January Flash Report
| | Flash Report
January saw a rather difficult transfer of power with the incredibly sad rioting of the U.S. Capital. No matter what side of the aisle on which you lean this act was about as un patriotic as it gets.
With Biden now confirmed and control fully in the hands of democrats we can now focus our attention on policy from the new administration. Reversals of Trump policy have already begun with the United States re-joining the Paris Climate Agreement.
Much more should be expected as the US and the World appears to be looking toward the pre-COVID way of life. Much of the world remains in lockdown but the downturn in cases globally can be attributed to our most vulnerable populations getting the vaccines. The next few months will be critical in sustaining this as a long term trend.
Markets in managed futures were mostly subdued. The overall IASG index was down slightly -0.69% while agriculture again takes center stage posting a 2.02% gain. Index traders were down -1.50%. The outlook for 2021 will depend on quite a few factors but many believe we might be coming into a commodity bull market. This will hopefully bode well for CTAs with focus in commodity sectors. Factors such as grain demand and supply, infrastructure spending and economies coming back on track should all contribute to growth…but obviously that is not a guarantee.
Manager Spotlight
This month we’re spotlighting one such manager that believes the commodity bull market is coming. Sigma Advanced Capital offers their opinion on how best to capitalize on these conditions in their post, Commodities: A Range of Opportunities for 2021.
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Established Track Record > 5 Years |
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| CTA/Program | Assets | Jan-21 | CAROR | Style/Sector |
| Adalpha Asset Management Diversified Short-Term Program |
$38.7M | 2.38 | 8.71 | Short Term Diversified |
| Revolution Capital Management Alpha Program |
$380M | -1.94 | 7.00 | Short Term Diversified |
| Quantica Capital AG Managed Futures |
$750M | 1.70 | 7.75 | Systematic – Long Term Trend |
| Fort LP Global Contrarian |
$2,732M | -1.58 | 10.12 | Systematic – Mean Reversion |
| Quality Capital Management Ltd. Global Diversified Programme |
$20M | -1.86 | 8.04 | Intraday Indices |
| S&P 500 Index | -1.11 | 7.92 | ||
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Emerging Track Record < 5 Years |
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| CTA/Program | Min Acct | Jan-21 | CAROR | Style/Sector |
| Cayler Capital Systematic Energy Diversified |
$250k | 3.15 | 15.99 | Energy |
| Sigma Advanced Capital Management Global Advanced Futures and Spread Program (QEP) |
$400k | 1.73 | 10.88 | Commodity Spread |
| Covenant Capital Management Hedged Equity Program |
$1M | -1.27 | N/A | Short Term Vol/Index |
| Breakout Funds | $1M | -3.58 | 10.65 | Discretionary – Global Macro |
| Ravinia Investment Management Algorithmic Multi-Strategy |
$100k | 0.22 | N/A | Short Term Vol/Index |
| S&P 500 Index | -1.11 | 7.92 | ||
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Top Programs Last MonthManagers with assets greater than $10M |
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| CTA/Program | Jan | CAROR | WDD |
| Martin Fund Management LLC Options Program |
15.38 | N/A | -2.60 |
| Leibniz Group SWARM |
3.71 | 16.94 | -5.79 |
| SinoPac Asset Management Multi Strategy Quant Fund |
3.61 | 9.98 | -14.68 |
| R Best LLC Private Client Institutional |
3.05 | 3.44 | -4.64 |
| Drury Capital Diversified Trend-Following Program |
2.83 | 9.17 | -32.52 |
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 |
| Opus Futures LLC Advanced Ag Futures Trading Program |
56.93 | 0.41 | -50.66 |
| Tactical Investment Management Tactical Institutional Commodity Program |
53.20 | 0.71 | -41.53 |
| DUNN Capital Management World Volatility Program (WVP) |
41.45 | 0.62 | -28.21 |
| AG Capital Management Partners, LP Discretionary Global Macro Program |
38.92 | 0.82 | -25.27 |
| Statar Capital LLC Natural Gas Strategy |
38.50 | 1.90 | -11.15 |
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 |
| SinoPac Asset Management Multi Strategy Quant Fund |
88.66 | 0.75 | -14.68 |
| Leibniz Group SWARM |
71.93 | 1.16 | -5.79 |
| Tactical Investment Management Tactical Institutional Commodity Program |
55.93 | 0.71 | -41.53 |
| AG Capital Management Partners, LP Discretionary Global Macro Program |
51.47 | 0.82 | -25.27 |
| GammaQ Breckhurst Commodity Fund |
50.34 | 0.84 | -25.92 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
IASG Indexes |
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| CTA/Program Index | Jan | 1yr | 3yr |
| Agricultural Trader Index | 2.02 | 12.37 | 18.93 |
| Option Strategy | 0.56 | -2.82 | 1.44 |
| Trend Following Strategy Index | 0.36 | 15.51 | 10.62 |
| Discretionary Trader Index | 0.26 | 9.57 | 16.20 |
| Diversified Trader Index | -0.67 | 9.91 | 10.59 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Return Summary |
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| Active CTAs/Programs | |
| As of February 12, 2021 | 390 |
| Through Jan ’21 | 248 (64%) |
| Last 60 Days | 378 (97%) |
| January 2021 ROR | |
| Managers with (+) | 105 |
| Managers with (-) | 142 |
| Average (+) | 2.19% |
| Average (-) | -2.97% |
| Highest | 15.38% |
| Average | -0.78 |
| Lowest | -14.52% |
* Stats as of 2/12/2021 3PM CST