July 2021 Flash Report

| | Flash Report

Covid is back in the spotlight driving markets with the new variant spreading rapidly throughout the world. Those not vaccinated are falling victim to this fast spreading thread of the disease. Markets were mostly unaffected as people wait to see the impact on global markets. Responses have been quite varied by country and it appears, at least in the United States, that most businesses and schools will look to resume at full capacity in the coming weeks.

U.S. Indexes remained strong in July posting yet another positive monthly return. Standouts in commodities were primarily in Coffee and Sugar as severe drought in combination with an early frost hurt Brazilian crops. Damage assessment is still underway. Other drivers included Copper, Fixed Income and on the short side Crude Oil with COVID and OPEC implications.

The IASG CTA Index is +0.84% for a mostly subdued month. The Trend Following Index leads with a +1.24% while the Agricultural Trader Index posted a -0.21%.

Greg TauntWho is Driving the Bus?
Nobody likes paying for insurance. It is intangible as you pay up front for an unknown risk that may or may not materialize. Many of us feel that we overpay, until we really need it. It is perhaps not surprising then that many investors spend little effort protecting against sudden and unexpected drops in the market. After all, it is much like insurance. Intuitively you may know you need it but premiums can be tough to pay no matter what. But if we insure our vehicles, which represent a small part of our wealth, why wouldn’t we spend even more to protect our portfolios?
» Read more

 

Established Track Record > 5 Years

CTA/Program Assets Jul-21 YTD Style/Sector
Adalpha Asset Management
Diversified Short-Term Program
$52.4M -1.18 6.80 Short Term
Diversified
Genio Capital Ltd.
PRIMO (2L) Systematic Macro Program
$90M 2.48 2.50 Short Term
Diversified
Quantica Capital AG
Managed Futures
$754M 0.05 7.70 Systematic –
Long Term Trend
Fort LP
Global Contrarian
$2,585M 1.94 3.19 Systematic –
Mean Reversion
AG Capital Management Partners, LP
Discretionary Global Macro Program
$81M -1.95 -3.58 Discretionary Global Macro
S&P 500 Index 2.27 20.81

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Emerging Track Record < 5 Years

CTA/Program Min Acct Jul-21 YTD Style/Sector
Cayler Capital
Systematic Energy Diversified
$250k 2.57 8.26 Energy
Sigma Advanced Capital Management
Carbon Neutral Alpha Program
$400k -0.16 1.05 Carbon Neutral Strategy
Covenant Capital Management
Hedged Equity Program
$100k 3.06 20.22 Short Term Vol/Index
Cazadores Investments Limited
Commodity Alpha
$1M 1.33 6.23 Systematic Commodity
Ravinia Investment Management
Algorithmic Multi-Strategy
$100k 4.01 15.10 Short Term
Vol/Index
S&P 500 Index 2.27 20.81

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Top Programs Last Month

Managers with assets greater than $10M

CTA/Program July CAROR WDD
Martin Fund Management LLC
Options Program
18.53 NA -5.25
SMN Investment Services GmbH
Structural Alpha Trend
7.91 7.33 -39.31
Deep Field Capital AG
Active Intraday Momentum (AIM) Program
6.07 NA -2.43
John Locke Investments
Cyril Systematic Program
5.95 6.49 -20.85
Deep Field Capital AG
Intraday Crisis Alpha Program (ICA)
5.49 7.18 -17.55

> 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
Options Program
103.92 2.36 -5.25
AIS Capital Management, L.P.
MAAP (2x-4x) Composite
97.55 0.36 -78.95
Opus Futures LLC
Advanced Ag Futures Trading Program
49.06 0.43 -50.66
Mulvaney Capital Management
Global Markets Fund
42.27 0.47 -45.20
SMN Investment Services GmbH
Structural Alpha Trend
40.33 0.42 -39.31

> 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
147.22 0.36 -78.95
Superfund Group
Green SILVER SICAV
83.06 0.58 -42.33
Salus Alpha Capital Ltd
Directional Markets (DMX)
64.11 0.97 -19.86
Quality Capital Management Ltd.
Systematic Macro Programme (“SMP”)
63.44 0.45 -53.56
Metolius Capital LLC
Enhanced Fund
62.40 0.34 -26.05

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


IASG Indexes

CTA/Program Index July YTD 1yr
Trend Following Strategy Index 1.24 11.36 17.83
Diversified Trader Index 1.02 8.49 12.28
Systematic Trader Index 1.05 6.70 9.17
IASG CTA Index 0.84 6.75 10.12
Discretionary Trader Index 0.08 4.93 9.99

> See all indexes

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Return Summary

Active CTAs/Programs
As of August 11, 2021 357
Through July ’21 234 (66%)
Last 60 Days 343 (96%)
July 2021 ROR
Managers with (+) 139
Managers with (-) 95
Average (+) 2.41%
Average (-) -1.65%
Highest 21.47%
Average 0.76%
Lowest -6.98%

> See latest stats


* Stats as of 8/11/2021 4PM CST