May 2021 Flash Report

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Equity market volatility surfaced again, led primarily by the tech sector with several themes continuing to work its way through this market. Is the market rally stalling out or getting set to move higher?

Many of the trends observed over the last few months have continued throughout May with exposure to a variety of commodities (long) and currencies (long). The topic of inflation continues to persist as the Fed seems likely to hold rates until unemployment comes down to pre-pandemic levels while inflation will be allowed to exceed a rise above the 2% target. Inflation seems less of a concern to the Fed as some consider it ‘transitory’ in nature…another way of saying price increases are only temporary and not tied to any long term fundamental factors. Non-transitory inflation will requires a sustained imbalance in supply/demand over a multi-year period. Arguing both sides of inflation will remain a theme for the foreseeable future.

The Diversified Index led the way in May +1.21% which is largely made of trend managers. With about 70% of Agriculture managers reporting this was the lowest performing sector at -0.15%. The IASG Index comprising managers with at least 36 months of performance is posting  +1.02%.

Greg TauntA Better SPY?
Index investing is all the rage now with over a trillion dollars invested in the SPY and VOO ETFs alone. The expectation is that low fees coupled with broad market exposure is better for your portfolio than an actively managed strategy with higher fees. One could argue that as the components of the indices attract more of the capital flow that these names really do drive the market and even a “diversified portfolio” often correlates highly to a simple index. I believe strongly that everyone should have some equity exposure but is there a better way to do it?
» Read more

 


Established Track Record > 5 Years

CTA/Program Assets May-21 YTD Style/Sector
Adalpha Asset Management
Diversified Short-Term Program
$41.4M -1.50 8.95 Short Term
Diversified
Revolution Capital Management
Alpha Program
$443M 4.78* Short Term
Diversified
Quantica Capital AG
Managed Futures
$806M 1.00 11.44 Systematic –
Long Term Trend
Fort LP
Global Contrarian
$2,592M 1.85 1.60 Systematic –
Mean Reversion
AG Capital Management Partners, LP
Discretionary Global Macro Program
$90M 14.08 13.09 Discretionary Global Macro
S&P 500 Index 0.55 15.56

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Emerging Track Record < 5 Years

CTA/Program Min Acct May-21 YTD Style/Sector
Cayler Capital
Systematic Energy Diversified
$250k 1.68 1.04 Energy
Sigma Advanced Capital Management
Carbon Neutral Alpha Program
$400k -0.57 0.54 Carbon Neutral Strategy
Covenant Capital Management
Hedged Equity Program
$100k 1.78 16.65 Short Term Vol/Index
Brent Trading Pty Ltd
Agric Seasonal Spread
$100k 1.18 11.95 Discretionary –
Agriculture
Ravinia Investment Management
Algorithmic Multi-Strategy
$100k 3.57 11.16 Short Term
Vol/Index
S&P 500 Index 0.55 15.56

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Top Programs Last Month

Managers with assets greater than $10M

CTA/Program May CAROR WDD
AG Capital Management Partners, LP
Discretionary Global Macro Program
14.08 23.41 -25.27
Insch Kintore Ltd
INSCH KINTORE
9.66 7.59 -35.13
Salus Alpha Capital Ltd
Alpha Commodity Arbitrage (CAX)
9.60 6.13 -9.83
QDRA Pty Ltd
Dynamic Macro
7.86 5.06 -36.89
Sandpiper Asset Management
Global Macro Program
6.89 4.28 -39.89

> 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
Martin Fund Management LLC
Martin Options Program
92.65 2.35 -5.25
Opus Futures LLC
Advanced Ag Futures Trading Program
69.81 0.45 -50.66
Tactical Investment Management
Program
52.06 0.71 -41.53
Eclipse Capital Management
Global Monetary
49.20 0.48 -34.71
R. G. Niederhoffer Capital Management, Inc.
Diversified Program
46.59 0.35 -54.49

> 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
RCMA Capital LLP
Merchant Commodity Fund
100.17 0.72 -36.75
Tactical Investment Management
Program
82.32 0.71 -41.53
AG Capital Management Partners, LP
Discretionary Global Macro Program
71.69 0.85 -25.27
Quality Capital Management Ltd.
Global Diversified Programme
69.91 0.47 -53.56
Salus Alpha Capital Ltd
Directional Markets (DMX)
77.69 1.00 -19.86

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


IASG Indexes

CTA/Program Index May YTD 1yr
Trend Following Strategy Index 0.99 11.52 22.28
Discretionary Trader Index 0.63 4.90 12.42
Diversified Trader Index 1.21 8.36 15.07
Agricultural Trader Index -0.15 5.27 14.26
IASG CTA Index 1.02 6.28 11.75

> See all indexes

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Return Summary

Active CTAs/Programs
As of June 11, 2021 369
Through May ’21 229 (62%)
Last 60 Days 339 (92%)
May 2021 ROR
Managers with (+) 153
Managers with (-) 76
Average (+) 2.59%
Average (-) -1.55%
Highest 58.87%
Average 1.22%
Lowest -8.97%

> See latest stats


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

 

 

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