February Flash Report

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What’s Up
The Trend Following Strategy Index rose above the other indexes last month at 1.58% with the Superfund Group taking the 4 top spots and their Green Gold SICAV program reaching a new high at 8.70% for the month.

What’s Down
The Discretionary Trader Index was down -0.72% for January followed closely by managers focused on Stock Indexes with a reported loss of -0.20%. The Coronavirus outbreak wreaked havoc in global markets erasing much of the early index gains in the month.

Sigma AdvancedCommodities: A Range of Opportunities for 2020
A decline in the U.S. dollar will be an essential factor for a sustained recovery of commodity prices. In the energy markets, Crude Oil remains oversupplied, but the global macro and political factors can trigger energies to new highs. For 2020 we expect higher volatility driven by political factors, as well as a risk of an equity pullback in the stock market.
Read Sigma Advanced’s blog post

In the news
A Manager’s Past Performance Matters More Than Ever by Vasant Dhar of SCT Capital Management.


Top Programs Last Month

Managers with assets greater than $1M

CTA/Program Jan CAROR WDD
QQFund.com
QQFund.com Alpha Beta Program
18.78 34.58 -35.81
Red Oak Commodity Advisors
Investment Program
9.80 10.26 -56.23
Superfund Group
Superfund Green Gold B (SPC)
9.37 5.16 -65.14
Quantitative Investment Management
Quantitative Global Program
8.82 8.37 -16.94
Superfund Group
Superfund Green GOLD SICAV
8.70 17.90 -35.95

> 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
129.76 0.96 -35.81
Quantica Capital AG
2X Quantica Managed Futures Fund
46.64 0.52 -33.73
Superfund Group
Superfund Green GOLD SICAV
45.10 0.82 -35.95
Global Bayesian Dynamics, LLC
Risk Parity + (Proprietary)
44.83 0.63 -14.99
Superfund Group
Superfund Green Master
42.98 0.42 -65.13

> 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
331.13 0.96 -35.81
Blue Bar Futures Trading Management LLC
Blue Bar Prime Ag Program
149.40 1.18 -42.26
QCAM Asset Management AG
SWARM 2XL
119.84 1.22 -13.03
AG Capital Investments, LLC
Discretionary Global Macro Program
90.85 0.73 -25.27
Aleph Strategies LLC
Aleph Options
83.05 4.57 -1.64

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Top 5 Emerging Managers

Managers with assets less than $25M

CTA/Program Jan YTD CAROR
QQFund.com
QQFund.com Alpha Beta Program
18.78 18.78 34.58
Red Oak Commodity Advisors
Investment Program
9.80 9.80 10.26
Superfund Group
Superfund Green Gold B (SPC)
9.37 9.37 5.16
Cayler Capital
Systematic Energy Diversified
8.22 8.22 N/A
Linnis
Linnis ONE, LP
8.16 8.16 11.02

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Top 5 Established Managers

Managers with assets greater than $25M

CTA/Program Jan YTD CAROR
Quantitative Investment Management
Quantitative Global Program
8.82 8.82 8.37
Superfund Group
Superfund Green GOLD SICAV
8.70 8.70 17.90
Quest Partners LLC
AlphaQuest Original program (AQO)
7.49 7.49 10.54
Salus Alpha Capital Ltd
Salus Alpha Directional Markets (DMX)
7.02 7.02 13.43
SinoPac Asset Management
SinoPac Multi Strategy Quant Fund
5.53 5.53 7.74

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Top 4 Option Managers

CTA/Program Jan YTD CAROR
Global Sigma Group, LLC
Global Sigma BondVOL LP
0.84 0.84 6.27
Tianyou Asset Management, LLC
Tianyou Fund LP
0.18 0.18 22.29
Warrington Asset Management
Warrington Strategic Program
0.04 0.04 9.74
Warrington Asset Management
Tactical Program Client
-0.11 -0.11 5.84

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


IASG Indexes

CTA/Program Index Jan YTD 1yr
Trend Following Strategy Index 1.58 1.58 9.54
Systematic Trader Index 1.41 1.41 8.50
Diversified Trader Index 1.37 1.37 8.45
IASG CTA Index 1.09 1.09 7.27
Agricultural Trader Index 0.91 0.91 1.30

> See all indexes


Return Summary

Active CTAs/Programs
As of February 10, 2020 407
Through Jan ’19 230 (57%)
Last 60 Days 379 (93%)
January 2019 ROR
Managers with (+) 149
Managers with (-) 79
Average (+) 2.66%
Average (-) -2.63%
Highest 18.78%
Average 0.82%
Lowest -12.26%

> See latest stats

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

Distribution of Returns

distribution-of-returns-20200210

* Stats as of 2/10/2020 5pm CST

Image via flickr