November Flash Report

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What’s Up
The stock index trader index lead the pack last month, up 1.19% and 5.05% for YTD led by Kinkopf Capital Management’s S&P Select program.

What’s Down
The trend was not your friend for the second month in a row, as the trend following strategy index dropped 2.32% anchored by Mulvaney Capital Management’s Global Markets Fund’s 12% slip.

CTA Spotlight: Tianyou Asset Management.
In February 2018, markets looked pretty dire for many option writers. The VIX had spiked 250% in less than a week and options sold a few days before were selling for many multiples of their original value. The biggest firm in the space, LJM Partners, went under and some of the best names faltered. Tianyou reduced risk as any good manager should but not in time to stave off a 25.46% drawdown, the worst in their history…
Read blog post

In the news
Via HedgeWeek Typhon Capital Management enters quantitative trading space
Roberto Vernazza and his Mercurio Quantitative Program have joined Typhon Capital Management. Vernazza is Typhon’s first dedicated Quant portfolio manager under the team of François Moreau, Head of Quantitative Trading, and Cris Doloc, PhD, Chief Technology Officer.


Top Programs Last Month

Managers with assets greater than $1M

CTA/Program Oct YTD CAROR
Future Trade AG
Thales Swing Trading Programme
13.44 33.18 6.12
Schindler Capital Management, LLC
Dairy Advantage Program
8.37 18.83 30.41
Northern Capital Partners, LLC
Spread Program (Proprietary)
5.95 19.25 25.10
AP Futures, LLC
Volatility Trading Program
5.65 14.32 -3.25
Covenant Capital Management
Total Volatility Program (P&C)
5.59 23.41 N/A

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

Top Programs Last 12 Months

Managers with assets greater than $1M

CTA/Program 1yr Sharpe WDD
QQFund.com
QQFund.com Alpha Beta Program
181.23 0.94 -35.81
Quantica Capital AG
2X Quantica Managed Futures Fund
72.09 0.51 -33.73
Insch Kintore Ltd
INSCH KINTORE
68.46 0.74 -28.98
Plus EV Capital LLC
Raise Alpha Program
66.54 1.69 -18.88
Vivienne Investissement
MACH 3
54.81 0.72 -29.61

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

Top Programs Last 36 Months

Managers with assets greater than $1M

CTA/Program 3yr Sharpe WDD
QQFund.com
QQFund.com Alpha Beta Program
167.73 0.94 -35.81
QCAM Asset Management AG
SWARM 2XL
164.52 1.28 -13.03
Blue Bar Futures Trading Management LLC
Blue Bar Prime Ag Program
107.32 1.18 -42.26
Insch Kintore Ltd
INSCH KINTORE
85.90 0.74 -28.98
Vivienne Investissement
MACH 3
83.46 0.72 -29.61

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

Top 5 Emerging Managers

Managers with assets less than $25M

CTA/Program Oct YTD CAROR
Future Trade AG
Thales Swing Trading Programme
13.44 33.18 6.12
Kinkopf Capital Management
KCM S&P SELECT (Managed Client Accounts)
10.49 4.77 -2.24
Schindler Capital Management, LLC
Dairy Advantage Program
8.37 18.83 30.41
Kinkopf Capital Management
KCM S&P SELECT (Proprietary)
8.10 4.17 7.56
Northern Capital Partners, LLC
Spread Program (Proprietary)
5.95 19.25 25.10

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

Top 5 Established Managers

Managers with assets greater than $25M

CTA/Program Oct YTD CAROR
Superfund Group
Superfund Green SILVER SICAV
4.83 33.44 7.54
Lochridge Investment Advisors
Lochridge Investment Advisors, LLC (Energy)
3.14 2.19 10.38
QCAM Asset Management AG
SWARM 2XL
2.52 -3.48 35.05
361 Capital LLC
361 Global Managed Futures Strategy Fund
2.51 4.38 2.91
M&R Capital, LLC
RQSI Systematic Global Macro Fund
2.48 -0.59 12.44

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

Top 5 Option Managers

CTA/Program Oct YTD CAROR
Ansbacher Investment Management
Market Neutral Put Skew Program
-0.20 29.11 9.59
Tianyou Asset Management, LLC
Tianyou Fund LP
1.25 13.95 22.70
Crescent Bay Capital Management
Premium Stock Index Program
11.97 5.16
White River Group
Stock Index Option Writing Strategy
0.53 10.71 9.83
Buckingham Global Advisors, LLC
Weekly Emini Program
9.84 16.02

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

IASG Indexes

Index Oct YTD
Option Strategy 0.22 5.67
Stock Index Trader 1.19 5.05
Discretionary Trader 0.38 2.27
IASG CTA Index -0.90 4.07
Agricultural Trader  1.02 0.49
Systematic Trader -1.02 5.12
Diversified Trader  -1.69 4.75
Trend Following Strategy  -2.32 4.31
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

Return Summary

Active CTAs/Programs
As of November 11, 2019 415
Through Oct ’19 240 (58%)
Last 60 Days 395 (95%)
October 2019 ROR
Managers with (+) 106
Managers with (-) 131
Average (+) 2.08%
Average (-) -2.55%
Highest 13.44%
Average -0.47%
Lowest -12.00%

 * Stats as of 11/11/2019 4PM CST

Image via flickr