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.

Sigma AdvancedManager 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.

How are your blends doing?
We’ve recently added a stat for YTD on your Saved Blends page. Check in and see how they’re doing and how they compare. Need help setting up a blend? Contact us today to set up a demo.

 

 

Established Track Record > 5 Years

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

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 Month

Managers with assets greater than $10M

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

> 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
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

> 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
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

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


IASG Indexes

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

> See all indexes

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Return Summary

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%

> See latest stats


* Stats as of 2/12/2021 3PM CST