August 2021 Flash Report

| | Markets

Equity markets continue to trend higher with yet another consecutive month of positive returns. Inflation fears seem to have subsided and the Fed is looking at tapering bond purchases which the market has already expressed.  

We seem to be at a crossroads as the global economy determines which direction we go. What will impact and stimulate growth?  Will G7 countries work together and how will the COVID variant(s) play out for the rest of the year.  It seems there is more uncertainty across a broad range of topics. It should make for an exciting remainder of 2021.

The IASG Agriculture Index top the month of August posting a 1.00% return. Managers diversified across grains, meats and softs led the way. The Trend Following index was subdued posting a +0.17% as trend in indexes contributed on the positive side while long energy and rates positions failed to contribute.  

This month marks the 20th anniversary of the September 11th attacks. It is hard to think 20 years have passed as we look back and reflect on how much has changed in this world since. May we all never forget.
 
Greg TauntOptions Made Simple
For any profession, once you have done it for a while, some concepts become second nature to the point that you forget that not everyone (or very few) understands them at even a basic level. I find that options are the concept that confuses people the most and one that is perhaps most valuable to understand. The futures industry uses these instruments in a variety of ways that you can apply to your own portfolio as well.
» Read more

 

Established Track Record > 5 Years
 

CTA/Program Assets Aug-21 YTD Style/Sector
Adalpha Asset Management
Diversified Short-Term Program
$56.7M -0.56 6.20 Short Term
Diversified
Genio Capital Ltd.
PRIMO (2L) Systematic Macro Program
$91M 0.82 3.34 Short Term
Diversified
Quantica Capital AG
Managed Futures
$812M 0.70 8.46 Systematic –
Long Term Trend
Fort LP
Global Contrarian
$2,543M -0.79 2.38 Systematic –
Mean Reversion
AG Capital Management Partners, LP
Discretionary Global Macro Program
$84M 1.35 -2.28 Discretionary Global Macro
S&P 500 Index   3.04 24.49  

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Emerging Track Record < 5 Years

CTA/Program Min Acct Aug-21 YTD Style/Sector
Cayler Capital
Systematic Energy Diversified
$250k 14.84* Energy
Sigma Advanced Capital Management
Carbon Neutral Alpha Program
$400k 5.43 6.53 Carbon Neutral Strategy
Covenant Capital Management
Hedged Equity Program
$100k 24.69* Short Term Vol/Index
Cazadores Investments Limited
Commodity Alpha
$1M 1.54 7.86 Systematic Commodity
Ravinia Investment Management
Algorithmic Multi-Strategy
$100k 1.05 16.15 Short Term
Vol/Index
S&P 500 Index   3.04 24.49  

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Top Programs Last Month

Managers with assets greater than $10M

CTA/Program August CAROR WDD
Opus Futures LLC
Advanced Ag Futures Trading Program
5.24 10.50 -50.66
Martin Fund Management LLC
Options Program
2.83 NA -5.25
Turk Capital LLC
US Equity Long/Short Strategy
2.52 6.12 -20.47
Mulvaney Capital Management
Global Markets Fund
2.47 11.93 -45.20
Davis Commodities, LLC
Davis Trading Program
2.36 3.09 -29.72
Tactical Investment Management
Tactical Institutional Commodity Program
2.35 16.14 -41.53

> 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
115.29 2.35 -5.25
Opus Futures LLC
Advanced Ag Futures Trading Program
52.59 0.45 -50.66
Mulvaney Capital Management
Global Markets Fund
49.56 0.47 -45.20
Auspice
Broad Commodity Excess Return Index
35.71 0.06 -42.88
Tactical Investment Management
Tactical Institutional Commodity Program
34.19 0.71 -41.53

> 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
Tactical Investment Management
Tactical Institutional Commodity Program
87.39 0.71 -41.53
Superfund Group
Green SILVER SICAV
83.87 0.52 -42.33
Superfund Group
Superfund Green GOLD SICAV
72.11 0.76 -35.95
AG Capital Management Partners, LP
Discretionary Global Macro Program
67.86 0.74 -25.27
Vivienne Investissement
MACH 3
65.51 0.71 -29.61

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


IASG Indexes

CTA/Program Index August YTD 1yr
Trend Following Strategy Index 0.17 10.91 16.35
Diversified Trader Index 0.18 8.39 11.64
Systematic Trader Index 0.37 6.81 9.08
IASG CTA Index 0.40 7.07 10.16
Discretionary Trader Index 0.48 6.00 10.36

> See all indexes

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Return Summary

Active CTAs/Programs  
As of September 10, 2021 369
Through August '21 212 (57%)
Last 60 Days 346 (94%)
August 2021 ROR  
Managers with (+) 131
Managers with (-) 80
Average (+) 1.71%
Average (-) -1.54%
Highest 12.20%
Average 0.48%
Lowest -7.96%

> See latest stats


* Stats as of 9/10/2021 2PM CST