June 2021 Flash Report

| | Flash Report

Inflation remained the hot topic in June as overall CTA performance cooled for the month. Other market themes were driven by the FED and its decision to taper. Equity markets were for the most part calm in June with the VIX closing lower for the fourth straight month (see chart below).
 

The broader CTA space saw most longer term trends break in June predominantly in government bond futures and USD. The IASG Trend Index was -1.79% while the Agriculture Index +0.61% and Equity Index +0.86% led the way for June. 
 
Greg TauntCall me a Pessimist
All investors know the adage to “buy high and sell low” but few adhere to it. We can see this with record volume to start July trading coming mostly from retail investors as the S&P reaches another all time high. Perhaps I have been in the futures industry too long because when things are “too good” I get concerned. Oftentimes I am right though, even for accidental reasons.
» Read more

 

Established Track Record > 5 Years
 

CTA/Program Assets Jun-21 YTD Style/Sector
Adalpha Asset Management
Diversified Short-Term Program
$47.7M -0.80 8.08 Short Term
Diversified
Revolution Capital Management
Alpha Program
$443M -0.48* Short Term
Diversified
Quantica Capital AG
Managed Futures
$787M -3.40 7.65 Systematic –
Long Term Trend
Fort LP
Global Contrarian
$2,586M -0.37 1.23 Systematic –
Mean Reversion
AG Capital Management Partners, LP
Discretionary Global Macro Program
$82M -13.05 -1.67 Discretionary Global Macro
S&P 500 Index   2.22 18.18  

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Emerging Track Record < 5 Years

CTA/Program Min Acct Jun-21 YTD Style/Sector
Cayler Capital
Systematic Energy Diversified
$250k 3.75 4.83 Energy
Sigma Advanced Capital Management
Carbon Neutral Alpha Program
$400k 0.66 1.21 Carbon Neutral Strategy
Covenant Capital Management
Hedged Equity Program
$100k 3.06 16.65 Short Term Vol/Index
Cazadores Investments Limited
Commodity Alpha
$1M 1.45 4.83 Systematic Commodity
Ravinia Investment Management
Algorithmic Multi-Strategy
$100k -0.19 11.09 Short Term
Vol/Index
S&P 500 Index   2.22 18.18  

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Top Programs Last Month

Managers with assets greater than $10M

CTA/Program June CAROR WDD
SMN Investment Services GmbH
Structural Alpha Trend
13.73 5.18 -15.94
RCMA Capital LLP
Merchant Commodity Fund
9.90 15.63 -36.75
Insch Kintore Ltd
INSCH KINTORE
8.45 8.86 -35.13
Emil van Essen
Spread Trading Program Limited
5.85 -1.36 -36.66
DCM Systematic
Diversified Alpha
5.22 7.78 -9.12

> 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
69.53 0.46 -50.66
RCMA Capital LLP
Merchant Commodity Fund
58.14 0.74 -36.75
SMN Investment Services GmbH
Structural Alpha Trend
48.34 5.18 -15.94
Tactical Investment Management
Program
45.60 0.70 -41.53
Auspice
Broad Commodity Excess Return Index
43.01 0.04 -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
RCMA Capital LLP
Merchant Commodity Fund
116.95 0.74 -36.75
Tactical Investment Management
Program
78.22 0.66 -38.84
Quality Capital Management Ltd.
Global Diversified Programme
68.17 0.46 -53.56
Gamma Q
Breckhurst Commodity Fund
64.08 0.86 -25.92
Salus Alpha Capital Ltd
Directional Markets (DMX)
63.39 0.97 -19.86

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


IASG Indexes

CTA/Program Index June YTD 1yr
Trend Following Strategy Index -1.79 10.02 23.27
Diversified Trader Index -0.92 7.28 15.10
Systematic Trader Index -0.32 5.50 10.86
IASG CTA Index -0.23 5.73 11.65
Discretionary Trader Index -0.09 4.59 11.22

> See all indexes

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Return Summary

Active CTAs/Programs  
As of July 22, 2021 360
Through June '21 262 (73%)
Last 60 Days 348 (97%)
May 2021 ROR  
Managers with (+) 125
Managers with (-) 133
Average (+) 1.97%
Average (-) -2.18%
Highest 13.73%
Average -0.17%
Lowest -13.05%

> See latest stats


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