April Flash Report

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Mostly a subdued month despite continued volatility across almost all asset classes. As we await the outcome of the pandemic and us getting back to some sort of new semblance of normal we can almost assuredly expect volatility to remain.

With this much Federal Reserve intervention in the markets we are really in unprecedented times. All the broader equity indexes rallied quite a bit in April despite record levels of unemployment and more people looking for work than ever before.  Perhaps the market thinks we will dig out of this and go back to pre crisis spending by Q4 of this year. Throw into the mix renewed trade tensions with China…there is a lot going on in the world that does not seem to be clearing up anytime soon.

We read a lot of CTA commentary and the systematic managers will continue to follow their models while the discretionary focused managers seem to be taking a bit of a step back as market direction becomes more clear.  The IASG Discretionary Manager Index for April was the leader with a 2.22% return while the Systematic Index was mostly flat showing a 0.13% return. Past Results not indicative of future returns.

In the news

Cayler CapitalAfter finishing off one of the wildest quarters of my trading career, April managed to take the cake. For those that missed it (not sure how you possibly could have), oil settled negative $37. The effects of this were immediate: risk barometers had to be recalculated, option models switched, and most importantly was the immediate shock felt as oil producers halted production. This massive negative price sets the stage for a return to normalcy and bullishness in the energy space: storage has been filled, production has been cut and we are now forecasting stock draws throughout the second half of the year.

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Featured Managers

CTA/Program Jan-Mar 2020 Apr-20 YTD 2020 Style/Sector
Cayler Capital 18.72 10.39 31.06 Energy
Sigma Advanced Capital -0.54 -0.65 -1.18 Commodity Spread
Deep Field
Vol Arb
11.95 7.52 20.37 Intraday Indices
Adalpha Asset Management
Diversified Short-Term Program
7.53 -4.34 7.70 Short Term Diversified
QTS Capital Management
Tail Reaper
64.87 -0.49 58.42 Intraday Indices
Breakout Funds 12.95 5.33 18.97 Discretionary – Global Macro
Crediton Hill LLC
Managed Account Program
1.53 0.07 1.60 Short Term Arbitrage
Revolution Capital Management
Alpha Program
23.64 -0.04 23.59 Short Term Diversified
Quantica Capital AG
Managed Futures
-6.66 3.30 -3.58 Systematic – Long Term Trend
Fort LP
Global Contrarian
-3.49 0.77 -2.74 Systematic – Mean Reversion
S&P 500 Index -20.00 12.68 -9.85

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Top Programs Last Month

Managers with assets greater than $10M

CTA/Program Apr CAROR WDD
Jaguar Investments Ltd
Aegir Capital Strategy
8.22 14.27 -6.31
Evergreen Commodity Advisors, LLC
Discretionary
7.63 14.94 -11.86
Deep Field Capital AG
Systematic Volatility Arbitrage Program (VolArb)
7.52 15.44 -12.26
Bulkara Capital
Bulkara Systematic Fund SP
7.34 5.34 -23.99
Quantica Capital AG
2X Quantica Managed Futures Fund
7.20 7.79 -33.73

> 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
Tail Reaper
54.30 0.68 -14.09
QTS Capital Management, LLC
Chimera
53.82 0.98 -12.80
Claughton Capital
Institutional Program
47.15 0.41 -25.54
Revolution Capital Management
Alpha Program
42.04 0.62 -20.92
Linnis
Linnis ONE, LP
40.55 0.69 -14.10

> 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
145.22 1.13 -42.26
QCAM Asset Management AG
SWARM
102.38 1.14 -5.79
SinoPac Asset Management
SinoPac Multi Strategy Quant Fund
92.04 0.74 -14.68
QCAM Asset Management AG
Enhanced Intelligence Strategy Vol 10
85.41 1.63 -2.83
QTS Capital Management, LLC
Tail Reaper
72.29 0.68 -14.09

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


IASG Indexes

CTA/Program Index Apr YTD 1yr
Stock Index Trader Index 2.58 1.73 4.13
Discretionary Trader Index 2.22 3.06 3.62
Option Strategy Index 0.89 -6.64 -4.15
Agricultural Trader Index 0.66 1.73 2.08
IASG CTA Index 0.27 4.06 6.69

> See all indexes

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Return Summary

Active CTAs/Programs
As of May 8, 2020 386
Through April ’20 186 (48%)
Last 60 Days 350 (91%)
April 2019 ROR
Managers with (+) 104
Managers with (-) 81
Average (+) 2.62%
Average (-) -2.14%
Highest 11.37%
Average 0.58%
Lowest -10.82%

> See latest stats

Distribution of Returns

distribution of returns

 

 

* Stats as of 5/8/2020 3PM CST

Image via flickr