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1mo ago Managed Futures blog.iasg Views: 316

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. Call 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 » Get Started with a Free Alternative Investment Plan -

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