August Flash Report
| | Flash Report
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 |
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| 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 |
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| 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 MonthManagers with assets greater than $10M |
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| 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 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Top Programs Last 12 MonthsManagers with assets greater than $10M |
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| 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 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Top Programs Last 36 MonthsManagers with assets greater than $10M |
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| 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 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
IASG Indexes |
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| 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 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Return Summary |
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| 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% |
Distribution of Returns
* Stats as of 9/10/2020 3PM CST
Image via flickr