Wow what a month March turned out to be on the heels of February. During the COVID-19 outbreak we saw a huge volatility surge again in March across almost all asset classes from equities to rates to commodities. We showed a brief intra-month view of several managers we track and, good, bad or indifferent wanted to update you on the final numbers they produced.
Shorter term strategies and tail risk strategies stole the show for March with the ability to capture much of the volatility on both up and down days. Also in the mix was the showdown between Saudi Arabia and Russia on oil output sending shockwaves rarely seen across energy markets.
Many of the managers we speak to think we have months (perhaps many) ahead of us with market/investor confusion as we try globally to overcome this pandemic. Looking out even further, we have a presidential election, a possible re-emergence of COVID-19 during the fall, and continued FED intervention in the markets…how will this impact markets going forward it may bode well for CTAs seeking opportunities in volatile markets. From IASG to all of you, we wish for you all to remain safe during these unprecedented times.
In the news
Institutional Advisory Services Group (IASG) is making a concerted push into the crypto hedge fund space with a new crypto managed account offering. IASG has launched a new website, www.iasgcrypto.com, which tracks the performance of professional cryptocurrency managers, enabling its high net worth and family office clients to see the performance of these managers before allocating through a managed account structure.
Manager Mid April Update (thru 4/15/2020) |
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| CTA/Program | Jan/Feb 2020 | Mar-20 | YTD 2020 | Style/Sector |
| Cayler Capital | 3.55 | 14.94 | 16.84 | Energy |
| Sigma Advanced Capital | 4.06 | -4.24 | -0.35 | Commodity Spread |
| Deep Field Vol Arb |
4.26 | 7.09 | 11.65 | Intraday Indices |
| Adalpha Asset Management Diversified Short-Term Program |
2.49 | 5.08 | 7.70 | Short Term Diversified |
| QTS Capital Management Tail Reaper |
12.98 | 45.00 | 57.98 | Intraday Indices |
| Breakout Funds | 4.91 | 7.67 | 12.95 | Discretionary – Global Macro |
| Crediton Hill LLC Managed Account Program |
1.23 | 0.29 | 1.53 | Short Term Arbitrage |
| Revolution Capital Management Alpha Program |
13.86 | 8.59 | 23.64 | Short Term Diversified |
| Quantica Capital AG Managed Futures |
-2.14 | -3.00 | -6.66 | Systematic – Long Term Trend |
| Fort LP Global Contrarian |
0.81 | -4.26 | -3.49 | Systematic – Mean Reversion |
| S&P 500 Index | -8.56 | -12.51 | -20.00 | |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
**Please note that March and YTD numbers shown above are estimates**
Top Programs Last MonthManagers with assets greater than $10M |
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| CTA/Program | Mar | CAROR | WDD |
| QTS Capital Management, LLC Tail Reaper |
45.93 | 7.27 | -14.09 |
| QTS Capital Management, LLC Chimera |
45.93 | 8.01 | -12.80 |
| Mulvaney Capital Management The Mulvaney Global Markets Fund |
31.16 | 10.95 | -45.08 |
| QCAM Asset Management AG SWARM |
25.24 | 23.12 | -6.61 |
| Sandpiper Asset Management Sandpiper Global Macro Program |
23.21 | 3.80 | -35.19 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Top Programs Last 12 MonthsManagers with assets greater than $10M |
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| CTA/Program | 1yr | Sharpe | WDD |
| QTS Capital Management, LLC Chimera |
57.81 | 1.02 | -12.80 |
| QTS Capital Management, LLC Tail Reaper |
55.06 | 0.69 | -14.09 |
| Claughton Capital Institutional Program |
49.50 | 0.41 | -25.54 |
| Revolution Capital Management Alpha Program |
40.97 | 0.62 | -20.92 |
| QCAM Asset Management AG Enhanced Intelligence Strategy Vol 10 |
40.79 | 1.38 | -6.08 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Top Programs Last 36 MonthsManagers with assets greater than $10M |
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| CTA/Program | 3yr | Sharpe | WDD |
| Blue Bar Futures Trading Management LLC Blue Bar Prime Ag Program |
145.76 | 1.16 | -42.26 |
| AG Capital Investments, LLC Discretionary Global Macro Program |
118.00 | 0.86 | -25.27 |
| QCAM Asset Management AG SWARM |
107.07 | 1.25 | -6.61 |
| SinoPac Asset Management SinoPac Multi Strategy Quant Fund |
95.06 | 0.74 | -14.68 |
| QCAM Asset Management AG Enhanced Intelligence Strategy Vol 10 |
92.41 | 1.38 | -6.08 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
IASG Indexes |
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| CTA/Program Index | Mar | YTD | 1yr |
| Trend Following Strategy Index | 8.26 | 8.40 | 13.09 |
| Diversified Trader Index | 5.76 | 6.65 | 11.26 |
| Systematic Trader Index | 5.24 | 5.77 | 10.22 |
| IASG CTA Index | 4.53 | 4.77 | 8.59 |
| Stock Index Trader Index | 4.25 | 1.21 | 4.04 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Return Summary |
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| Active CTAs/Programs | |
| As of April 9, 2020 | 400 |
| Through March ’20 | 280 (70%) |
| Last 60 Days | 373 (93%) |
| March 2020 ROR | |
| Managers with (+) | 164 |
| Managers with (-) | 115 |
| Average (+) | 9.81% |
| Average (-) | -4.46% |
| Highest | 77.36% |
| Average | 3.91% |
| Lowest | -23.05% |
Distribution of Returns
* Stats as of 4/15/2020 2PM CST
Image via flickr