August Flash Report

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August for the most part had dampened volatility across most asset classes which produced mostly flat returns for CTAs. Policy changes seem to be the new theme from the Fed as they have changed inflation targets to place more emphasis on employment. How this will translate for market participants we should start seeing between now and the end of 2020. Elections in the United States and relations with China will also be market influencers.

The IASG CTA Index for August is +0.40% with only 50% of managers reporting as of today. Index focused traders as would be expected produced +1.91% for the month. The S&P500 Cash index was up comparatively 7.01%.

Established Track Record > 5 Years

CTA/Program Assets Aug-20 YTD 2020 Style/Sector
Adalpha Asset Management
Diversified Short-Term Program
$53M -1.89 5.20 Short Term
Diversified
Revolution Capital Management
Alpha Program
$316M 0.84 24.07 Short Term
Diversified
Quantica Capital AG
Managed Futures
$722M 1.20 -0.10 Systematic –
Long Term Trend
Fort LP
Global Contrarian
$2,694M -1.38 -2.93 Systematic –
Mean Reversion
QTS Capital Management
Tail Reaper
$50M NA NA Intraday Indices
S&P 500 Index 7.01 8.34

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Emerging Track Record < 5 Years

CTA/Program Min Acct Aug-20 YTD 2020 Style/Sector
Cayler Capital
Systematic Energy Diversified
$250k -1.08 33.16 Energy
Sigma Advanced Capital
Management

Global Advanced Futures
and Spread Program (QEP)
$200k -2.71 -1.60 Commodity
Spread
Deep Field
Vol Arb
$1M 1.04 25.52 Intraday
Indices
Breakout Funds $1M 0.74 26.91 Discretionary –
Global Macro
Ravinia Investment Management
Algorithmic Multi-Strategy
$100k 13.08 44.33 Short Term
Vol/Index
S&P 500 Index 7.01 8.34

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Top Programs Last Month

Managers with assets greater than $10M

CTA/Program August CAROR WDD
Pan Capital
Pan Capital Energy Strategy
17.62 25.91 -18.59
Eclipse Capital Management
Global Monetary
7.04 7.30 -34.71
Tactical Investment Management
Tactical Institutional Commodity Program
6.18 15.53 -41.53
Trident Capital Management LLC
Trident Futures Fund LP
6.10 NA -6.06
Goldman Management, Inc
Stock Index Futures
5.45 8.43 -18.60
Metolius Capital LLC
Metolius Enhanced Fund
4.87 2.99 -26.05

> 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
Pan Capital
Pan Capital Energy Strategy
54.37 1.38 -18.59
Cayler Capital
Systematic Energy Diversified
38.69 1.22 -7.59
Deep Field Capital AG
Systematic Volatility Arbitrage Program (VolArb)
35.99 0.97 -12.26
Claughton Capital
ARP Institutional Program
35.48 0.41 -25.54
AG Capital Investments, LLC
Discretionary Global Macro Program
34.93 0.86 -25.27
Superfund Group
Superfund Green GOLD SICAV
33.20 1.01 -35.95

> 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
Pan Capital
Pan Capital Energy Strategy
116.64 1.38 -18.59
Rcube Asset Management
Commodity Spread Program
94.32 1.65 -6.62
AG Capital Investments, LLC
Discretionary Global Macro Program
81.11 0.86 -25.27
Blue Bar Futures Trading Management LLC
Blue Bar Prime Ag Program
78.46 1.12 -42.46
Deep Field Capital AG
Systematic Volatility Arbitrage Program (VolArb)
69.93 0.97 -12.26
Superfund Group
Superfund Green GOLD SICAV
66.69 1.01 -35.95

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


IASG Indexes

CTA/Program Index August YTD 1yr
Stock Index Trader Index 1.91 4.49 8.37
Discretionary Trader Index 1.73 6.12 7.02
Trend Following Strategy Index 0.77 8.42 1.07
Agricultural Trader Index 0.66 4.18 4.80
Option Strategy 0.52 -6.05 -2.83

> See all indexes

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Return Summary

Active CTAs/Programs
As of September 10, 2020 410
Through August ’20 211 (51%)
Last 60 Days 337 (82%)
August 2020 ROR
Managers with (+) 112
Managers with (-) 98
Average (+) 2.96%
Average (-) -1.89%
Highest 17.62%
Average 0.69%
Lowest -11.56%

> See latest stats

Distribution of Returns

Distribution of Returns

* Stats as of 9/10/2020 3PM CST

Image via flickr