20.01 0.97
29 Salus Alpha Capital Ltd
Salus Alpha Directional Markets (DMX)
-6.43 6.61 30.16 0.89
30 Deep Field Capital AG
Systematic Volatility Arbitrage Program (VolArb)
28.10 69.71 0.88
31 Dynamica Global Investments
Dynamica Commodity Trading Strategy
8.15 15.69 0.88
32 Pearl Capital Advisors, LLC
Hedged VIX Program
14.85 37.82 0.85
33 Salus Alpha Capital Ltd
Salus Alpha Commodity Arbitrage (CAX)
13.29 19.37 21.66 0.83
34 dormouse Limited
dormouse - Managed Account
11.63 21.09 66.68 0.81
35 SYNERGIE CAPITAL MANAGEMENT LLC
Synergie Focused Strategy
-9.04 32.96 0.80
36 FORT LP
Fort Global Contrarian
-5.48 1.48 12.49 0.79
37 FORT LP
Fort Global Diversified
-2.28 8.20 24.65 0.76
38 Sigma Advanced Capital Management, LLC
Global Advanced Futures and Spread Program (QEP)
3.63 0.76
39 GammaQ
Breckhurst Commodity Fund
7.82 49.37 88.99 0.75
40 Wharton Capital Management
Wharton AG Futures Program
-4.03 0.39 62.83 0.74
41 Gregory P Asset Management LLC
Seasonal Spread and Options Strategy
2.45 -0.71 5.49 0.74
42 Eclipse Capital Management
Alpha Asia
6.42 28.48 0.73
43 FORT LP
Global Futures Program (formerly Global Diversified Classic)
-10.44 -1.99 15.84 0.73
44 Bulkara Capital
Bulkara Systematic Fund SP
-5.78 4.59 0.73
45 514 Capital Partners
514 Fund
15.70 -3.62 82.79 0.71
46 Certeza Asset Management
4x Macro Vega
0.45 5.42 11.97 0.70
47 Global Sigma Group, LLC
Global Sigma BondVOL LP
3.73 8.63 0.70
48 QCAM Asset Management AG
Systematic Intelligence Vol 10
-4.57 15.63 45.61 0.70
49 SinoPac Asset Management
SinoPac Multi Strategy Quant Fund
34.98 37.58 49.81 0.68
50 Doherty Advisors LLC
Orion
-0.86 28.22 0.68
51 Crabel Capital Management
WPD Crabel Futures Program
4.13 14.56 24.99 0.68
52 ROW Asset Managment
Row Diversified Fund, L.P.
4.88 6.48 44.86 0.67
53 Schindler Capital Management, LLC
Dairy Advantage Program
-9.47 -8.35 31.85 0.67
54 AG Capital Investments, LLC
Discretionary Global Macro Program
-8.16 18.70 0.66
55 M&R Capital, LLC
Livestock Trading Program
22.06 44.40 0.66
56 Emil van Essen
Long-Short Commodity Program - Accelerated
14.90 29.33 0.65
57 RCMA Capital LLP
Merchant Commodity Fund
11.36 6.89 64.67 0.65
58 Tlaloc Capital LLC
Grains Program
-0.53 -0.15 -4.21 0.64
59 Aquantum
Aquantum Commodity Spread Program (ACS)
13.96 14.11 45.95 0.64
60 Crabel Capital Management
Crabel Multi-Product
9.35 11.95 21.21 0.63
61 Millburn Ridgefield Corporation
Commodity Program
23.58 30.83 110.47 0.62
62 DeltaHedge
VIXVOX 2
7.28 47.36 0.61
63 Typhon Capital Management, LLC
Helios Deutsche
1.25 4.60 0.60
64 QTS Capital Management, LLC
QTS Partners, L.P.
6.33 1.18 24.11 0.60
65 Typhon Capital Management, LLC
Plutus Grain Strategy
0.13 -1.14 3.13 0.60
66 Alee Capital Management, LLC
Mistral Program
4.28 1.34 15.89 0.59
67 Certeza Asset Management
4x Omni
1.44 6.34 0.59
68 DeltaHedge
VIXVOX 1
7.30 49.25 0.58
69 Prolific Capital Markets, LLC
Prolific Swiss System
10.50 14.38 38.10 0.58
70 Coloma Capital Futures(r), LLC
Hedged Volatility Strategy
2.70 11.23 30.54 0.58
71 Pinstripe Trading, LLC
Standard
-11.16 7.97 28.25 0.57
72 Soaring Pelican, LLC
Diversified S&P Program
5.06 -0.60 31.76 0.57
73 Greenwave Capital Management
Greenwave Flagship Plus
3.20 5.92 10.00 0.57
74 Kaiser Trading Group
Kaiser Global Diversified Program - Class A
-6.46 3.42 -2.42 0.56
75 Meliora Capital LLP
Commodity Absolute Return (1x)
-0.36 15.50 0.56
76 Ramsey Quantitative Systems Inc
RQSI Systematic Global Macro Fund
-11.94 17.04 36.71 0.56
77 Four Seasons Commodities Corp
Lone Star Program
-2.49 -4.85 -2.24 0.56
78 Dreiss Research Corporation
Diversified Program
-9.53 -5.54 84.77 0.56
79 Three Rock Capital Management
Global Macro Program
2.98 1.39 24.95 0.56
80 Millburn Ridgefield Corporation
Multi-Markets Program
4.40 23.09 53.59 0.56
81 Demeter Capital Management
Livestock & Grain Trading Program
6.09 19.53 43.30 0.55
82 ATP CAPITAL MANAGEMENT, LLC
Granularity Alpha
12.77 8.90 0.54
83 Gregory P Asset Management LLC
Alternative Multi Strategy
3.89 33.01 78.62 0.52
84 EMC Capital Advisors, LLC
EMC Alpha Plus Program
-6.87 9.15 0.52
85 Orion Asset Management
Algorithmic Trading Program
-9.45 9.55 14.83 0.52
86 Episteme Capital Partners (UK), LLP
Episteme Systematic Quest (ESQ) Composite
17.09 20.47 43.04 0.52
87 Kessler Investment Advisors, Inc.
Kessler Cornerstone Absolute Return Strategy
-4.09 4.74 9.36 0.51
88 Ring Capital Management LLC
S&P E-Mini Select
-8.16 -17.61 28.21 0.51
89 Tom Capital AG
Tom Capital Growth Fund
8.43 17.35 0.51
90 Worldwide Capital Strategies
Profit Quest Macro World
-6.35 -7.89 105.25 0.50
91 County Cork LLC
RLA I
4.16 -4.38 20.15 0.50
92 Witter & Lester, Inc.
Redstone
-7.46 -2.45 -2.04 0.49
93 WESTCAY LLC
Tropicals Program
-6.34 4.79 16.22 0.49
94 Red Rock Capital, LLC
Commodity Long-Short
-3.74 -22.49 44.27 0.49
95 Advanced Arbitrage Concepts
Advanced Arbitrage Concepts Account 1
-6.83 -4.49 34.45 0.48
96 ProfitScore Capital Management
Long/Short US Treasury
-4.71 11.75 0.48
97 EMC Capital Advisors, LLC
EMC Alpha Program
-3.47 8.33 22.05 0.47
98 Linnis
Linnis ONE, LP
-0.39 13.39 0.46
99 Vivienne Investissement
MACH 3
-10.87 64.92 0.46
100 QMS Capital Management LP
QMS Diversified Global Macro Strategy
12.15 -7.31 11.46 0.46
101 Sandpiper Asset Management
Sandpiper Global Macro Program
11.37 2.33 51.20 0.45
102 W.G. Wealth Guardian Ltd.
Trend Fix Portfolio
7.03 0.45
103 Kopis Capital Management, LLC
Commodity Long Short Separate Account
21.21 27.19 0.45
104 GammaQ
Commodity Program Managed Account
3.51 16.01 42.29 0.45
105 Capital Fund Management S.A.
CFM IS Trends Fund LP Series 1 (USD 10% Volatility)
-9.91 -9.27 34.09 0.45
106 NickJen Capital Management & Consultants LLC
NRD-1
-0.81 -0.61 2.88 0.44
107 Alpha Centauri Capital Management LLC
Alpha Centauri Tactical Opportunities
1.16 3.68 14.77 0.43
108 Urban Tree Capital, LLC
UTC Plus (Client)
16.89 38.54 43.53 0.43
109 SMN Investment Services GmbH
smn Diversified Futures Fund (i14)
-16.07 -16.78 34.26 0.42
110 Aspect Capital
Aspect Diversified Fund - Class A (USD)
-14.62 -18.56 16.00 0.41
111 Independent View
IV Quantitative Futures Fund
2.53 -13.06 10.87 0.41
112 QMS Capital Management LP
QMS Financials-Only Global Macro Strategy
14.42 1.86 22.11 0.40
113 Amapa Capital Advisors LLC
Energy Program
19.40 46.63 44.85 0.40
114 Vortex
Currency Program
-7.63 -2.96 31.35 0.40
115 Hehmeyer Capital Management, LLC
Hehmeyer Systematic Treasury & Equity Strategy
2.48 2.43 23.20 0.38
116 Bluenose Capital Management, LLC
BNC BI
-36.12 -22.65 -13.54 0.38
117 Chesapeake Capital
Diversified Plus (HV)
-15.53 -14.21 17.41 0.37
118 SEB Asset Management
SEB Asset Selection Fund C (EUR)
-7.16 -3.23 11.41 0.37
119 Vivienne Investissement
OUESSANT UCITS FUND (A)
-5.28 15.04 14.95 0.34
120 Witter & Lester, Inc.
Diversified Trading Program
-3.17 -4.92 4.09 0.34
121 Asset Management by Windsor Securities
Triple Advantage Strategy (MTAS)
3.38 11.09 0.34
122 Doherty Advisors LLC
Relative Value Plus
4.12 3.98 11.48 0.32
123 DUNN Capital Management
DUNN WMA Institutional Program
-8.73 -0.18 23.96 0.32
124 Emil van Essen
Multi-Strategy Program
-2.36 8.56 0.30
125 Purple Valley Capital, Inc.
Diversified Trend 1
-18.98 -50.09 -18.58 0.29
126 Advanced Arbitrage Concepts
Advanced Arbitrage Concepts Account 2
-20.90 -15.22 36.75 0.29
127 Emil van Essen
Long-Short Commodity Program
-0.20 8.42 15.21 0.29
128 Greenwave Capital Management
Greenwave Flagship Discretionary Plus
7.89 10.23 12.67 0.28
129 NuWave Investment Management, LLC
NuWave Matrix Portfolio
4.60 4.19 0.28
130 Automaton Trading LLC
Diversified
-7.80 7.96 0.28
131 SCT Capital Management
The Adaptive Quant Trading (AQT) Program
-7.43 1.11 10.91 0.28
132 Third Street Ag Investments, LLC
Fundamental Discretionary Ag
0.31 0.30 4.01 0.27
133 Ditsch Trading, LLC
Agricultural Trading Program
-12.27 -12.25 -11.54 0.26
134 Conquest Capital Group
Conquest Select
-1.40 -6.83 13.39 0.26
135 Kaiser Trading Group
Kaiser Trading Fund 2X SPC - Share Class A
-6.37 2.74 -3.13 0.25
136 Candriam Investor Group
Alternative Return Systemat
-7.92 -12.87 3.91 0.25
137 R Best LLC
R Best Private Client Program
-2.82 -3.85 19.90 0.25
138 Bocken Trading LLC
Discretionary Trading Program
-1.47 -15.21 -14.68 0.25
139 Talenta Capital LLP
Diversified
-3.95 -0.64 0.24
140 Asset Management by Windsor Securities
Non-Correlated All-Class Growth Strategy (MAC)
-31.96 -32.61 -27.96 0.24
141 Future Trade AG
Thales Swing Trading Programme
-33.88 -51.13 -36.39 0.24
142 Rosetta Capital Management
Macro Program
1.01 -24.42 -19.95 0.23
143 Typhon Capital Management, LLC
Proteus Dynamic Volatility Program
-8.39 -2.48 -2.89 0.22
144 Seven Capital Management
Seven Absolute Return
-4.50 17.12 12.62 0.22
145 Turk Capital LLC
US Equity Long/Short Strategy
-1.20 4.32 0.22
146 Silicon Valley Quantitative Advisors
UQP Large
2.54 -15.68 51.58 0.21
147 Trigon Investment Advisors, LLC
Foreign Exchange Program
-9.99 -12.43 -11.58 0.20
148 SEB Asset Management
SEB Asset Selection Opportunistic Fund C (EUR)
-14.16 -5.17 22.04 0.19
149 Enduring Investments LLC
Enduring Commodity Alpha
3.39 -9.47 0.18
150 Quantica Capital AG
2X Quantica Managed Futures Fund
-7.76 31.38 13.35 0.18
151 HASAFUMA
FX Momentum
-23.99 44.29 -18.43 0.17
152 Typhon Capital Management, LLC
Chiron Currency Program
-3.43 -1.60 -5.27 0.17
153 Quantica Capital AG
1X Quantica Managed Futures Fund
-1.87 18.59 11.63 0.17
154 Emil van Essen
Spread Trading Program Limited
-6.22 7.40 11.73 0.15
155 County Cork LLC
County Cork Macro Equity Hedge
-3.15 0.15
156 Whitmore Capital Management LLC
Whitmore Capital LP
-2.91 8.28 -36.18 0.12
157 ARCTIC BLUE CAPITAL
Arctic Blue Program (2x)
-0.28 -18.31 0.12
158 Trading Study
SPK – E-Mini S&P 500 Option
4.41 3.47 4.38 0.10
159 Trigon Investment Advisors, LLC
Discretionary Macro Program
-1.24 -10.83 1.67 0.09
160 Tomas Capital Pty Ltd
GCAF | AUD (managed by Tomas Capital Australia Pty Ltd)
-30.08 -35.06 23.01 0.09
161 HASAFUMA
Heavy Metal
-15.46 -13.97 0.09
162 Bensboro Advisors, LLC
Seasonal Spread Trading Program
17.25 6.97 0.08
163 Bluenose Capital Management, LLC
BNC EI
-32.83 -20.88 -25.43 0.04
164 Metolius Capital LLC
Metolius Diversified
-5.02 -5.90 3.68 0.04
165 Tomas Capital Pty Ltd
GCAF | USD
-28.50 -34.07 17.62 0.04
166 Asset Management by Windsor Securities
Income 2 Strategy (MI2)
-0.73 2.29 0.03
167 Spring Valley Asset Management (SVAM)
SVAM Tactical Trend Portfolio
-10.89 -5.37 0.02
168 Robust Methods LLC
Macro Managed Account
-6.34 2.74 -14.19 0.02
169 Quest Partners LLC
AlphaQuest Short Bias (AQSB)
21.78 -3.38 1.63 -0.02
170 Ilgenwald Trading, LLC
Ilgenwald Trading, LLC
-2.22 -1.50 -6.75 -0.03
171 Garraway Capital Management LLP
Garraway Financial Trends
-14.70 -1.83 10.01 -0.05
172 HASAFUMA
La Cucaracha
1.11 -27.10 -9.26 -0.05
173 Hehmeyer Capital Management, LLC
Hehmeyer Meat Complex
0.52 -4.29 4.37 -0.06
174 Centurion Investment Management Inc.
Composite
-15.08 -17.59 -14.39 -0.07
175 Carbide Capital Inc.
Carbide Absolute Return Program
-36.90 -18.17 -0.07
176 HASAFUMA
Börstjänaren Hedgehog
-27.98 -57.26 -53.03 -0.07
177 TRYCON G.C.M. AG
Tungsten TRYCON Basic Invest HAIG, Class C (UCITS IV)
-10.14 -6.68 2.65 -0.08
178 Bluenose Capital Management, LLC
BNC CL
-35.01 -13.52 -22.92 -0.10
179 Estlander & Partners
Alpha Trend II - Class P
-13.70 -48.28 -35.29 -0.10
180 Paskewitz Asset Management LLC
Contrarian S&P Stock Index LF
-18.33 -9.24 -0.13
181 Estlander & Partners
Freedom
-9.12 -13.98 -3.78 -0.13
182 ML Systems LLC
Sledon Classic (Client)
-4.91 -2.85 -0.15
183 Kinkopf Capital Management
KCM S&P SELECT (Managed Client Accounts)
-9.27 -0.20
184 Metolius Capital LLC
Metolius Enhanced Fund 2.5X
-9.94 -6.86 -0.21
185 Turk Capital LLC
US Market Hedge Strategy
-0.79 -2.05 -0.21
186 Superfund Group
Superfund Red USD SICAV
-6.83 -2.09 -21.20 -0.21
187 Kopis Capital Management, LLC
Commodity Long Only
-7.17 -18.25 -24.09 -0.25
188 Talenta Capital LLP
S&P 500 Momentum
-14.10 -12.04 -0.25
189 Anderson Creek Trading
Standard Diversified Strategy
-2.69 -19.74 -0.26
190 Gregory P Asset Management LLC
Low Volatility Income Strategy
-5.88 3.83 -0.26
191 Superfund Group
Superfund Red EUR SICAV
-10.73 -9.13 -27.41 -0.32
192 Dixon Midland Company LLC
Dixon Midland Diversified LLC
-6.43 -21.67 -5.22 -0.35
193 Davis Commodities, LLC
Davis Trading Program
-1.99 -15.41 -0.37
194 Paskewitz Asset Management LLC
Multi-strategy Futures Program
-14.53 -22.78 -26.49 -0.47
195 Valia Capital Management
Global Tactical Program
-1.68 -0.86 -0.48
196 Bighorn Capital Partners
Denali
-12.34 -16.50 -0.53
197 Alder Capital DAC
CALM Eurozone Equity Program
-8.46 -6.22 -0.54
198 Greenwave Capital Management
Greenwave Flaghship (Futures Only)
0.31 0.62 1.06 -0.55
199 Helford Capital Partners LLP
Helford Diversified Systematic Alpha 1
-5.11 -6.45 -0.59
200 HASAFUMA
Micro Macro
-0.75 0.88 -37.47 -0.79
201 Doherty Advisors LLC
Grey Swan Hedge
1.47 -4.01 -6.59 -1.37
202 Blake Capital Management, Inc.
SRD Currencies
-1.33 -2.32 -2.64 -1.72
203 Blake Capital Management, Inc.
SRD Short Equities
-0.62 -0.72 -2.05 -2.07
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