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3yrs ago Managed Futures blog.iasg Views: 628

This month's return attribution saw reversals for many of the systematic managers with equity market pullbacks and US Dollar weakening contributing to losses. It was certainly a struggle across all trend/systems based strategies for the month with the Trend Index currently posting -3.02.

One bright spot was in agriculture with the Agricultural Index up 1.06% for September. Managers focusing on grains and livestock have finally shown some life in what has been an otherwise uneventful last few years.

China appears to be making good on their trade deal with the U.S. as seen in their corn and soybean purchases. China demand combined with lower corn/bean yields forecasted are what contributed to the bullish sentiment that contributed to September.

Established Track Record > 5 Years
 

CTA/Program Assets Sep-20 YTD 2020 Style/Sector Adalpha Asset Management
Diversified Short-Term Program $53M NA NA Short Term
Diversified Revolution Capital Management
Alpha Program $465M -1.56 22.14 Short Term
Diversified Quantica Capital AG
Managed Futures $682M -3.60 -3.70 Systematic –
Long Term Trend Fort LP
Global Contrarian
$2,816M 0.51 -2.43 Systematic –
Mean Reversion QTS Capital Management
Tail Reaper $50M NA NA Intraday Indices S&P 500 Index   -3.92 4.09  

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

Emerging Track Record < 5 Years

CTA/Program Min Acct Sep-20 YTD 2020 Style/Sector Cayler Capital
Systematic Energy Diversified $250k 1.72 35.45 Energy Sigma Advanced Capital
Management

Global Advanced Futures
and Spread Program (QEP)
$400k 1.39 -0.23 Commodity
Spread Deep Field
Vol Arb
$1M -5.38 18.77 Intraday
Indices Breakout Funds $1M -0.56 26.20 Discretionary –
Global Macro Ravinia Investment Management
Algorithmic Multi-Strategy $100k -10.70 36.48 Short Term
Vol/Index S&P 500 Index   -3.92 4.09  

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

Top Programs Last Month

Managers with assets greater than $10M

CTA/Program Sept CAROR WDD R. G. Niederhoffer Capital Management, Inc.
Diversified Program 13.80 5.54 -54.49 Statar Capital LLC
Natural Gas Strategy 13.25 46.49 -2.82 NuWave Investment Management, LLC
Combined Futures Portfolio 8.77 5.80 -42.09 Opus Futures LLC
Advance Ag Futures Trading Program 6.73 7.48 -50.66 Salus Alpha Capital Ltd
Commodity Arbitrage (CAX) 6.33 5.78 -9.83

> 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 Statar Capital LLC
Natural Gas Strategy 59.92 2.74 -2.82 AG Capital Investments, LLC
Discretionary Global Macro Program 42.83 0.88 -25.27 Claughton Capital
ARP Institutional Program 37.76 0.40 -25.54 Cayler Capital
Systematic Energy Diversified 35.66 1.24 -7.59 Leibniz Group
SWARM 34.09 1.13 -5.79

> 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 Leibniz Group
SWARM 98.56 1.13 -5.79 AG Capital Investments, LLC
Discretionary Global Macro Program 73.90 0.88 -25.27 Blue Bar Futures Trading Management LLC
Blue Bar Prime Ag Program 70.79 1.13 -42.46 Deep Field Capital AG
Systematic Volatility Arbitrage Program (VolArb) 59.54 0.88 -12.26 Claughton Capital
ARP Institutional Program 57.35 0.40 -25.54

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

IASG Indexes

CTA/Program Index September YTD 1yr Agricultural Trader Index  1.06 5.13 5.27 Option Strategy  0.82 -4.64 -2.35 Discretionary Trader Index 0.09 4.78 5.30 Stock Index Trader Index -0.12 3.03 6.62 IASG CTA Index -1.15 4.26 4.19

> See all indexes

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

Return Summary

Active CTAs/Programs   As of October 12, 2020 372 Through September '20 220 (59%) Last 60 Days 335 (90%) September 2020 ROR   Managers with (+) 78 Managers with (-) 141 Average (+) 3.15% Average (-) -3.33% Highest 23.83% Average -1.01% Lowest -15.76%

> See latest stats

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

* Stats as of 10/12/2020 3PM CST


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