March 2021 Flash Report

| | Flash Report, Futures

March was another positive move for equity markets with indexes showing solid returns. CTAs held their own with overall a positive month across many of the strategies we track.  Some of the trends outside of equities saw choppiness in grain and agriculture markets and trends emerged in short bonds. The USD showed strength from its end of February low versus other major currencies. Equity markets remain at all time high levels as volatility in the indexes has dropped significantly below 20 for the first time in over a year. Most indexes were positive with the Stock Index Trader Index leading for the month at 0.92%. On the other side the Discretionary Manager Index is down -0.49% for March.

As for YTD Trend Following has been the strongest performing sector overall. We are still waiting on what the future story lines will be that shape these markets moving forward. The US administration will be soon releasing a plan for massive infrastructure spending. How will this affect commodity futures markets with the need for resources? How will the US plan to pay for the associated cost? Time will tell.

Manager Spotlights

Adalpha Asset Management is off to a strong start in 2021 adding to their already impressive 17 year track record. Their program is short term and systematic and takes advantage of the momentum and mean reverting aspects of the market. This keeps margin levels lower than many trend programs which makes it more accessible than most CTAs while providing a different correlation than most traders.

Covenant Capital’s Hedged Equity Program is also benefitting from the market action this year as it keeps a dedicated long S&P 500 futures position while using system-driven decision making to hedge when indicated. This will normally trade in line with the market but attempts to protect from wealth destroying corrections. Their customers are often using this to replace existing exposure in their passive index investing.

Futures Contracts are Easy. You are Already Using Them.

Greg TauntI have spent over a decade in the futures industry so I am accustomed to the blank stare when I tell people what I do.  Most immediately assume it is too complicated to even try to understand.  The ironic thing is that we all intuitively understand them already.  We trade them all the time.
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Established Track Record > 5 Years

CTA/Program Assets Mar-21 YTD Style/Sector
Adalpha Asset Management
Diversified Short-Term Program
$43.2M 2.92 9.78 Short Term
Diversified
Revolution Capital Management
Alpha Program
$421M 2.22 3.92 Short Term
Diversified
Quantica Capital AG
Managed Futures
$749M -0.98 7.85 Systematic –
Long Term Trend
Fort LP
Global Contrarian
$2,517M 2.12 -1.96 Systematic –
Mean Reversion
AG Capital Management Partners, LP
Discretionary Global Macro Program
$70M -7.41 -4.00 Discretionary Global Macro
S&P 500 Index 4.24 9.21

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Emerging Track Record < 5 Years

CTA/Program Min Acct Mar-21 YTD Style/Sector
Cayler Capital
Systematic Energy Diversified
$250k -2.63 7.50 Energy
Sigma Advanced Capital
Management

Global Advanced Futures
and Spread Program (QEP)
$400k 1.68 0.32 Commodity
Spread
Covenant Capital Management
Hedged Equity Program
$100k 3.59 6.87 Short Term Vol/Index
Breakout Funds $1M 2.61 -7.20 Discretionary –
Global Macro
Ravinia Investment Management
Algorithmic Multi-Strategy
$100k 4.07 7.59 Short Term
Vol/Index
S&P 500 Index 4.24 9.21

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Top Programs Last Month

Managers with assets greater than $10M

CTA/Program March CAROR WDD
R. G. Niederhoffer Capital Management, Inc.
Diversified Program
7.40 5.92 -54.49
Blue Diamond Asset Management
Non-Directional Strategy
5.29 15.35 -9.72
ecamos Capital AG
Edelweiss Volatility Strategy – C USD
4.02 9.29 -24.10
Aspect Capital
Diversified Fund – Class A (USD)
3.51 6.72 -23.22
NuWave Investment Management, LLC 3.46 5.81 -44.48

> 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
AIS Capital Management, L.P.
MAAP (2x-4x) Composite
134.90 0.34 -78.95
Opus Futures LLC
Advanced Ag Futures Trading Program
62.04 0.42 -50.66
Asset Management by Windsor Securities
Non-Correlated All-Class Growth Strategy (MAC)
38.92 1.32 -12.42
Metolius Capital LLC
Enhanced Fund
31.58 0.32 -26.05
Auspice Capital Advisors Ltd
Broad Commodity Excess Return Index
29.99 -0.06 -42.88

> 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
AIS Capital Management, L.P.
MAAP (2x-4x) Composite
86.41 0.34 -78.95
Claughton Capital
ARP Institutional Program
64.25 0.43 -25.54
Salus Alpha Capital Ltd
Directional Markets (DMX)
60.43 0.97 -19.86
Quality Capital Management Ltd.
Global Diversified Programme
48.08 0.46 -53.56
Salus Alpha Capital Ltd
Salus Alpha Global Alpha (GAX)
47.32 1.45 -13.49

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


IASG Indexes

CTA/Program Index March YTD 1yr
Stock Index Trader Index 0.92 0.66 5.27
Option Strategy 0.83 2.11 7.69
Systematic Trader Index 0.72 3.47 8.53
Trend Following Strategy Index 0.65 7.45 17.90
IASG CTA Index 0.40 3.24 9.32

> See all indexes

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Return Summary

Active CTAs/Programs
As of April 14, 2021 376
Through Mar ’21 230 (61%)
Last 60 Days 329 (88%)
March 2021 ROR
Managers with (+) 129
Managers with (-) 100
Average (+) 2.52%
Average (-) -2.30%
Highest 24.99%
Average 0.41%
Lowest -37.95%

> See latest stats


* Stats as of 4/14/2021 4PM CST