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.
Options 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.
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| 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 MonthManagers 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 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
| Top Programs Last 12 MonthsManagers 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 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
| Top Programs Last 36 MonthsManagers 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 |
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 |
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% |
* Stats as of 9/10/2021 2PM CST
Photo by Taylor Siebert on Unsplash