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.

Greg Taunt

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/ProgramAssetsDec-212021Style/Sector
Adalpha Asset Management
Diversified Short-Term
$39.6M-7.931.33Short Term Diversified
Genio Capital Ltd.
PRIMO (2L) Systematic Macro
$154M-0.743.60Short Term Diversified
Quantica Capital AG
Managed Futures
$678M-3.20-3.85Systematic – Long Term Trend
Fort LP
Global Contrarian
$2,100M0.62-1.84Systematic – Mean Reversion
AG Capital Management
Discretionary Global Macro 
$94M-4.08-5.48Discretionary Global Macro

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Emerging Track Record < 5 Years
CTA/ProgramMin AcctDec-212021 Style/Sector
Cayler Capital
Systematic Energy Diversified
$250k-0.511.85Energy
Sigma Advanced Capital
Carbon Neutral Alpha
$400k-0.2013.68Carbon Neutral Strategy
Covenant Capital Management
Hedged Equity Program
$100k5.1137.51Short Term Vol/Index
Cazadores Investments Limited
Commodity Alpha
$1M10.35*Systematic Commodity
Ravinia Investment Management
Algorithmic Multi-Strategy
$100k-4.356.11Short Term Vol/Index

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Top Programs Last Month

Managers with assets greater than $10M

CTA/ProgramDecCARORWDD
Salus Alpha Capital Ltd
Directional Markets (DMX)
12.5313.39-19.86
Deep Field Capital AG
Active Intraday Momentum (AIM) Program
6.62-6.38
DUNN Capital Management
World Monetary and Agriculture Program (WMA)
6.0212.40-23.38
Superfund Group
Green GOLD SICAV
4.6914.78-35.95
Pawberry LLC
MultiStrat Program
4.6112.62-14.57

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Top Programs Last 12 Months

Managers with assets greater than $10M

CTA/Program1yrSharpeWDD
Martin Fund Management LLC
Options Program
78.452.13-5.25
RCMA Capital LLP
Merchant Commodity Fund
73.750.74-36.75
SMN Investment Services GmbH
Diversified Futures Fund (i14)
40.810.44-39.31
ISAM
Systematic Trend Class Q- USD
36.090.60-37.77
Mulvaney Capital Management
Global Markets Fund
32.930.46-45.08

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Top Programs Last 36 Months

Managers with assets greater than $10M

CTA/Program3yrSharpeWDD
RCMA Capital LLP
Merchant Commodity Fund
121.640.74-36.75
Superfund Group
Green SILVER SICAV
85.820.45-42.33
Superfund Group
Green GOLD SICAV
85.560.66-35.95
ISAM
Systematic Trend Class Q- USD
70.470.60-37.77
EMC Capital Advisors, LLC
Classic
68.590.53-45.35

> See more

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


IASG Indexes
CTA/Program IndexDec20211yr
Trend Following Strategy Index-0.058.5920.36
Diversified Trader Index-0.377.1613.32
Systematic Trader Index0.286.3110.03
IASG CTA Index0.286.8511.14
Discretionary Trader Index0.498.0811.06

> See all indexes

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.


Return Summary
Active CTAs/Programs
As of January 16, 2022375
Through December ’21231 (61.6%)
Last 60 Days144 (38.4%)
December 2021 ROR
Managers with (+)135
Managers with (-)96
Average (+)2.65%
Average (-)-2.15%
Highest23.03%
Average0.65%
Lowest-12.17%

> See latest stats

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.