February & March Intra-Month Performance Updates

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What is up?

Indexes across the board are showing position returns for February. This heightened volatility has given way to many strategies particularly Systematic Managers with a 1.03% number posted for February. The overall IASG CTA Index is up 0.70% and focuses in on managers with at least 36 months of history.

What is down?

The IASG Option Index has only a few reported numbers so although showing positive as of today – we anticipate this number to be negative as more managers report. A few managers did perform during February that trade option strategies. Global Sigma BondVol strategy posted a +1.00 while Warrington‘s tactical program also posted +0.10 for February.

February was another month of increased volatility and uncertainty in the markets. The impact of the coronavirus as well as other macro, micro, and geopolitical events for the global economy are still uncertain. The US equity market returned -8.46%, Treasuries Yield reaches new times lows and Bloomberg Commodity Index (BCOM) returned -5.15% to add a total of -16.12% YTD.

March has seen a continuation of the increased volatility and no one can predict when markets across all asset classes will calm. We have had these spurts of volatility in the past, but it has not persisted. With so much uncertainty in the world and the fact that we are nearing the end of a 10+ year bull market, perhaps now is a time to shift and look toward an asset class that is designed to perform in all market conditions. Below is a snapshot of a few managers we track *daily*. To learn more about any of these strategies and how you can invest and track please feel free to contact us today.

In the news

QTS Capital ManagementWhy does our Tail Reaper program work in times of market turmoil? by Ernest Chan of QTS Capital Management.

Why should we worry about a losing year? Aren’t total return all investors should care about? Read more…


New! Manager Mid March Update (thru 3/9/2020)

CTA/Program Jan/Feb 2020 Mar-20 YTD 2020 Style/Sector
Cayler Capital 3.55 13.25 16.80 Energy
Sigma Advanced Capital 4.06 0.50 4.56 Commodity Spread
Deep Field
Vol Arb
4.26 8.95 13.60 Intraday Indices
Adalpha Asset Management 2.49 0.57 3.30 Short Term Diversified
QTS Capital Management, LLC
Tail Reaper
12.98 17.62 30.60 Intraday Indices
Breakout Funds 4.91 1.79 6.79 Discretionary – Global Macro
Crediton Hill 1.23 0.10 1.33 Short Term Arbitrage
Quantica Capital -2.14 2.01 -0.21 Systematic – Long Term Trend
Fort LP
Global Contrarian
0.81 -0.88 0.22 Systematic – Mean Reversion
S&P 500 Index -8.56 -6.49 -15.05

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
**Please note that March and YTD numbers shown above are estimates**


Top Programs Last Month

Managers with assets greater than $10M

CTA/Program Feb CAROR WDD
QTS Capital Management, LLC
Tail Reaper
12.98 8.08 -14.09
Eamon Capital
Zephyr Program
12.12 15.02 -17.51
QTS Capital Management, LLC
Chimera
11.10 N/A -12.80
Revolution Capital Management
Alpha Program
8.85 7.27 -20.92
Quality Capital Management Ltd.
Global Diversified Programme
8.75 8.01 -53.56

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Top Programs Last 12 Months

Managers with assets greater than $10M

CTA/Program 1yr Sharpe WDD
Superfund Group
Superfund Green GOLD SICAV
45.10 0.82 -35.95
Statar Capital LLC
Natural Gas Strategy
35.86 3.54 -2.82
Quality Capital Management Ltd.
Global Diversified Programme
34.68 0.44 -53.56
Quantica Capital AG
2X Quantica Managed Futures Fund
33.45 0.44 -33.73
DUNN Capital Management
D’Best Futures Fund, L.P.
33.29 0.39 -52.07

> 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
Blue Bar Futures Trading Management LLC
Blue Bar Prime Ag Program
152.83 1.17 -42.26
QCAM Asset Management AG
SWARM 2XL
126.52 1.20 -13.03
Vivienne Investissement
MACH 3
63.40 0.73 -29.61
Quantica Capital AG
2X Quantica Managed Futures Fund
53.84 0.44 -33.73
NuWave Investment Management, LLC
NuWave Investment Partners LP
51.05 0.59 -32.96

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


IASG Indexes

CTA/Program Index Feb YTD 1yr
Trend Following Strategy Index 1.95 2.46 8.97
Diversified Trader Index 1.54 2.26 8.95
Systematic Trader Index 1.03 1.76 7.86
Agricultural Trader Index 0.74 0.74 1.49
IASG CTA Index 0.70 1.20 6.73

> See all indexes

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Return Summary

Active CTAs/Programs
As of March 10, 2020 409
Through Feb ’20 223 (55%)
Last 60 Days 387 (95%)
February 2019 ROR
Managers with (+) 121
Managers with (-) 100
Average (+) 4.06%
Average (-) -3.38%
Highest 26.84%
Average 0.68%
Lowest -18.90%

> See latest stats

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Distribution of Returns

* Stats as of 3/10/2020 2PM CST

Image via flickr