The 2020 CTA Challenge – April Commentary

Energy Markets Make Headlines

In the last newsletter, I discussed how March 2020 was a wild ride in the Equity Index and Volatility Index markets…and then in April the Energy futures markets stepped in with the proverbial “if you thought that was crazy, watch this!”

We witnessed record breaking price swings and negative prices for the front month May 2020 NYMEX WTI Light Crude futures…a first ever for energy futures markets. Clearing firms, CTAs and hedge fund managers are now faced with a re-write of their coding for risk metrics and loss controls. A negative price on the contract was, quite frankly, something that most thought impossible. Now, incorporating the math that comes with this reality will take a bit of work. In the mean time, many commodity traders are avoiding front month energy futures altogether as they reassess risk parameters. Clearing firms are putting tight controls on access to these markets, with some increasing margin requirements while others force clients out of these contracts altogether. There is still a bit of dust that needs to settle from everything over the course of the next few months as energy markets find a new equilibrium. We are very curious as to what the near term future holds.

Let’s take a look at how our CTA Challenge participants fared during this energy market volatility.

Of the 115 CTA Challenge participants, 62 programs trade in the energy futures markets. Six of these programs are exclusively energy traders.

Of the 62 participating programs with exposure to energy futures, we saw gross performance month-to-date in April (as of the close 4/27/2020) range from -3.47% to +20.14% with the average return being +2.04% in the group. For the six programs that trade only energy futures, we saw gross performance in the same period range from -3.03% to +10.93% with the average return being +2.43%. None of the energy-only programs lost money on April 20, 2020 when WTI Crude went negative.

Actually, none of our participants really took a big hit on Monday, April 20 when crude futures went negative. In fact, most of them registered the day as a non-event. Despite the unprecedented market activity, their risk controls worked and the actively traded programs did what we hoped they would…thrive.

And, as always, past performance is not indicative of future results.


Contact Us:

Are You An Investor Who Wants To Know More?

To learn more about the CTA Challenge participating programs, or others that are performing well in this current environment, please contact Coquest by Clicking Here or calling 1-214-580-4220.

Visit: for more details.

The Case for Managed Futures

Managed Futures investment strategies, traded by CTAs, as well as Global Macro investment strategies, prove themselves consistently again and again to be non-correlated with the S&P 500 Index and the general stock market. These investments do not necessarily go up when the stock market goes down (negatively correlated) nor do they necessarily go up when the stock market goes up (positively correlated). Managed Futures investments simply behave completely different and are based on the skill (and sometimes luck) of the trading program and its architects more so than the direction of the economy or the stock market. Investments in Managed Futures programs, like anything, should be done with careful consideration. Past performance is not indicative of future results.

2020 CTA Challenge:

Top 5 Ranking Through The End Of March

#1: AG Capital Investments LLC / Discretionary Global Macro Program

#2: Revolution Capital Management LLC / Alpha Program *QEP*

#3: Persistent Capital Management / Global Diversified Program *QEP*

#4: Red Rock Capital LLC / Commodity Long-Short Program

#5: Orion Capital Advisors Inc / Beta Opportunity Strategy

See the full current rankings here.

CTAs interested in participating, or investors interested in learning more about CTAs and Managed Futures investment strategies, should contact Coquest and the CTA Challenge by Clicking Here.

Featured CTA

EMC Capital Advisors is a leading investment management firm that has successfully managed assets for institutional and private investors from around the world since 1988.

  • Principals have 80+ years experience managing client assets through all types of market cycles and periods of acute economic and geopolitical distress
  • Proven expertise in managing a diversified portfolio of global commodity and financial instruments
  • Disciplined and systematic investment methodology
  • Quantitative research process that allows trading and risk management systems to evolve and adapt to the current market environment

EMC is located in suburban Chicago and is registered as a Commodity Trading Advisor and Investment Advisor.

Featured Sponsor

Gemini Alternative Funds, LLC services the investment community as a Managed Account Platform (Galaxy Plus) working with dedicated managed accounts and co-mingled funds, as well as a structured product platform sponsor. Galaxy Plus provides a comprehensive platform of centralized operational services and distribution of products. The operational services provided directly by Galaxy Plus include transparency, uniform operational setup, risk and guideline management, and liquidity enhancements.

Upcoming Events – Mark Your Calendars!

TEXPERS – 2020 Annual Conference
August 15-18, 2020
Grand Hyatt, San Antonio, TX

MFA Forum 2020
September 9, 2020
Four Seasons Hotel, Chicago, IL

Coquest Annual Soiree
September 9, 2020
TBD, Chicago, IL

CTA Challenge Sponsors