July Flash Report

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Another very interesting month for trading as almost all strategies performed with positive results in July. Stock markets continue to rise amidst continued uncertainty regarding the global economy. It feels like we are waiting for the other shoe to drop.

Precious metals has gone parabolic. Gold gets the headlines but Silver has jumped considerably. Bonds have held steady and are ripe for a breakout. With continued uncertainty in markets sure to cause disruption ahead we believe strategies long and short across different sectors should capture market volatility. The IASG CTA Index for July is +2.74% with Diversified managers leading with a positive gain of 3.84%. Agriculture focused managers although positive for July are the weakest posting a 0.19% gain.

AdalphaAdalpha Asset Management 7 months later….patience pays off. In late 2019 we started to pay attention to little known Adalpha Asset Management. As Gary Polony slowly built and refined his trading programs for his own account and potential outside customers, he existed mostly in obscurity for many years. That changed dramatically starting in July of 2019 when investors finally noticed that he had quietly put together a 17 year track record with only two losing years. Fast forward one year and assets have grown by $50 million and adding by the week. With a target of $100 million in assets to close the programs to new investors he will probably arrive there quickly.

Using systems built over many market cycles, the strategy now consists of three main components; breakout, momentum, and mean reversion; each using multiple programs and sitting under a risk framework that determines if conditions are appropriate to deploy capital. The results speak for themselves and customers are happy to have found him.

 

Established Track Record > 5 Years

CTA/Program Assets Jul-20 YTD 2020 Style/Sector
Adalpha Asset Management
Diversified Short-Term Program
$51.4M 0.44 7.23 Short Term
Diversified
Revolution Capital Management
Alpha Program
$309M 2.12 23.04 Short Term
Diversified
Quantica Capital AG
Managed Futures
$695M 2.90 -1.29 Systematic –
Long Term Trend
Fort LP
Global Contrarian
$2,642M 0.74 -1.57 Systematic –
Mean Reversion
QTS Capital Management
Tail Reaper
$50M -4.20 60.11 Intraday Indices
S&P 500 Index 5.51 1.25

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Emerging Track Record < 5 Years

CTA/Program Min Acct Jul-20 YTD 2020 Style/Sector
Cayler Capital
Systematic Energy Diversified
$250k -1.82 34.62 Energy
Sigma Advanced Capital
Management

Global Advanced Futures
and Spread Program (QEP)
$200k 2.37 1.14 Commodity
Spread
Deep Field
Vol Arb
$1M N/A N/A Intraday
Indices
Breakout Funds $1M 4.75 25.98 Discretionary –
Global Macro
Ravinia Investment Management
Algorithmic Multi-Strategy
$100k -1.35 31.25 Short Term
Vol/Index
S&P 500 Index 5.51 1.25

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Top Programs Last Month

Managers with assets greater than $10M

CTA/Program July CAROR WDD
Metolius Capital LLC
Metolius Enhanced Fund
11.51 2.10 -26.05
Insch Kintore Ltd
INSCH KINTORE
11.22 11.68 -31.54
O’Brien Investment Group
Quantitative Global Macro Futures Program
9.70 2.82 -9.84
AG Capital Investments, LLC
Discretionary Global Macro Program
8.00 24.75 -25.27
KeyQuant
Key Trends
6.64 7.96 -30.24

> 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
Statar Capital LLC
Natural Gas Strategy
52.33 2.73 -2.82
AG Capital Investments, LLC
Discretionary Global Macro Program
37.70 0.85 -25.27
Breakout Funds
Breakout
36.69 1.30 -5.07
Claughton Capital
ARP Institutional Program
36.22 0.39 -25.54
Rcube Asset Management
Commodity Spread Program
32.43 1.64 -6.62

> 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
111.02 1.14 -42.26
AG Capital Investments, LLC
Discretionary Global Macro Program
103.66 0.85 -25.27
Pan Capital
Pan Capital Energy Strategy
96.46 1.34 -18.59
Rcube Asset Management
Commodity Spread Program
94.76 1.64 -6.62
Quantica Capital AG
2X Quantica Managed Futures Fund
56.84 0.43 -33.73

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


IASG Indexes

CTA/Program Index July YTD 1yr
Trend Following Strategy Index 4.12 7.61 6.57
Diversified Trader Index 3.84 6.81 6.99
Systematic Trader Index 2.91 5.35 5.91
IASG CTA Index 2.74 5.42 5.92
Discretionary Trader Index 2.06 4.46 5.10

> See all indexes

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Return Summary

Active CTAs/Programs
As of July 11, 2020 401
Through July ’20 212 (53%)
Last 60 Days 342 (85%)
July 2020 ROR
Managers with (+) 162
Managers with (-) 49
Average (+) 3.74%
Average (-) -1.49%
Highest 34.49%
Average 2.51%
Lowest -7.80%

> See latest stats

Distribution of Returns

distribution of returns

* Stats as of 8/11/2020 3PM CST

Image via flickr

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