Tracking CTAs since 1994
Top Performers for July 2022
Covenant Capital Mgmt of Tennessee | Hedge Equity | +16.24% Visit Covenant's Profile Page
Moddco Capital Associates | MCA Strategy Prop Trading | +13.98%Visit Moddco's Profile Page
AG Capital Investments | Global Macro Program | +12.50% | QEPs OnlyVisit Ag Capital's Page
Future Trade AG | GVI Aggressive Volatility Program | +11.26% | QEPs OnlyVisit The Future Trade AG Page
Numberline Capital Partners | Macro Risk Program | +10.44%Visit Numberline's Profile Page
Top Performers for June 2022
Rotella Capital Mgt |
Qdeck Commodity Beta Plus Carry | +12.80% | QEPs OnlyVisit Rotellas's Profile Page
PGM Asset Management | Trident Program | +8.25% | QEPs OnlyVisit PGM's Profile Page
Mulvaney Capital Management | MF Program | +7.74% | QEPs OnlyVisit Mulvaney's Profile Page
The Great O'Neill | The Great O'Neill Program | +7.63% | QEPs OnlyVisit The Great O'Neill's Profile Page
Purple Valley Capital | Diversified Trend 1 | +7.41%Visit Purple Valley's Profile Page
CTA Return during Stock Market Declines
We have updated our CTA Return during periods where the S&P lost more than 10% in a quarter to reflect the S&P 500 TR Index 2nd Quarter Return of -19.96%. CTA Return as measured by the Autumn Gold CTA Index was up 5.36% (June AG CTA Index numbers are estimated until the end of July).
See Chart
Managed Futures vs. S&P 500 TR Index
The VAMI of Managed Futures ("CISDM Equal Weighted CTA Index") has continues to grow while the VAMI of stocks ("S&P 500 TR Index") continues its decline. Data runs from January 2000 to June 2022 and reflects the growth of $10,000. As of June month end the Stock Index was $39,543 while the Managed Futures Index was $45,216. Please note that May and June CTA numbers are estimates based on the SG daily CTA Index.
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Stocks & Managed Futures show Negative Correlation through June 30th 2022.
Monthly numbers show that the S&P and the SG CTA Index had a negative correlation of -0.25 through June 2022
Our analysis shows that in each year that the S&P 500 Price Index was down more than 10% the correlation of stocks to managed futures was negative.See the Year by Year Correlation Table
Top Performers for May 2022
Moddco Capital Advisors | MCA Strategy | +27.01% | Proprietary Results | Visit Moddco's Profile Page
The Great O'Neill Ltd | Great O'Neill Program | +14.56% | QEPs Only | Visit Great O'Neill's Profile Page
Covenant Capital Management | Total Volatility Program | +10.29% | Visit Covenant's Page
SpreadEdge Capital | Ag Seasonal Program | +9.42% | Visit SpreadEdge's Profile Page
Top Performers for May 2022
Moddco Capital Advisors | MCA Strategy | +27.01% | Proprietary Results | Visit Moddco's Profile Page
The Great O'Neill Ltd | Great O'Neill Program | +14.56% | QEPs Only | Visit Great O'Neill's Profile Page
Covenant Capital Management | Total Volatility Program | +10.29% | Visit Covenant's Page
SpreadEdge Capital | Ag Seasonal Program | +9.42% | Visit SpreadEdge's Profile Page
Managed Futures vs. S&P 500 TR Index
The VAMI of the Managed Futures ("CISDM Equal Weighted CTA Index") has crossed the VAMI of the stocks ("S&P 500 TR Index"). Data runs from January 2000 to May 2022 and reflects the growth of $10,000. As of May month end the Stock Index was $43,099 while the Managed Futures Index was $44,276.
See Chart
Top CTA for April 2022
Purple Valley Capital's Diversified Trend Program was the top performance for April 2022 with a return of 27.47%. Purple Valley is a Diversified Global Macro Trend-Follower that trades a wide variety of markets. From inception the program has a Compounded ROR of 17.46% and a Max Drawdown of 69.73%. From January 2017 the program has a 29.04% Compounded ROR and a 43.14% Maximum Drawdown.
For Accredited or QEP's Only
Top Performers for April 2022
Mulvaney Capital Mgt | Managed Futures Program | +26.42% | QEPs Only | Visit Mulvaney's Profile Page
Meyer's Capital Mgt | Aggressive Edge Program | +16.52% | QEPs Only | Visit Meyer's Profile Page
Southwestern Managed Investments | Global Diversified Program | +10.85% | QEPs Only | Visit Southwestern's Page
Red Rock Capital | Trend Dynamics Program | +10.73% | Visit Red Rock's Profile Page
Caneel Hill Capital LLC
Caneel Hill Capital's Managed Risk 1 Program has been added to the AG database. Caneel's Principal Trader, Douglas Martin, has a technology background and has built networks with a focus on hedge funds and high frequency trading. Managed Risk 1 is momentum and mean-reversion strategy trading currencies and financials.
Visit Canell Hill's Profile Page
THS Capital Management
THS Capital Management adds the Diversified Trend Following Program ("DTF"). Similar to theATF Program but with less margin usage and a $250,000 minimum the DTF program trades over 30 commodity markets including softs, metals, meats, grains, energies, currencies, interest rates, stock indicies, and the US$ Index.
Visit THS's Profile Page
Senaca Capital Futures
We have just added Senaca Capital Futures to the Autumn Gold database. Lodated out of Massachusetts, Senaca is a Short-Tem Pattern Recognition Program that trades the G10 Currenciy Futures. The program used an average of 2-5% margin. There is a no management fee and a 10% incentive fee. The minimum account size is $100,000.
Top CTA for March 2022
Cayler Capital LLC took the top place for March 2022 with a 15.16% Return. Cayler is a systematic energy trader focused on the global movement of energy products and forecasting future supply and demand. Overall the program has a Compounded ROR of 22.93% and a Max Drawdown of 10.53%.
For QEP's Only
Top Option Trader for March 2022
Numberline Capital Partners' Macro Risk Program was the top option performance for March 2022 with a March Return of 8.07%. Numberline uses options to create synthetic futures positions. The program trades a diversified portfolio including Energy, FX Futures, Metals and Financials.
Visit Numberline's CTA ProfileRisk Disclosure
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS AND/OR FOREIGN EXCHANGE ("FOREX") IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.
THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.
AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.
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