December Flash Report

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What’s Up
The Stock Index Trader Index topped the indexes again last month, up 1.02% and 6.02% for the year. The Systematic Volatility Arbitrage Program (VolArb) by Deep Field Capital led the index.

What’s Down
AIS Capital
‘s MAAP (3x-6x) Composite program’s -9.67% (-12% YTD) drop helped push the Discretionary Trader Index into the red last month at -1.23% and 1.21% for the year.

CTA Spotlight: Spring Valley Asset Management
Spring Valley Asset Management (part of our Diversified Trader Index) contributed a guest post last month detailing the drivers behind trend following and how each variable impacts CTA performance.
Read blog post

In the news
Bloomberg: Obscure Hedge Fund Leaves Sleepy Swiss Town and Trounces Rivals
In 2017, Patrick J. Aregger took over an obscure hedge fund [Quantica Capital] based in a sleepy Swiss town. He moved its base to Zurich, shook up operations — and trounced the trend-following competition…


Top Programs Last Month

Managers with assets greater than $1M

CTA/Program Nov YTD CAROR
Arion Investment Management
Arion Copper Arbitrage
8.18 3.09 14.10
Claughton Capital
Institutional Program
6.16 -0.78 4.71
Deep Field Capital AG
Systematic Volatility Arbitrage Program (VolArb)
5.48 9.24 13.75
Kaiser Trading Group
Kaiser Global Diversified Program – Class B
4.86 18.33 6.95
Kaiser Trading Group
Kaiser Trading Fund 2X SPC – Share Class B
4.86 18.33 2.87

> 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
148.80 0.93 -35.81
Quantica Capital AG
2X Quantica Managed Futures Fund
70.10 0.53 -33.73
Plus EV Capital LLC
Raise Alpha Program
66.54 1.69 -18.88
Vivienne Investissement
MACH 3
54.23 0.75 -29.61
Superfund Group
Superfund Green SILVER SICAV
44.89 0.36 -42.33

> 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
235.31 0.93 -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
119.22 1.16 -42.26
Vivienne Investissement
MACH 3
94.30 0.75 -29.61
Quantica Capital AG
2X Quantica Managed Futures Fund
88.35 0.53 -33.73

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

Top 5 Emerging Managers

Managers with assets less than $25M

CTA/Program Nov YTD CAROR
Arion Investment Management
Arion Copper Arbitrage
8.18 3.09 14.10
Claughton Capital
Institutional Program
6.16 -0.78 4.71
Deep Field Capital AG
Systematic Volatility Arbitrage Program (VolArb)
5.48 9.24 13.75
SpreadEdge Capital, LLC
Diversified Seasonal Spreads
3.79 7.75 17.22
Spring Valley Asset Management (SVAM)
SVAM Tactical Trend Portfolio
3.75 10.53 2.45

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

Top 5 Established Managers

Managers with assets greater than $25M

CTA/Program Nov YTD CAROR
Kaiser Trading Group
Kaiser Global Diversified Program – Class B
4.86 18.33 6.95
Kaiser Trading Group
Kaiser Trading Fund 2X SPC – Share Class B
4.86 18.33 2.87
DUNN Capital Management
D’Best Futures Fund, L.P.
4.62 29.93 9.10
Quantitative Investment Management
Quantitative Global Program
4.01 -3.71 7.74
Eagle Trading Systems Inc.
Eagle Customized Trend
3.81 9.37 1.17

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

Top 5 Option Managers

CTA/Program Nov YTD CAROR
Aleph Strategies LLC
Aleph Options
1.19 17.38 19.76
Tianyou Asset Management, LLC
Tianyou Fund LP
0.73 14.79 22.53
Warrington Asset Management
Tactical Program Client
0.53 6.87 12.48
Global Sigma Group, LLC
Global Sigma BondVOL LP
0.45 7.14 6.16
Warrington Asset Management
Warrington Strategic Program
-0.29 1.27 9.81

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

IASG Indexes

CTA/Program Index Nov YTD 1yr
Stock Index Trader Index 1.02 6.02 3.48
Systematic Trader Index 0.63 5.39 6.38
Option Strategy Index 0.34 5.83 4.45
IASG CTA Index 0.22 4.03 4.47
Diversified Trader Index 0.15 4.58 6.18

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

Return Summary

Active CTAs/Programs
As of December 10, 2019 408
Through Nov ’19 226 (55%)
Last 60 Days 388 (95%)
November 2019 ROR
Managers with (+) 145
Managers with (-) 79
Average (+) 1.53%
Average (-) -1.82%
Highest 8.18%
Average 0.35%
Lowest -9.67%

 

Distribution of Returns

 

 

* Stats as of 12/10/2019 5PM CST

Image via flickr