December Flash Report

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December finally ends a year we are all looking to put behind us. Every facet of our lives was touched by the Pandemic and we are still learning to cope with affects of the virus. Along with Covid we faced, political turmoil in the U.S. with President elect Biden taking office in 2021 and Democrats having full control, Brexit finally materialized in the U.K., China following through with their trade agreement purchasing obligations we find ourselves entering 2021 with change across multiple fronts.

It will be interesting to see how markets react in 2021 to what we left in 2020. One thing is certain, the Stock Indexes continue to gain as it appears passive / index investing continues pushing the stock market forward. Managed Futures across the board showed strength with the IASG Index +3.63. Trend and Systematic were particularly strong with long Equities, short USD and long grains being gainers for many. Agriculture continues to show strength particularly in grains.

Manager Introduction
Volt Capital is a new manager to the IASG site that is attracting a lot of attention. One of a number of machine learning programs to recently come to market, it differentiates itself by focusing on fundamental data drivers designed for the various markets it tracks. Typically, systematic traders focus on quantitative information for trading decisions. This helps it achieve a unique performance profile that delivered strongly in 2020.

If you would like to learn more about this manager and ways to gain access please reach out to us.

 

Established Track Record > 5 Years

CTA/Program Assets Dec-20 YTD 2020 Style/Sector
Adalpha Asset Management
Diversified Short-Term Program
$29M -0.03 3.61 Short Term
Diversified
Revolution Capital Management
Alpha Program
$389M 0.56 20.48 Short Term
Diversified
Quantica Capital AG
Managed Futures
$890M 5.60 4.21 Systematic –
Long Term Trend
Fort LP
Global Contrarian
$2,865M 1.96 -0.76 Systematic –
Mean Reversion
QTS Capital Management
Tail Reaper
$20M Intraday Indices
S&P 500 Index 3.71 16.26

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Emerging Track Record < 5 Years

CTA/Program Min Acct Dec-20 YTD 2020 Style/Sector
Cayler Capital
Systematic Energy Diversified
$250k -0.28 23.77 Energy
Sigma Advanced Capital
Management

Global Advanced Futures
and Spread Program (QEP)
$400k 1.66 1.82 Commodity
Spread
Deep Field
Vol Arb
$1M -3.03 6.80 Intraday
Indices
Breakout Funds $1M 0.55 20.40 Discretionary –
Global Macro
Ravinia Investment Management
Algorithmic Multi-Strategy
$100k 0.99 33.70 Short Term
Vol/Index
S&P 500 Index 3.71 16.26

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Top Programs Last Month

Managers with assets greater than $10M

CTA/Program Dec CAROR WDD
Martin Fund Management LLC
Options Program
22.25 N/A -2.60
Mulvaney Capital Management
Global Markets Fund
19.63 10.68 -45.20
Quantica Capital AG
2X Quantica Managed Futures Fund
12.40 9.52 -33.73
Wavefront Global Asset Management
IMFC Global Investment Program
12.20 4.99 -44.45
SMN Investment Services GmbH
Diversified Futures Fund (i14)
10.10 6.44 -39.31

> 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
Opus Futures LLC
Advanced Ag Futures Trading Program
57.22 0.41 -50.66
Volt Capital Management AB
Diversified Alpha Program
40.94 0.90 -8.81
Wavefront Global Asset Management
IMFC Global Investment Program
39.73 0.32 -44.45
Davis Commodities, LLC
Trading Program
39.38 0.23 -29.72
DUNN Capital Management
World Volatility Program (WVP)
39.04 0.66 -28.21

> 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
105.83 1.23 -5.79
SinoPac Asset Management
Multi Strategy Quant Fund
87.50 0.73 -14.68
Geosol Capital LLC
Geosol Trading Program
77.38 0.53 -33.85
Claughton Capital
ARP Institutional Program
66.25 0.40 -25.54
Quantica Capital AG
2X Quantica Managed Futures Fund
53.82 0.48 -33.73

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


IASG Indexes

CTA/Program Index Dec 2020 3yr
Trend Following Strategy Index 8.51 17.18 15.89
Diversified Trader Index 5.36 11.94 16.74
Systematic Trader Index 3.97 9.64 15.85
IASG CTA Index 3.63 9.21 15.55
Agricultural Trader Index 3.46 10.76 19.37

> See all indexes

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Return Summary

Active CTAs/Programs
As of January 13, 2021 384
Through December ’20 233 (61%)
Last 60 Days 364 (95%)
December 2020 ROR
Managers with (+) 176
Managers with (-) 56
Average (+) 5.10%
Average (-) -2.14%
Highest 51.50%
Average 3.34%
Lowest -13.95%

> See latest stats

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


* Stats as of 1/12/2021 3PM CST