March was another positive move for equity markets with indexes showing solid returns. CTAs held their own with overall a positive month across many of the strategies we track. Some of the trends outside of equities saw choppiness in grain and agriculture markets and trends emerged in short bonds. The USD showed strength from its end of February low versus other major currencies. Equity markets remain at all time high levels as volatility in the indexes has dropped significantly below 20 for the first time in over a year. Most indexes were positive with the Stock Index Trader Index leading for the month at 0.92%. On the other side the Discretionary Manager Index is down -0.49% for March.
As for YTD Trend Following has been the strongest performing sector overall. We are still waiting on what the future story lines will be that shape these markets moving forward. The US administration will be soon releasing a plan for massive infrastructure spending. How will this affect commodity futures markets with the need for resources? How will the US plan to pay for the associated cost? Time will tell.
Manager Spotlights
Adalpha Asset Management is off to a strong start in 2021 adding to their already impressive 17 year track record. Their program is short term and systematic and takes advantage of the momentum and mean reverting aspects of the market. This keeps margin levels lower than many trend programs which makes it more accessible than most CTAs while providing a different correlation than most traders.
Covenant Capital’s Hedged Equity Program is also benefitting from the market action this year as it keeps a dedicated long S&P 500 futures position while using system-driven decision making to hedge when indicated. This will normally trade in line with the market but attempts to protect from wealth destroying corrections. Their customers are often using this to replace existing exposure in their passive index investing.
Futures Contracts are Easy. You are Already Using Them.
- I have spent over a decade in the futures industry so I am accustomed to the blank stare when I tell people what I do. Most immediately assume it is too complicated to even try to understand. The ironic thing is that we all intuitively understand them already. We trade them all the time.
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PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Managers with assets greater than $10M
CTA/Program March CAROR WDD R. G. Niederhoffer Capital Management, Inc.PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Managers with assets greater than $10M
CTA/Program 1yr Sharpe WDD AIS Capital Management, L.P.PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Managers with assets greater than $10M
CTA/Program 3yr Sharpe WDD AIS Capital Management, L.P.PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
* Stats as of 4/14/2021 4PM CST