Posted by & filed under Investing.

By Susan Barreto, Editor of Alternatives Watch

As the VIX spikes and the S&P 500 tumbles, the non-correlation story of managed futures rises to the foreground again just like 2008. But as any trader will tell you this is a very different market.

According to data compiled by Coquest for its index traders in the space were down only 0.5% through the end of February. The Chicago firm said it tracks 115 participants in its 2020 CTA Challenge, which represents a broad list of managed futures programs that are by design non-correlated with stock markets and the S&P 500 Index.

Last year turned out to be a good year overall for CTAs trading managed futures programs, according to Coquest. Its Coquest 40 Index, which is a weighted index of the top 40 programs by assets under management, produced 7.53% for the year. While those returns were not as high as the S&P 500 Index, but still quite good for 2019.

As Michael Lock, director of brokerage at Coquest, points out what a difference a few weeks makes. The S&P 500 closed on January 31 at 3,225.52, virtually unchanged for the month. Then by February 19 the
S&P 500 closes at 3,386.15 (an all-time high) and the VIX was sitting at a low of 14.38.

A few days later, the market turned South again, particularly in that final week of February closing down 12.76% from the high and a 8.41% loss for the month and the VIX settles at 40, which was the first time it had breached 40 since 2011.

And now, March with a further downward trajectory the VIX rose all the way to 53.9 on March 11.

It is only the second time, he said, that the VIX has spiked above 50 for the second time in the past 30 years. The first 10 weeks of 2020 chalked up a 15.15% loss on the S&P.

While more negative equity performance is seemingly on the horizon as many finance professionals have opted to work from home. What the future holds for the rest of 2020 is uncertain at best, which is a backdrop generally favorable to futures traders.

For now, here’s a look at where managers ranked at the end of 2019, according to the Coquest’s CTA Challenge.

2019 CTA Challenge:
Top 5 Ranking Through the End of December

1: Quantica Capital AG / Managed Futures Program 

2: County Cork LLC / Acclivity Program

3: Fort LP / Global Contrarian Program

4: Automaton Trading LLC / Diversified Program

5: AG Capital Investments LLC / Discretionary Global Macro Program

Leave a Reply

Your email address will not be published. Required fields are marked *