September Flash Report
| | Flash Report
This month's return attribution saw reversals for many of the systematic managers with equity market pullbacks and US Dollar weakening contributing to losses. It was certainly a struggle across all trend/systems based strategies for the month with the Trend Index currently posting -3.02.
One bright spot was in agriculture with the Agricultural Index up 1.06% for September. Managers focusing on grains and livestock have finally shown some life in what has been an otherwise uneventful last few years.
China appears to be making good on their trade deal with the U.S. as seen in their corn and soybean purchases. China demand combined with lower corn/bean yields forecasted are what contributed to the bullish sentiment that contributed to September.
Established Track Record > 5 Years
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| CTA/Program | Assets | Sep-20 | YTD 2020 | Style/Sector |
| Adalpha Asset Management Diversified Short-Term Program |
$53M | NA | NA | Short Term Diversified |
| Revolution Capital Management Alpha Program |
$465M | -1.56 | 22.14 | Short Term Diversified |
| Quantica Capital AG Managed Futures |
$682M | -3.60 | -3.70 | Systematic – Long Term Trend |
| Fort LP Global Contrarian |
$2,816M | 0.51 | -2.43 | Systematic – Mean Reversion |
| QTS Capital Management Tail Reaper |
$50M | NA | NA | Intraday Indices |
| S&P 500 Index | -3.92 | 4.09 | ||
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Emerging Track Record < 5 Years |
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| CTA/Program | Min Acct | Sep-20 | YTD 2020 | Style/Sector |
| Cayler Capital Systematic Energy Diversified |
$250k | 1.72 | 35.45 | Energy |
| Sigma Advanced Capital Management Global Advanced Futures and Spread Program (QEP) |
$400k | 1.39 | -0.23 | Commodity Spread |
| Deep Field Vol Arb |
$1M | -5.38 | 18.77 | Intraday Indices |
| Breakout Funds | $1M | -0.56 | 26.20 | Discretionary – Global Macro |
| Ravinia Investment Management Algorithmic Multi-Strategy |
$100k | -10.70 | 36.48 | Short Term Vol/Index |
| S&P 500 Index | -3.92 | 4.09 | ||
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Top Programs Last MonthManagers with assets greater than $10M |
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| CTA/Program | Sept | CAROR | WDD |
| R. G. Niederhoffer Capital Management, Inc. Diversified Program |
13.80 | 5.54 | -54.49 |
| Statar Capital LLC Natural Gas Strategy |
13.25 | 46.49 | -2.82 |
| NuWave Investment Management, LLC Combined Futures Portfolio |
8.77 | 5.80 | -42.09 |
| Opus Futures LLC Advance Ag Futures Trading Program |
6.73 | 7.48 | -50.66 |
| Salus Alpha Capital Ltd Commodity Arbitrage (CAX) |
6.33 | 5.78 | -9.83 |
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 |
| Statar Capital LLC Natural Gas Strategy |
59.92 | 2.74 | -2.82 |
| AG Capital Investments, LLC Discretionary Global Macro Program |
42.83 | 0.88 | -25.27 |
| Claughton Capital ARP Institutional Program |
37.76 | 0.40 | -25.54 |
| Cayler Capital Systematic Energy Diversified |
35.66 | 1.24 | -7.59 |
| Leibniz Group SWARM |
34.09 | 1.13 | -5.79 |
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 |
| Leibniz Group SWARM |
98.56 | 1.13 | -5.79 |
| AG Capital Investments, LLC Discretionary Global Macro Program |
73.90 | 0.88 | -25.27 |
| Blue Bar Futures Trading Management LLC Blue Bar Prime Ag Program |
70.79 | 1.13 | -42.46 |
| Deep Field Capital AG Systematic Volatility Arbitrage Program (VolArb) |
59.54 | 0.88 | -12.26 |
| Claughton Capital ARP Institutional Program |
57.35 | 0.40 | -25.54 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
IASG Indexes |
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| CTA/Program Index | September | YTD | 1yr |
| Agricultural Trader Index | 1.06 | 5.13 | 5.27 |
| Option Strategy | 0.82 | -4.64 | -2.35 |
| Discretionary Trader Index | 0.09 | 4.78 | 5.30 |
| Stock Index Trader Index | -0.12 | 3.03 | 6.62 |
| IASG CTA Index | -1.15 | 4.26 | 4.19 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Return Summary |
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| Active CTAs/Programs | |
| As of October 12, 2020 | 372 |
| Through September '20 | 220 (59%) |
| Last 60 Days | 335 (90%) |
| September 2020 ROR | |
| Managers with (+) | 78 |
| Managers with (-) | 141 |
| Average (+) | 3.15% |
| Average (-) | -3.33% |
| Highest | 23.83% |
| Average | -1.01% |
| Lowest | -15.76% |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
* Stats as of 10/12/2020 3PM CST