April 2021 Flash Report

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The US continues to push toward the other side of the pandemic with over half of eligible Americans already vaccinated (or at least with one shot). The rest of the world seems to be lagging (in some cases) seriously behind as lockdowns still exist and COVID cases in India are increasing dramatically.

Overall the US is carrying equity indexes to new highs in April. Employment has continued to improve and commodities prices have in some cases hit levels not seen in decades. Will the Fed take a different approach to softening its stance on rates? It appears that in the months ahead we will again have all eyes on the FED. With Inflation fears perhaps we get rate hikes sometime before 2022 earlier than analysts have thought.

One thing that has remained at high levels as well is volatility particularly in consumable commodities. Commodity Traders across all strategies have overwhelmingly been positive through April +3.81. Trend Following has benefited from a variety of persistent trends in Agriculture, Energy and Fixed Income. Systematic +2.21 and Discretionary specialists +3.54 have benefited from both technical and fundamental market attributes.

April Market Letter

Commentary provided by Chad Burlet of Third Street AG Investments

April had the largest one month rally of corn futures ever. Considering the 162 year history of corn futures, that is no small milestone. May Corn futures rallied $1.75¾ (31.1%) this month. In the process the front month soybean/corn ratio moved from 2.55 to 2.12 and May Corn futures moved to 42 cents over May Kansas City Wheat futures. Corn was driven by the dual engines of Chinese imports and a Brazilian drought.
» Read more…

Greg TauntInflation Coming?
Want to play a “fun” game? Simply go to Google and type “currency crisis (insert any country name)” and see your results. Luckily for Americans, you will find that the United States is one of the few countries that seems to have avoided this designation so far. As one of my Polish friends who immigrated asked me though, “Why do people think it can’t happen here?”  After all, as he was growing up, cigarettes went from $0.50 a pack on Monday to a dollar by Wednesday and two dollars by the weekend. “Of course it can happen here. It happens everywhere.” he replied.
» Read more

 


Established Track Record > 5 Years
 

CTA/Program Assets Apr-21 YTD Style/Sector
Adalpha Asset Management
Diversified Short-Term Program
$43.2M 0.75 10.61 Short Term
Diversified
Revolution Capital Management
Alpha Program
$443M 0.83 4.78 Short Term
Diversified
Quantica Capital AG
Managed Futures
$783M 2.30 10.33 Systematic –
Long Term Trend
Fort LP
Global Contrarian
$2,517M 1.73 -0.25 Systematic –
Mean Reversion
AG Capital Management Partners, LP
Discretionary Global Macro Program
$70M 3.27 -0.86 Discretionary Global Macro
S&P 500 Index   5.24 14.93  

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Emerging Track Record < 5 Years

CTA/Program Min Acct Apr-21 YTD Style/Sector
Cayler Capital
Systematic Energy Diversified
$250k -7.37 -0.42 Energy
Sigma Advanced Capital Management
Carbon Neutral Alpha Program
$400k -1.37 1.12 Carbon Neutral Strategy
Covenant Capital Management
Hedged Equity Program
$100k 7.32 14.61 Short Term Vol/Index
Breakout Funds $1M -0.04 -7.23 Discretionary –
Global Macro
Ravinia Investment Management
Algorithmic Multi-Strategy
$100k 3.57 11.16 Short Term
Vol/Index
S&P 500 Index   5.24 14.93  

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Top Programs Last Month

Managers with assets greater than $10M

CTA/Program April CAROR WDD
AIS Capital Management, L.P.
MAAP (2x-4x) Composite
21.93 7.38 -78.95
Martin Fund Management LLC
Martin Options Program
16.25 N/A -5.25
Salus Alpha Capital Ltd
Directional Markets (DMX)
9.44 14.39 -19.86
NuWave Investment Management, LLC 9.29 N/A -2.08
SMN Investment Services GmbH
Diversified Futures Fund (i14)
8.64 6.90 -39.91

> 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
189.40 0.36 -78.95
Martin Fund Management LLC
Martin Options Program
96.55 2.38 -5.25
Opus Futures LLC
Advanced Ag Futures Trading Program
66.04 0.45 -5.07
Tactical Investment Management
Program
44.93 0.71 -41.53
Eclipse Capital Management
Global Monetary
41.39 0.47 -34.71

> 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
122.81 0.36 -78.95
Tactical Investment Management
Program
81.92 0.71 -41.53
Leibniz Group
SWARM
78.03 1.13 -5.79
Salus Alpha Capital Ltd
Directional Markets (DMX)
77.69 1.00 -19.86
Claughton Capital
ARP Institutional Program
74.53 0.43 -25.54

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


IASG Indexes

CTA/Program Index April YTD 1yr
Trend Following Strategy Index 3.56 10.47 21.17
Discretionary Trader Index 3.54 5.66 13.91
Diversified Trader Index 3.37 7.68 14.58
Agricultural Trader Index 2.67 5.80 16.01
IASG CTA Index 2.65 5.84 11.46

> See all indexes

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Return Summary

Active CTAs/Programs  
As of May 13, 2021 365
Through April '21 223 (61%)
Last 60 Days 340 (93%)
April 2021 ROR  
Managers with (+) 173
Managers with (-) 50
Average (+) 4.29%
Average (-) -2.09%
Highest 56.06%
Average 2.86%
Lowest -9.00%

> See latest stats


* Stats as of 5/13/2021 3PM CST