June Flash Report

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Are we still in a classic bear market rally? Or is this simply a continuation of the bull market? These are questions that no one can really answer as we are starting to see modest recovery in unemployment and parts of the economy coming back to life. The narrative has not changed much from the previous month as we see slight gains across most sectors in our CTA Indexes. This month the Agriculture index +1.65 and Stock Index focused managers +1.60 leading the way. Volatility remains in equities which gave way to shorter term traders specializing in indicies. Trend focused managers are currently posting a loss of -0.95 for June. With approximately half of managers reporting for June, we believe this is a good gauge for last month.

Milk is not often thought of as a tradable commodity but it actually is traded by CTA Schindler Capital. These futures contracts impact our food supply in a variety of ways and this months commentary from Schindler helps explain how the COVID-19 pandemic has affected milk futures which have seen pricing soar in the past few months.

Schindler’s 2020 Q2 Newsletter

There are so many things I want to say that it’s really hard to know where to begin, but let’s start as usual with the results. The Dairy Advantage Program had its strongest quarter since 2011, finishing up 23.43%, erasing the previous quarter’s loss to bring the YTD return to 19.74%. The Institutional Dairy Advantage Program had its best quarter ever (being it only commenced trading in April, 2017), finishing Q2 up 21.34%, bringing its YTD performance to 14.06%. So what happened?

Download Newsletter (Registration Req’d)

 

Established Track Record > 5 Years

CTA/Program Assets Jun-20 YTD 2020 Style/Sector
Adalpha Asset Management
Diversified Short-Term Program
$21M 4.64 6.76 Short Term
Diversified
Revolution Capital Management
Alpha Program
$250M -2.85 20.49 Short Term
Diversified
Quantica Capital AG
Managed Futures
$646M 0.20 -4.07 Systematic –
Long Term Trend
Fort LP
Global Contrarian
$ 2,599M 0.87 -2.29 Systematic –
Mean Reversion
QTS Capital Management
Tail Reaper
$47.7M 5.37 64.31 Intraday Indices
S&P 500 Index 1.84 -4.04

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Emerging Track Record < 5 Years

CTA/Program Min Acct Jun-20 YTD 2020 Style/Sector
Cayler Capital
Systematic Energy Diversified
$125k 1.03 37.11 Energy
Sigma Advanced Capital
Management

Global Advanced Futures
and Spread Program (QEP)
$200k -1.95 -1.20 Commodity
Spread
Deep Field
Vol Arb
$1M 5.46 27.53 Intraday
Indices
Breakout Funds $1M -1.02 20.27 Discretionary –
Global Macro
Ravinia Investment Management
Algorithmic Multi-Strategy
$100k 2.07 32.60 Short Term
Vol/Index
S&P 500 Index 1.84 -4.04

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Top Programs Last Month

Managers with assets greater than $10M

CTA/Program June CAROR WDD
Deep Field Capital AG
Intraday Crisis Alpha Program (ICA)
7.58 14.14 -6.00
Deep Field Capital AG
Systematic Volatility Arbitrage Program (VolArb)
5.46 16.14 -12.26
QTS Capital Management, LLC
Chimera
5.37 N/A -12.80
QTS Capital Management, LLC
Tail Reaper
5.37 13.75 -14.09
Bulkara Capital
Systematic Fund SP
5.13 6.12 -23.99

> 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
86.83 1.02 -12.80
QTS Capital Management, LLC
Tail Reaper
80.23 0.71 -14.09
Leibniz Group
SWARM
42.96 1.17 -5.79
Deep Field Capital AG
Systematic Volatility Arbitrage Program (VolArb)
35.83 1.02 -12.26
Linnis
Linnis ONE, LP
31.01 0.71 -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
124.54 1.15 -42.26
Leibniz Group
SWARM
111.32 1.17 -5.79
AG Capital Investments, LLC
Discretionary Global Macro Program
101.72 0.81 -25.27
Leibniz Group
GRAB+
99.93 1.44 -8.52
QTS Capital Management, LLC
Tail Reaper
86.29 0.71 -14.09

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


IASG Indexes

CTA/Program Index June YTD 1yr
Agricultural Trader Index 1.65 4.39 3.95
Stock Index Trader Index 1.60 1.26 5.10
Discretionary Trader Index 0.89 2.94 3.15
Option Strategy Index 0.59 -6.66 -3.90
IASG CTA Index -0.15 2.42 3.73

> See all indexes

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Return Summary

Active CTAs/Programs
As of July 13, 2020 393
Through June ’20 238 (61%)
Last 60 Days 353 (90%)
June 2019 ROR
Managers with (+) 114
Managers with (-) 120
Average (+) 2.18%
Average (-) -2.27%
Highest 14.51%
Average -0.10%
Lowest -12.08%

> See latest stats

Distribution of Returns

* Stats as of 7/13/2020 3PM CST

Image via flickr