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 |
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| 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 |
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| 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 MonthManagers with assets greater than $10M |
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| 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 |
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 |
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 |
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 |
| 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 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
IASG Indexes |
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| 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 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Return Summary |
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| 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 |
* Stats as of 3/12/2021 3PM CST