February Flash Report

| | Flash Report

Seems equities in February snapped back putting most indexes into positive territory on the year. Where are we at in this bull market? Are equities running out of steam? Will we topple then race back up to new highs again? What else can the FED do to support the economy?

With all these questions looming, the most noticeable trend in futures is volatility as it has returned across a whole host of assets in financial and commodity futures. There is growing anticipation of inflation combined with the fuel of a commodity super cycle. It appears opportunities are abundant across all sectors. The Option Strategy Index lagged where the risk of a sharp pull back led to a more cautious approach following the trend from January. Trends were strong in February as indicated by the IASG Trend Index leading to one of the better months in memory for managed futures (past performance not indicative of future results). Looking ahead with volatility abound, more money being issued by the FED and COVID subsiding globally….the path forward will be interesting for 2021. We expect to see volatility in the months and possibly years ahead and hope our sector Managed Futures is there to reap the reward.

Understanding Investment Minimums
How do managers select the nominal size for an investment in their strategy?  As an investor it is important to understand what goes into a managers minimum investment.  Managers and investors often face the dilemma of how to size up a program’s investment size.  Greg Taunt from IASG delves into this topic to help manager and investors alike make sound decisions.

Choosing a CTA
If you’ve decided to include Managed Futures in your investment portfolio, the next step is choosing the right mix of Commodity Trading Advisors to help achieve your investment objectives. Just as managed futures help diversify an investment portfolio, different CTA programs can provide another layer of diversity within the managed futures asset class.
Important things to consider when choosing CTAs


Established Track Record > 5 Years

CTA/Program Assets Feb-21 YTD 2021 Style/Sector
Adalpha Asset Management
Diversified Short-Term Program
$40.6M 4.19 6.67 Short Term
Diversified
Revolution Capital Management
Alpha Program
$412M 3.67 1.66 Short Term
Diversified
Quantica Capital AG
Managed Futures
$764M 7.10 8.92 Systematic –
Long Term Trend
Fort LP
Global Contrarian
$2,605M -2.45 -3.99 Systematic –
Mean Reversion
AG Capital Management Partners, LP
Discretionary Global Macro Program
$77M 2.49 3.68 Discretionary Global Macro
S&P 500 Index 5.94 4.76

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Emerging Track Record < 5 Years

CTA/Program Min Acct Feb-21 YTD 2021 Style/Sector
Cayler Capital
Systematic Energy Diversified
$250k 7.03 10.40 Energy
Sigma Advanced Capital
Management

Global Advanced Futures
and Spread Program (QEP)
$400k -3.02 -1.34 Commodity
Spread
Covenant Capital Management
Hedged Equity Program
$100k 4.19 3.16 Short Term Vol/Index
Breakout Funds $1M -1.17 -4.71 Discretionary –
Global Macro
Ravinia Investment Management
Algorithmic Multi-Strategy
$100k 3.30 3.52 Short Term
Vol/Index
S&P 500 Index 5.94 4.76

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Top Programs Last Month

Managers with assets greater than $10M

CTA/Program Feb CAROR WDD
Eamon Capital
Zephyr Program
17.90 11.38 -24.07
Mulvaney Capital Management
Global Markets Fund
13.98 11.37 -45.20
Eclipse Capital Management
Global Monetary
13.37 7.89 -34.71
Quest Partners LLC
AlphaQuest Original program (AQO)
13.13 10.15 -29.39
EMC Capital Advisors, LLC
Classic
11.65 17.26 -45.35

> 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
59.21 0.42 -50.66
Mulvaney Capital Management
Global Markets Fund
56.84 0.46 -45.20
Tactical Investment Management
Tactical Institutional Commodity Program
55.91 0.71 -41.53
Eclipse Capital Management
Global Monetary
49.89 0.46 -34.71
DUNN Capital Management
World Volatility Program (WVP)
41.45 0.62 -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
Tactical Investment Management
Tactical Institutional Commodity Program
71.01 0.71 -41.53
Salus Alpha Capital Ltd
Directional Markets (DMX)
52.93 0.97 -19.86
Claughton Capital
ARP Institutional Program
52.88 0.42 -25.54
RCMA Capital LLP
Merchant Commodity Fund
51.87 0.66 -36.75
AG Capital Management Partners, LP
Discretionary Global Macro Program
49.75 0.83 -25.27

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


IASG Indexes

CTA/Program Index Feb 1yr 3yr
Trend Following Strategy Index 7.02 22.49 27.08
Diversified Trader Index 4.98 14.61 22.69
Systematic Trader Index 4.19 12.16 19.14
IASG CTA Index 3.60 11.85 18.72
Agricultural Trader Index 1.76 13.29 18.97

> See all indexes

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Return Summary

Active CTAs/Programs
As of March 12, 2021 389
Through Feb ’21 233 (60%)
Last 60 Days 337 (87%)
February 2021 ROR
Managers with (+) 180
Managers with (-) 52
Average (+) 5.17%
Average (-) -1.89%
Highest 33.44%
Average 3.57%
Lowest -5.78

> See latest stats


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