Flash Report
Stats as of 1/16/22 2 PM CST
December Flash Report: 2021 The Year in Review
The year of the pandemic led into another year of COVID but with a hefty dose of inflation. The Consumer Price Index (CPI) in the United States rose 7% in 2021, its highest level in nearly 40 years.
The ramifications of this could impact every market going forward, especially as it affects central bank policy, which has been mostly dovish for the past decade. Unlike previous periods, where price levels remained in check, and they could be patient, they left themselves little choice this time. The “Fed Put,” which describes their tacit support of equity prices and low rates, now shows real consequences. If they want to add stimulus to support the market, they must balance it against the risk of inflation.
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Established Track Record > 5 Years
| CTA/Program | Assets | Dec-21 | 2021 | Style/Sector | |
|---|---|---|---|---|---|
| Adalpha Asset Management Diversified Short-Term | $39.6M | -7.93 | 1.33 | Short Term Diversified | |
| Genio Capital Ltd. PRIMO (2L) Systematic Macro | $154M | -0.74 | 3.60 | Short Term Diversified | |
| Quantica Capital AG Managed Futures | $678M | -3.20 | -3.85 | Systematic – Long Term Trend | |
| Fort LP Global Contrarian | $2,100M | 0.62 | -1.84 | Systematic – Mean Reversion | |
| AG Capital Management Discretionary Global Macro | $94M | -4.08 | -5.48 | Discretionary Global Macro |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Emerging Track Record < 5 Years
| CTA/Program | Min Acct | Dec-21 | 2021 | Style/Sector | ||
| Cayler Capital Systematic Energy Diversified | $250k | -0.51 | 1.85 | Energy | ||
| Sigma Advanced Capital Carbon Neutral Alpha | $400k | -0.20 | 13.68 | Carbon Neutral Strategy | ||
| Covenant Capital Management Hedged Equity Program | $100k | 5.11 | 37.51 | Short Term Vol/Index | ||
| Cazadores Investments Limited Commodity Alpha | $1M | — | 10.35* | Systematic Commodity | ||
| Ravinia Investment Management Algorithmic Multi-Strategy | $100k | -4.35 | 6.11 | Short Term Vol/Index |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Top Programs Last Month
Managers with assets greater than $10M
| CTA/Program | Dec | CAROR | WDD | |
| Salus Alpha Capital Ltd Directional Markets (DMX) | 12.53 | 13.39 | -19.86 | |
| Deep Field Capital AG Active Intraday Momentum (AIM) Program | 6.62 | — | -6.38 | |
| DUNN Capital Management World Monetary and Agriculture Program (WMA) | 6.02 | 12.40 | -23.38 | |
| Superfund Group Green GOLD SICAV | 4.69 | 14.78 | -35.95 | |
| Pawberry LLC MultiStrat Program | 4.61 | 12.62 | -14.57 |
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 | |
| Martin Fund Management LLC Options Program | 78.45 | 2.13 | -5.25 | |
| RCMA Capital LLP Merchant Commodity Fund | 73.75 | 0.74 | -36.75 | |
| SMN Investment Services GmbH Diversified Futures Fund (i14) | 40.81 | 0.44 | -39.31 | |
| ISAM Systematic Trend Class Q- USD | 36.09 | 0.60 | -37.77 | |
| Mulvaney Capital Management Global Markets Fund | 32.93 | 0.46 | -45.08 |
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 | 121.64 | 0.74 | -36.75 | |
| Superfund Group Green SILVER SICAV | 85.82 | 0.45 | -42.33 | |
| Superfund Group Green GOLD SICAV | 85.56 | 0.66 | -35.95 | |
| ISAM Systematic Trend Class Q- USD | 70.47 | 0.60 | -37.77 | |
| EMC Capital Advisors, LLC Classic | 68.59 | 0.53 | -45.35 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
IASG Indexes
| CTA/Program Index | Dec | 2021 | 1yr | |
| Trend Following Strategy Index | -0.05 | 8.59 | 20.36 | |
| Diversified Trader Index | -0.37 | 7.16 | 13.32 | |
| Systematic Trader Index | 0.28 | 6.31 | 10.03 | |
| IASG CTA Index | 0.28 | 6.85 | 11.14 | |
| Discretionary Trader Index | 0.49 | 8.08 | 11.06 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Return Summary
| Active CTAs/Programs | ||
| As of January 16, 2022 | 375 | |
| Through December ’21 | 231 (61.6%) | |
| Last 60 Days | 144 (38.4%) | |
| December 2021 ROR | ||
| Managers with (+) | 135 | |
| Managers with (-) | 96 | |
| Average (+) | 2.65% | |
| Average (-) | -2.15% | |
| Highest | 23.03% | |
| Average | 0.65% | |
| Lowest | -12.17% |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.