Stats as of 6/17/22 2 PM CST
Last month, we introduced our affiliate firm Le Mans Trading. The goal of this firm is to give access to three distinct strategies across different volatility targets. This month we feature our low target volatility fund: The Hyperion Fund. In today’s current market environment, investors across all asset classes looking for more stable, consistent returns would have interest in this strategy. Below is an excerpt from our monthly letter:
While opportunity sets were less than ideal, The Hyperion Fund recorded a gain of +0.30% in May. Small gains were achieved throughout the month as the S&P faltered on the first trading day of May. As the month progressed, and the S&P rallied from lows previously reached in March of 2021, a key volatility metric known as skew (a measure that compares the prices of options at varying strike prices) plummeted to extreme lows. These levels indicate a high degree of complacency and compressed the ratio spread pricing making the risk/reward opportunities less attractive. We believe that volatility markets are under-appreciating near-term risks and so look for them to “catch up” to equity markets which we see uncovering many new trading opportunities.
Investors wanting to learn more, please email us.
Soft Landing? Look Out Below!
We addressed the potential for inflation to accelerate in May 2021 in our article “Inflation Coming?” and predicted that hard assets would begin to rally. Even before the invasion of Ukraine, we saw energy and real estate soar along with risk assets like stocks and cryptocurrencies.
> Read more…
Fund | Min Acct | May-22 | YTD | Target Vol |
Hyperion | $250k | 0.30 | 1.45 | 10 |
Mustang | $250k | 1.97 | 0.60 | 20 |
Triple T | $250k | -7.55 | 16.65 | 30 |
S&P 500 Index | 0.01 | -14.70 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
CTA/Program | Assets | May-22 | YTD | Style/Sector |
Adalpha Asset Management Diversified Short-Term | $44.1M | 4.99 | 7.77 | Short Term Diversified |
Genio Capital Ltd. PRIMO (2L) Systematic Macro | $150M | -0.30 | 2.04 | Short Term Diversified |
Quantica Capital AG Managed Futures | $841M | -0.50 | 13.31 | Systematic Long Term Trend |
Jaguar Investments Ltd Aegir Capital Strategy | $70.6M | 2.22 | 7.21 | Systematic Energy |
AG Capital Management Discretionary Global Macro | $106M | -8.98 | -2.02 | Discretionary Global Macro |
S&P 500 Index | 0.01 | -14.70 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
CTA/Program | Min Acct | May-22 | YTD | Style/Sector |
Cayler Capital Systematic Energy Diversified | $250k | -1.36 | 35.51 | Energy |
Sigma Advanced Capital Carbon Neutral Alpha | $400k | -1.92 | -1.93 | Carbon Neutral Strategy |
NWOne LLC Diversified Strategy | $350k | 2.42 | 9.80 | Systematic Diversified |
Absolute Return Capital Management Ionic Strategy | $500k | -1.75 | 10.38 | Systematic Diversified |
PGM Asset Management, LLC Trident | $500k | -1.07 | 17.98 | Short Term Systematic |
S&P 500 Index | 0.01 | -14.70 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Managers with assets greater than $10M
CTA/Program | May | CAROR | WDD | |
Skylar Capital Management Natural Gas and Power Strategy | 18.16 | 37.21 | -64.04 | |
Rosetta Analytics Inc. DL One | 7.38 | 13.16 | -7.18 | |
Adalpha Asset Management, LLC Diversified Short-Term Program | 4.99 | 8.55 | -14.10 | |
Deep Field Capital AG Intraday Crisis Alpha Program (ICA) | 4.46 | 8.49 | -17.55 | |
Tianyou Asset Management, LLC Tianyou Trading Strategy | 3.81 | 17.65 | -38.52 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Managers with assets greater than $10M
CTA/Program | 1yr | Sharpe | WDD | |
Skylar Capital Management Natural Gas and Power Strategy | 321.70 | 0.79 | -64.04 | |
RCMA Capital LLP Merchant Commodity Fund | 111.17 | 0.84 | -36.75 | |
Mulvaney Capital Management Global Markets Fund | 81.87 | 0.53 | -45.08 | |
AIS Capital Management, L.P. MAAP (2x-4x) Composite | 41.83 | 0.40 | -78.95 | |
Drury Capital Diversified Trend-Following Program | 40.97 | 0.57 | -32.52 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Managers with assets greater than $10M
CTA/Program | 3yr | Sharpe | WDD | |
Skylar Capital Management Natural Gas and Power Strategy | 629.24 | 0.79 | -64.04 | |
AIS Capital Management, L.P. MAAP (2x-4x) Composite | 271.81 | 0.40 | -78.95 | |
RCMA Capital LLP Merchant Commodity Fund | 233.80 | 0.84 | -36.75 | |
Mulvaney Capital Management Global Markets Fund | 183.12 | 0.53 | -45.08 | |
Tactical Investment Management Tactical Institutional Commodity Fund | 115.03 | 0.70 | -38.84 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
CTA/Program Index | May | YTD | 1yr |
Trend Following Strategy Index | -1.29 | 14.56 | 20.36 |
Diversified Trader Index | -1.19 | 9.96 | 13.32 |
Systematic Trader Index | -0.54 | 7.43 | 10.03 |
IASG CTA Index | -0.37 | 8.00 | 11.14 |
Discretionary Trader Index | -0.30 | 6.77 | 11.06 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Active CTAs/Programs | |
As of June 17, 2022 | 372 |
Through May ’22 | 286 (76.9%) |
Last 60 Days | 86 (23.1%) |
May 2022 ROR | |
Managers with (+) | 117 |
Managers with (-) | 166 |
Average (+) | 2.64% |
Average (-) | -2.42% |
Highest | 18.16% |
Average | -0.32% |
Lowest | -25.67% |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.