Flash Report
Stats as of 9/14/22 2 PM CST
August Flash Report
The “COVID-19 Bankruptcy Gap”
As the authors of the white paper “Bankruptcy and the COVID-19 Crisis” point out, filings usually climb with the unemployment rate, yet instead, according to the American Bankruptcy Institute, they dropped by 29% from 2019 to 2020 and another 24% through 2021.
> Read more…
August 2022 Market Letter
With Russia and Europe both offering wheat competitively, Ukraine has prioritized corn shipments, with that crop accounting for 62% of their August tonnage. In early August, crop conditions started to fall, and on the 12th, the USDA reduced their yield estimate from 177 to 175.4 bushels per acre (BPA).
> Read more…
Le Mans Trading LLC Offerings
| Fund | Min Acct | Aug-22 | YTD | Volatility | |
| Hyperion | $250k | 0.30 | 2.63 | 3.03 | |
| Mustang | $250k | -2.79 | -1.36 | 14.21 | |
| Triple T | $250k | -7.94 | 27.33 | 23.53 | |
| S&P 500 Index | -4.24 | -18.36 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Established Track Record > 5 Years
| CTA/Program | Assets | Aug-22 | YTD | Style/Sector | |
| Adalpha Asset Management Diversified Short-Term | $41.2M | -2.05 | 7.11 | Short Term Diversified | |
| Genio Capital Ltd. PRIMO (2L) Systematic Macro | $127M | 0.85 | 4.45 | Short Term Diversified | |
| Quantica Capital AG Managed Futures | $811M | 3.60 | 12.96 | Systematic Long Term Trend | |
| Jaguar Investments Ltd Aegir Capital Strategy | $75.8M | -2.08 | 4.65 | Systematic Energy | |
| AG Capital Management Discretionary Global Macro | $105M | -8.77 | 0.03 | Discretionary Global Macro | |
| S&P 500 Index | -4.24 | -18.36 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Emerging Track Record < 5 Years
| CTA/Program | Min Acct | Aug-22 | YTD | Style/Sector | ||
| Cayler Capital Systematic Energy Diversified | $250k | -1.01 | 25.29 | Energy | ||
| Sigma Advanced Capital Carbon Neutral Alpha | $800k | 1.87 | 4.12 | Carbon Neutral Strategy | ||
| NWOne LLC Diversified Strategy | $350k | -0.02 | 8.22 | Systematic Diversified | ||
| Absolute Return Capital Management Ionic Strategy | $500k | -3.79 | 6.34 | Systematic Diversified | ||
| PGM Asset Management, LLC Trident | $1M | -5.68 | 18.19 | Short Term Systematic | ||
| S&P 500 Index | -4.24 | -18.36 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Top Programs Last Month
Managers with assets greater than $10M
| CTA/Program | Aug | CAROR | Vol |
| DUNN Capital Management D’Best Futures Fund, L.P. | 18.59 | 10.71 | 35.03 |
| Mulvaney Capital Management Global Markets Fund | 17.31 | 14.60 | 33.75 |
| DUNN Capital Management World Monetary and Agriculture | 13.15 | 13.49 | 32.06 |
| R. G. Niederhoffer Capital Management, Inc. Diversified Program | 10.80 | 7.55 | 20.11 |
| Six Alpha Capital Advisors, LLC ES Program | 7.65 | -0.56 | 12.58 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Top Programs Last 12 Months
Managers with assets greater than $10M
| CTA/Program | 1yr | Sharpe | Vol |
| Mulvaney Capital Management Global Markets Fund | 92.94 | 0.54 | 33.75 |
| DUNN Capital Management D’Best Futures Fund, L.P. | 65.97 | 0.44 | 35.03 |
| R. G. Niederhoffer Capital Management, Inc. Diversified Program | 57.03 | 0.41 | 20.11 |
| DUNN Capital Management World Monetary and Agriculture | 54.00 | 0.52 | 32.06 |
| PGM Asset Management, LLC Trident | 46.77 | 1.37 | 20.50 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Top Programs Last 36 Months
Managers with assets greater than $10M
| CTA/Program | 3yr | Sharpe | Vol |
| AIS Capital Management, L.P. MAAP (2x-4x) Composite | 197.68 | 0.37 | 28.39 |
| R. G. Niederhoffer Capital Management, Inc. Diversified Program | 125.63 | 0.41 | 20.11 |
| Opus Futures LLC Advanced Ag Futures Trading | 107.07 | 0.46 | 29.47 |
| Mulvaney Capital Management Global Markets Fund | 103.59 | 0.54 | 33.75 |
| Wavefront Global Asset Management IMFC Global Investment | 86.01 | 0.43 | 16.33 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
IASG Indexes
| CTA/Program Index | Aug | YTD | 1yr |
| Trend Following Strategy Index | 3.02 | 14.18 | 20.36 |
| Diversified Trader Index | 0.97 | 8.68 | 13.32 |
| Systematic Trader Index | 1.16 | 7.21 | 10.03 |
| IASG CTA Index | 0.76 | 7.56 | 11.14 |
| Discretionary Trader Index | -1.04 | 4.17 | 11.06 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Return Summary
| Active CTAs/Programs | |
| As of September 14, 2022 | 380 |
| Through August ’22 | 235 (61.8%) |
| Last 60 Days | 145 (38.2%) |
| August 2022 ROR | |
| Managers with (+) | 132 |
| Managers with (-) | 102 |
| Average (+) | 2.76% |
| Average (-) | -2.39% |
| Highest | 18.59% |
| Average | 0.51% |
| Lowest | -15.00% |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.