January Flash Report

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What’s Up
The Ag trader index beat out the other indexes last month at 1.12% as trade tensions with China eased potentially providing some clarity on demand going into 2020. The Option Strategy index lead the list for 2019 at 8.05% as traders did not have many significant short term moves that provide the biggest challenges to their strategies. Meanwhile, the IASG Trend Following and Systematic Trader indices posted their highest annual returns since 2014.

CTA Spotlight
Adalpha Asset Management continued their solid performance for the year in December with a 0.68% return to finish the year up over 12%.  Investors are finally taking notice of the 16 years of steady performance as asset growth surged in 2019.  Using the IASG Systematic Trader Index as a benchmark, the Adalpha program has exceeded that return by over 20% in the past two years. Past performance is not necessarily indicative of future results.

Strategy: Time Series or Cross Sectional Momentum – Which is Better? 
The marketplace is abuzz with the value of momentum trading, but a closer inspection shows that it is packaged in two major strains, time series and cross-sectional momentum. The traditional trend-following CTA focuses on time series momentum while the most of the equity research and implementation is conducted through the cross-sectional approach.
Read blog post

Recent Research
Ernest Chan of QTS Capital Management recently published a working paper: “US nonfarm employment prediction using RIWI Corp. alternative data


Top Programs Last Month

Managers with assets greater than $1M

CTA/Program Dec 2019 CAROR
Glenhaven Capital LLC
Glenhaven Global II LP
13.35 21.24 -14.87
Future Trade AG
Thales Swing Trading Programme
8.46 34.28 6.10
Vortex
Currency Program
5.53 -7.61 3.28
Red Rock Capital, LLC
Commodity Long-Short
5.24 -3.65 6.11
Metolius Capital LLC
Metolius Enhanced Fund 2.5X
4.91 -3.71 -2.97

> 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
149.99 0.93 -35.81
Quantica Capital AG
2X Quantica Managed Futures Fund
57.90 0.51 -33.73
Vivienne Investissement
MACH 3
54.23 0.75 -29.61
Global Bayesian Dynamics, LLC
Risk Parity + (Proprietary)
43.14 0.63 -14.99
Plus EV Capital LLC
Raise Alpha Program
42.40 1.32 -18.88

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Top Programs Last 36 Months

Managers with assets greater than $10M

CTA/Program 3yr Sharpe WDD
QQFund.com
QQFund.com Alpha Beta Program
262.42 0.93 -35.81
Blue Bar Futures Trading Management LLC
Blue Bar Prime Ag Program
157.03 1.18 -42.26
QCAM Asset Management AG
SWARM 2XL
119.84 1.22 -13.03
SpreadEdge Capital, LLC
Diversified Seasonal Spreads
94.30 0.75 -29.61
Alpha Z Advisors LLC
Alpha Z Futures Fund, LLC
85.29 1.38 -28.52

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Top 5 Emerging Managers

Managers with assets less than $25M

CTA/Program Dec 2019 CAROR
Glenhaven Capital LLC
Glenhaven Global II LP
13.35 21.24 -14.87
Future Trade AG
Thales Swing Trading Programme
8.46 34.28 6.10
Kazmarck Capital LLC
The Opportunities Program
5.86 15.85 14.20
Vortex
Currency Program
5.53 -7.61 3.28
Mercantile Analytics and Trading, LLC
Global Diversified Commodity Program (Prop)
5.27 2.19 1.22

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Top 5 Established Managers

Managers with assets greater than $25M

CTA/Program Dec 2019 CAROR
Metolius Capital LLC
Metolius Enhanced Fund 2.5X
4.91 -3.71 -2.97
Paskewitz Asset Management LLC
Contrarian S&P Stock Index
3.35 2.48 8.42
Auspice Capital Advisors Ltd
Auspice Tactical Futures Program (ATFP)
2.71 -13.31 N/A
Ramsey Quantitative Systems Inc
RQSI Systematic Global Macro Fund
2.59 14.35 8.64
Salus Alpha Capital Ltd
Salus Alpha Global Alpha (GAX)
2.56 18.06 11.61

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Top 5 Option Managers

CTA/Program Dec 2019 CAROR
Aleph Strategies LLC
Aleph Options
2.16 19.97 19.96
Tianyou Asset Management, LLC
Tianyou Fund LP
1.74 16.78 22.54
Global Sigma Group, LLC
Global Sigma Plus
0.96 7.90 12.47
Carbide Capital Inc.
Carbide Absolute Return Program
0.83 9.04 0.06
Global Sigma Group, LLC
Global Sigma BondVOL LP
0.67 7.86 6.19

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


IASG Indexes

CTA/Program Index Dec 2019 1yr
Agricultural Trader Index 1.12 -0.62 -0.62
Stock Index Trader Index 1.11 7.33 7.33
Discretionary Trader Index 0.81 2.40 2.40
Systematic Trader Index 0.79 6.13 6.13
IASG CTA Index 0.77 5.32 5.32

> See all indexes

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Return Summary

Active CTAs/Programs
As of January 9, 2020 407
Through Dec ’19 194 (48%)
Last 60 Days 361 (89%)
December 2019 ROR
Managers with (+) 118
Managers with (-) 74
Average (+) 2.06%
Average (-) -1.45%
Highest 13.35%
Average 0.70%
Lowest -7.98%

> See latest stats

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


distribution of returns

* Stats as of 1/9/2020 12pm CST

Image via flickr