May Flash Report

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The major theme appears to be volatility remaining steady in May with a VIX hovering in the mid 20’s. U.S. equity indexes continue moving closer to a full recovery from March lows in spite of unemployment reaching numbers never seen before. Perhaps markets have factored in Q2 COVID-19 effects along with extreme government stimulus.

We should look toward economic indicators in Q3 and Q4 to realize more of the impact COVID will have globally. Most stood ready for this to be the recession (perhaps a depression) with long lasting effects. With everyday activity starting to take more of a return to normal attitude we will all be watching key economic indicators for justification of the equity recovery.

CTAs have stood their ground with mostly flattish returns across the board. Trend / Systematic strategies have struggled a bit to adapt with our indexes down -0.94% and -0.30% respectively. A long overdue standout in the space is Ag Traders with positive gain of 1.34%. Past Results not indicative of future returns.

A Crypto Manager Responds to an Author’s Request for an Explanation of Bitcoin

The world renowned author J.K. Rowling asked the Twitter universe about Bitcoin last weekend. “I don’t understand bitcoin. Please explain it to me” she wrote succinctly. The crypto asset manager Apollo Capital came up with a well thought out response, in our opinion.

Read post…

 

Established Track Record > 5 Years

CTA/Program Assets May-20 YTD 2020 Style/Sector
Adalpha Asset Management
Diversified Short-Term Program
$21M -0.82 2.02 Short Term
Diversified
Revolution Capital Management
Alpha Program
$250M 0.35 24.02 Short Term
Diversified
Quantica Capital AG
Managed Futures
$646M -0.70 -4.26 Systematic –
Long Term Trend
Fort LP
Global Contrarian
$ 2,670M NA NA Systematic –
Mean Reversion
QTS Capital Management
Tail Reaper
$30M 0.52% 58.94 Intraday Indices
S&P 500 Index 4.53 -5.77

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Emerging Track Record < 5 Years

CTA/Program Min Acct May-20 YTD 2020 Style/Sector
Cayler Capital
Systematic Energy Diversified
$125k 3.55 31.06 Energy
Sigma Advanced Capital
Management

Global Advanced Futures
and Spread Program (QEP)
$200k 1.97 0.76 Commodity
Spread
Deep Field
Vol Arb
$1M 7.52 20.37 Intraday
Indices
Breakout Funds $1M 2.13 21.51 Discretionary –
Global Macro
Ravinia Investment Management
Algorithmic Multi-Strategy
$100k 2.81 30.53 Short Term
Vol/Index
S&P 500 Index 4.53 -5.77

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Top Programs Last Month

Managers with assets greater than $10M

CTA/Program May CAROR WDD
ecamos Capital AG
ecamos Core Strategy 2X
5.83 5.53 -37.78
Blue Bar Futures Trading Management LLC
Blue Bar Prime Ag Program
5.10 36.88 -42.26
M&R Capital, LLC
Livestock Trading Program
4.05 8.76 -23.38
Ramsey Quantitative Systems Inc
RQSI Systematic Global Macro Fund
3.22 6.54 -17.90
Leibniz Group
SWARM
3.07 17.95 -5.79

> 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
76.55 0.96 -12.80
QTS Capital Management, LLC
Tail Reaper
68.63 0.68 -14.09
Leibniz Group
SWARM
42.33 1.17 -5.79
Claughton Capital
Institutional Program
38.99 0.40 -25.54
Revolution Capital Management
Alpha Program
38.41 0.62 -20.92

> 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
141.93 1.15 -42.26
Leibniz Group
GRAB+
123.75 1.68 -6.49
Leibniz Group
SWARM
85.41 1.63 -2.83
RCUBE ASSET MANAGEMENT
Commodity Spread Program
97.73 1.62 -6.62
AG Capital Investments, LLC
Discretionary Global Macro Program
90.05 0.72 -14.68

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


IASG Indexes

CTA/Program Index May YTD 1yr
Agricultural Trader Index 1.34 2.96 1.97
Stock Index Trader Index 0.96 2.20 7.36
Option Strategy Index 0.76 -6.76 -3.49
Discretionary Trader Index 0.34 2.39 2.35
IASG CTA Index -0.16 3.21 6.78

> See all indexes

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Return Summary

Active CTAs/Programs
As of June 10, 2020 382
Through May ’20 215 (56%)
Last 60 Days 349 (91%)
May 2020 ROR
Managers with (+) 110
Managers with (-) 103
Average (+) 1.85%
Average (-) -2.05%
Highest 15.10%
Average -0.04%
Lowest -8.13%

> See latest stats

Distribution of Returns

distribution of returns

 

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

Image via flickr