March & April Intra-Month Performance Updates

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Wow what a month March turned out to be on the heels of February. During the COVID-19 outbreak we saw a huge volatility surge again in March across almost all asset classes from equities to rates to commodities. We showed a brief intra-month view of several managers we track and, good, bad or indifferent wanted to update you on the final numbers they produced.

Shorter term strategies and tail risk strategies stole the show for March with the ability to capture much of the volatility on both up and down days. Also in the mix was the showdown between Saudi Arabia and Russia on oil output sending shockwaves rarely seen across energy markets.

Many of the managers we speak to think we have months (perhaps many) ahead of us with market/investor confusion as we try globally to overcome this pandemic. Looking out even further, we have a presidential election, a possible re-emergence of COVID-19 during the fall, and continued FED intervention in the markets…how will this impact markets going forward it may bode well for CTAs seeking opportunities in volatile markets. From IASG to all of you, we wish for you all to remain safe during these unprecedented times.

In the news

IASG CryptoInstitutional Advisory Services Group (IASG) is making a concerted push into the crypto hedge fund space with a new crypto managed account offering. IASG has launched a new website, www.iasgcrypto.com, which tracks the performance of professional cryptocurrency managers, enabling its high net worth and family office clients to see the performance of these managers before allocating through a managed account structure.

 

Manager Mid April Update (thru 4/15/2020)

CTA/Program Jan/Feb 2020 Mar-20 YTD 2020 Style/Sector
Cayler Capital 3.55 14.94 16.84 Energy
Sigma Advanced Capital 4.06 -4.24 -0.35 Commodity Spread
Deep Field
Vol Arb
4.26 7.09 11.65 Intraday Indices
Adalpha Asset Management
Diversified Short-Term Program
2.49 5.08 7.70 Short Term Diversified
QTS Capital Management
Tail Reaper
12.98 45.00 57.98 Intraday Indices
Breakout Funds 4.91 7.67 12.95 Discretionary – Global Macro
Crediton Hill LLC
Managed Account Program
1.23 0.29 1.53 Short Term Arbitrage
Revolution Capital Management
Alpha Program
13.86 8.59 23.64 Short Term Diversified
Quantica Capital AG
Managed Futures
-2.14 -3.00 -6.66 Systematic – Long Term Trend
Fort LP
Global Contrarian
0.81 -4.26 -3.49 Systematic – Mean Reversion
S&P 500 Index -8.56 -12.51 -20.00

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 Mar CAROR WDD
QTS Capital Management, LLC
Tail Reaper
45.93 7.27 -14.09
QTS Capital Management, LLC
Chimera
45.93 8.01 -12.80
Mulvaney Capital Management
The Mulvaney Global Markets Fund
31.16 10.95 -45.08
QCAM Asset Management AG
SWARM
25.24 23.12 -6.61
Sandpiper Asset Management
Sandpiper Global Macro Program
23.21 3.80 -35.19

> 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
QTS Capital Management, LLC
Chimera
57.81 1.02 -12.80
QTS Capital Management, LLC
Tail Reaper
55.06 0.69 -14.09
Claughton Capital
Institutional Program
49.50 0.41 -25.54
Revolution Capital Management
Alpha Program
40.97 0.62 -20.92
QCAM Asset Management AG
Enhanced Intelligence Strategy Vol 10
40.79 1.38 -6.08

> 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
145.76 1.16 -42.26
AG Capital Investments, LLC
Discretionary Global Macro Program
118.00 0.86 -25.27
QCAM Asset Management AG
SWARM
107.07 1.25 -6.61
SinoPac Asset Management
SinoPac Multi Strategy Quant Fund
95.06 0.74 -14.68
QCAM Asset Management AG
Enhanced Intelligence Strategy Vol 10
92.41 1.38 -6.08

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


IASG Indexes

CTA/Program Index Mar YTD 1yr
Trend Following Strategy Index 8.26 8.40 13.09
Diversified Trader Index 5.76 6.65 11.26
Systematic Trader Index 5.24 5.77 10.22
IASG CTA Index 4.53 4.77 8.59
Stock Index Trader Index 4.25 1.21 4.04

> See all indexes

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Return Summary

Active CTAs/Programs
As of April 9, 2020 400
Through March ’20 280 (70%)
Last 60 Days 373 (93%)
March 2020 ROR
Managers with (+) 164
Managers with (-) 115
Average (+) 9.81%
Average (-) -4.46%
Highest 77.36%
Average 3.91%
Lowest -23.05%

> See latest stats

Distribution of Returns

distribution of returns

 

* Stats as of 4/15/2020 2PM CST

Image via flickr