November Flash Report

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November saw a significant increase globally in equity market with many indexes reaching all time new highs. Much of the globe appears to be factoring in the widespread distribution of the COVID vaccine. Bonds have been for the most part unaffected and are not the balance to the equites markets as has been considered the historical norm. Agriculture and commodities in general have continued to show life particularly in the grains.

Another common trend has been short USD. The IASG indexes showed strength across the board with Trend Following +3.37% leading the way followed by Stock Index Traders 2.64%.

CTA Spotlight: Adalpha Asset Management
Adalpha“The whole reason my algorithms work, the way they work in all environments, they’ve been working so long is because I’m a prop trader. And that’s what a CTA doesn’t have on me. “ Gary Polony describes in his quiet office on the 38th floor of the Chicago Board of Trade to explain the difference between someone who depends on trading success for a living as opposed to a fund generating high management fees on customer assets even when it doesn’t perform
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Established Track Record > 5 Years

CTA/Program Assets Nov-20 YTD 2020 Style/Sector
Adalpha Asset Management
Diversified Short-Term Program
$29,9M 3.06 3.64 Short Term
Diversified
Revolution Capital Management
Alpha Program
$373M 1.44 19.87 Short Term
Diversified
Quantica Capital AG
Managed Futures
$682M 4.80 -1.32 Systematic –
Long Term Trend
Fort LP
Global Contrarian
$2,816M 1.63 -2.66 Systematic –
Mean Reversion
QTS Capital Management
Tail Reaper
$50M -3.53 42.98 Intraday Indices
S&P 500 Index 10.75 12.10

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Emerging Track Record < 5 Years

CTA/Program Min Acct Nov-20 YTD 2020 Style/Sector
Cayler Capital
Systematic Energy Diversified
$250k 0.20 23.77 Energy
Sigma Advanced Capital
Management

Global Advanced Futures
and Spread Program (QEP)
$400k 0.46 0.16 Commodity
Spread
Deep Field
Vol Arb
$1M -1.22 10.14 Intraday
Indices
Breakout Funds $1M -0.87 19.74 Discretionary –
Global Macro
Ravinia Investment Management
Algorithmic Multi-Strategy
$100k -7.69 32.71 Short Term
Vol/Index
S&P 500 Index 10.75 12.10

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Top Programs Last Month

Managers with assets greater than $10M

CTA/Program Nov CAROR WDD
Eclipse Capital Management
Global Monetary
15.35 7.27 -34.71
SEB Asset Management
SEB Asset Selection Opportunistic Fund C (EUR)
12.27 1.92 -34.86
Vivienne Investissement
MACH 3
12.24 15.93 -29.61
Ramsey Quantitative Systems Inc
RQSI Systematic Global Macro Fund
10.57 8.09 -17.90
Chesapeake Capital
Diversified Plus (HV)
9.65 7.53 -48.26

> 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
56.94 2.60 -2.82
AG Capital Investments, LLC
Discretionary Global Macro Program
48.97 0.84 -25.27
Opus Futures LLC
Advance Ag Futures Trading Program
43.84 0.38 -50.66
SinoPac Asset Management
Multi Strategy Quant Fund
39.63 0.74 -14.68
QTS Capital Management
Tail Reaper
39.50 0.53 -19.73

> 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
Leibniz Group
SWARM
97.75 1.14 -5.79
SinoPac Asset Management
Multi Strategy Quant Fund
92.67 0.74 -14.68
AG Capital Investments, LLC
Discretionary Global Macro Program
71.59 0.84 -25.27
Claughton Capital
ARP Institutional Program
58.08 0.40 -25.54
Blue Bar Futures Trading Management LLC
Blue Bar Prime Ag Program
53.30 1.12 -42.26

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


IASG Indexes

CTA/Program Index Nov YTD 1yr
Trend Following Strategy Index 3.37 6.80 7.52
Stock Index Trader Index 2.64 6.65 7.71
Agricultural Trader Index 1.94 7.49 8.31
Systematic Trader Index 1.86 5.00 5.58
IASG CTA Index 1.64 5.11 5.71

> See all indexes

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Return Summary

Active CTAs/Programs
As of December 15, 2020 377
Through November ’20 258 (68%)
Last 60 Days 367 (97%)
November 2020 ROR
Managers with (+) 164
Managers with (-) 91
Average (+) 4.61%
Average (-) -3.13%
Highest 25.64%
Average 1.83%
Lowest -20.11

> See latest stats

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


* Stats as of 12/12/2020 3PM CST