Category: Flash Report

  • December Flash Report

    | | Flash Report

    What’s Up The Stock Index Trader Index topped the indexes again last month, up 1.02% and 6.02% for the year. The Systematic Volatility Arbitrage Program (VolArb) by Deep Field Capital led the index. What’s Down AIS Capital‘s MAAP (3x-6x) Composite program’s -9.67% (-12% YTD) drop helped push the Discretionary Trader Index into the red last month at -1.23% and 1.21% for the year. CTA Spotlight: Spring Valley Asset Management Spring Valley Asset Management (part of our Diversified Trader Index) contributed a guest post last month detailing the drivers behind trend following and how each variable impacts CTA performance. Read blog post… … Read more December Flash Report
  • November Flash Report

    | | Flash Report

    What’s Up The stock index trader index lead the pack last month, up 1.19% and 5.05% for YTD led by Kinkopf Capital Management’s S&P Select program. What’s Down The trend was not your friend for the second month in a row, as the trend following strategy index dropped 2.32% anchored by Mulvaney Capital Management’s Global Markets Fund’s 12% slip. CTA Spotlight: Tianyou Asset Management. In February 2018, markets looked pretty dire for many option writers. The VIX had spiked 250% in less than a week and options sold a few days before were selling for many multiples of their original value. The … Read more November Flash Report
  • Managed Futures Prospers from BREXIT Blues

    | | Flash Report

    The IASG Trend-Following Strategy Index posted an estimated net return of +4.59% for June. The dominant theme in June was the UK referendum on EU membership, or ‘Brexit’ and the attendant surge in volatility that resulted in positive performance for CTAs. Trading conditions for systematic diversified managers were conducive due in large part to an increase in market volatility and sufficient directionality across markets and time frames … Read more Managed Futures Prospers from BREXIT Blues