As part of our usual coverage of returns for the larger CTAs, we now have substantially more manager report, 138 over 100 mn and note that the average AUM decline is 1.4% for October and up 7.3% for the year. Despite the two last difficult months, most of the CTAs are still positive for the year.
On on AUM weighted basis, the results are down -2.0% for October and up 7.2% for the year. The list of managers below have thus taken out 11.7bn from the market while giving back 3.2bn last month.
| manager | program | ror | ytd | AUMbn |
| 361 Capital | 361 Managed Futures Strategy Fund | 3.0% | 5.8% | 0.13 |
| Abbey Capital | Abbey Alternative Fund | -5.3% | 6.5% | 1.62 |
| Abbey Capital | Abbey Capital Futures Strategy | -2.5% | 8.0% | 0.69 |
| Abbey Capital | Abbey Global Fund | -0.5% | 22.6% | 0.12 |
| ADG Capital Management | ADG Systematic Macro | 1.3% | 2.0% | 1.21 |
| Alder Capital | Alder Global 20 | -1.4% | -6.7% | 0.16 |
| AlphaSimplex Group | Managed Futures Composite | -3.1% | 10.0% | 5.06 |
| Altiq | Futures Program | 0.7% | 2.2% | 0.33 |
| AQR Capital Management | AQR Managed Futures | -3.5% | 1.4% | 6.75 |
| AQR Capital Management | AQR Managed Futures HV Strategy | -5.7% | 0.0% | 1.99 |
| Aquantum | Commodity Spread | 1.4% | -10.3% | 0.11 |
| ARP Investments | ARP Trend Following Global 2X | 0.5% | 9.0% | 1.8 |
| Aspect Capital Limited | Aspect Core Trend Fund | -2.1% | 8.6% | 1.89 |
| Aspect Capital Limited | Aspect Systematic Global Macro | -2.8% | -3.2% | 0.46 |
| Aspect Capital Limited | Aspect Tactical Opportunities | -1.0% | -2.2% | 0.19 |
| Aspect Capital Limited | Diversified Program | -3.6% | 18.6% | 3.07 |
| Aspect Capital Limited | Dynamic Currency Hedging | -0.3% | -0.2% | 1.31 |
| BH-DG Systematic Trading | BH-DG Systematic Trading Fund | -6.6% | 1.8% | 1.16 |
| Blue Diamond Asset Management | Blue Diamond Non-Directional Strategy | 0.7% | 4.7% | 0.92 |
| Cambridge Strategy (Asset Mgmt ) | Global Emerging Markets Alpha Programme | -4.5% | 12.8% | 0.32 |
| Campbell & Company | Core Trend w/ Dynamic Risk Targeting | -3.3% | 12.0% | 0.39 |
| Campbell & Company | Managed Futures | -4.8% | 14.5% | 3.05 |
| Cantab Capital Partners | CCP Core Macro Mersenne | -3.7% | 18.9% | 1.5 |
| Cantab Capital Partners | CCP Quant Fund Aristarchus | -6.2% | 30.2% | 1.03 |
| Catalyst Capital Advisors | Hedged Futures Strategy | 0.3% | -0.7% | 0.24 |
| Catalyst Capital Advisors | Millburn Hedge Strategy Fund | 0.7% | 7.4% | 4.24 |
| CoreCommodity Management | Diversified I Fund | 2.1% | 3.6% | 0.36 |
| CoreCommodity Management | Founders Absolute Return (FAR) | 1.4% | 6.1% | 0.37 |
| CoreCommodity Management | Founders I Fund | 2.1% | 3.9% | 0.23 |
| Crabel Capital Mgmt | Crabel Advanced Trend | -5.8% | 5.8% | 0.8 |
| Crabel Capital Mgmt | Crabel Gemini | 0.3% | 6.1% | 1.4 |
| Crabel Capital Mgmt | Crabel Multi-Product | 2.9% | 7.4% | 1.71 |
| Crabel Capital Mgmt | Crabel Multi-Product 1.5X AA | 4.3% | 10.3% | 1.71 |
| Crabel Capital Mgmt | Crabel WPD Futures | 0.4% | 0.6% | 0.3 |
| dormouse Limited | Dormouse Futures Program | -2.1% | 9.9% | 0.26 |
| Drury Capital | Diversified Trend-Following Program | -5.0% | 0.2% | 0.17 |
| Dunn Capital Management | DUNN WMA Institutional (ML Capital) UCITS A | -3.3% | 7.0% | 0.43 |
| Dunn Capital Management | DUNN WMA Institutional (ML Capital) UCITS B | -3.2% | 7.8% | 0.43 |
| Dunn Capital Management | World Monetary | -6.0% | 14.4% | 0.55 |
| Dunn Capital Management | World Monetary Institutional | -3.0% | 7.1% | 0.44 |
| ecamos Capital AG | ecamos Volatility Strategy 2X | 0.7% | 19.9% | 0.12 |
| Eckhardt Trading Company | Evolution Strategy | -2.2% | -3.6% | 0.1 |
| Efficient Capital Management | Efficient Diversified Fund – Alpha III | -3.1% | 14.1% | 0.16 |
| EMC Capital Advisors | Alpha Program | -1.1% | 11.2% | 0.19 |
| Episteme Capital Partners | Systematic Quest | -1.6% | 14.1% | 0.8 |
| Equinox Fund Management | MutualHedge Futures Strategy | -4.0% | 10.2% | 0.24 |
| First Quadrant LP | Essential Beta | 0.8% | 19.3% | 0.29 |
| First Quadrant LP | FQ Macro FX – 10% Risk | 2.9% | -1.2% | 0.27 |
| First Quadrant LP | FQ Macro FX – 20% Risk | 6.0% | -4.2% | 0.15 |
| First Quadrant LP | Tactical Currency Allocation L/S 2% | 0.6% | -0.5% | 1.8 |
| Fort LP | Global Contrarian | -2.4% | 14.8% | 3.02 |
| Fort LP | Global Diversified | -3.1% | 14.9% | 0.72 |
| Fort LP | Global Trend | -3.2% | 11.5% | 0.24 |
| GAM International Management | GAM Commodity | 1.6% | -0.7% | 0.14 |
| GAM International Management | GAM Systematic Alternative Risk Premia USD | 0.2% | 6.7% | 2.33 |
| Global Sigma Group | AGSF | 1.0% | 8.1% | 0.24 |
| Global Sigma Group | Plus Program | 0.8% | 6.3% | 0.36 |
| Goldman Management | Navigator Fund | 1.4% | 16.8% | 0.17 |
| Graham Capital Mgmt LP | Graham Quant Macro Strategy | -0.5% | 14.2% | 2.68 |
| Graham Capital Mgmt LP | K4D-10V | -1.0% | 16.7% | 1.32 |
| Graham Capital Mgmt LP | K4D-15V (Composite) | -1.7% | 27.3% | 1.32 |
| Graham Capital Mgmt LP | Tactical Trend | -1.7% | 16.1% | 6.15 |
| Graham Capital Mgmt LP | Tactical Trend Capped Equity | -2.4% | 12.1% | 6.15 |
| Greenland Investment Management | Greenland Global Fund Class B | -1.2% | 2.6% | 0.16 |
| Greenwave Capital Management | Flagship Plus | -0.6% | -3.8% | 0.39 |
| Greenwave Capital Management | Flagship Plus (lag) | -0.6% | -3.8% | 0.39 |
| Greenwave Capital Management | Flagship Plus 2X | -1.3% | -7.8% | 0.39 |
| Gresham Investment Management | A Plus Fund LLC | 2.0% | 5.3% | 0.23 |
| Gresham Investment Management | DJF CommodityBuilder Fund LLC | 1.9% | 4.9% | 0.45 |
| Gresham Investment Management | G Plus Fund LLC | 1.2% | 10.6% | 0.3 |
| Gresham Investment Management | MTAP Commodity Builder Fund LLC | 1.7% | 4.9% | 0.53 |
| Gresham Investment Management | Onshore ETAP Fund LLC | 1.9% | 5.2% | 0.63 |
| Gresham Investment Management | TAP Fund LLC Class A | 1.9% | 4.5% | 2.73 |
| GSA Capital Partners | GSA Diversified Alternatives | -1.2% | 2.0% | 0.16 |
| GSA Capital Partners | GSA Trend Fund | -5.1% | -0.3% | 3.39 |
| H2O AM | Force 10 | 2.7% | 5.1% | 1.18 |
| Independent VIew BV | IV Quantitative Futures Fund | -0.3% | 8.0% | 0.14 |
| IPM Informed Portfolio Management | IPM Systematic Currency | 0.8% | 9.9% | 0.12 |
| IPM Informed Portfolio Management | IPM Systematic Macro | 3.2% | -2.8% | 4.71 |
| ISAM | ISAM Systematic Trend | -6.4% | 1.9% | 3.52 |
| ISAM | ISAM Systematic Trend (Levitas) | -3.4% | 1.3% | 3.52 |
| J E Moody | Commodity Relative Value | -0.6% | -3.3% | 0.51 |
| John Street Capital | Systematic Strategy | -2.4% | 2.1% | 1.97 |
| John Street Capital | Trident Strategy | -3.7% | 2.5% | 1.97 |
| Kaiser Trading Group | Kaiser Trading Group Pty. Ltd. | -0.4% | 13.3% | 0.33 |
| KeyQuant SAS | Key Trends Program | -4.3% | 20.8% | 0.35 |
| LGT Capital Partners | LGT Crown Managed Futures | -2.0% | 3.3% | 0.75 |
| LGT Capital Partners | LGT Dynamic Protection UCITS | -3.5% | -0.2% | 0.5 |
| Lynx Asset Management | Lynx | -6.1% | 16.4% | 4.94 |
| Lynx Asset Management | Lynx 1.5x | -8.9% | 25.3% | 0.26 |
| Man AHL | AHL Alpha | -3.3% | 6.3% | 6 |
| Man AHL | AHL Dimension | -1.0% | 7.8% | 6.1 |
| Man AHL | AHL Diversified | -6.4% | 7.4% | 1.7 |
| Man AHL | AHL Diversified Guernsey | -6.4% | 7.4% | 1.7 |
| Man AHL | AHL Evolution | -1.7% | 7.1% | 3.8 |
| Metolius Capital | Diversified Master Fund | -0.9% | -4.5% | 0.12 |
| Metori Capital Management | Epsilon Managed Futures (Lyxor) | -5.1% | 22.7% | 0.42 |
| Millburn Ridegfield Corporation | Commodity Program | -1.7% | 0.5% | 0.28 |
| Millburn Ridegfield Corporation | Diversified Program | 0.3% | 3.1% | 4.38 |
| Mondiale Asset Management | Leveraged Trading Proram | -4.5% | -4.1% | 0.26 |
| Pantera Capital Management LP | Pantera Bitcoin Fund Ltd | 11.7% | 141.1% | 0.14 |
| PGR Capital | Mean Reversion | -1.6% | -0.5% | 0.13 |
| PIMCO | Trends Composite | -1.3% | 1.1% | 0.54 |
| QMS Capital Management LP | Diversified Global Macro | 2.6% | -2.2% | 2.73 |
| QMS Capital Management LP | Financials-Only Global Macro Strat. | 2.4% | 1.9% | 0.13 |
| Quantica Capital AG | Managed Futures Program | -1.4% | 26.0% | 0.6 |
| Quantitative Investment Management | Global Program | 1.9% | -7.2% | 1.05 |
| Quest Partners | AlphaQuest Original | -1.0% | 8.9% | 1.43 |
| Ramsey Quantitative Systems | RQSI GAA Systematic Global Macro Fund | 0.7% | 12.4% | 0.54 |
| Revolution Capital Management | Global Alpha Program | -0.9% | 12.8% | 0.2 |
| Revolution Capital Management | Mosaic Institutional Program | -0.5% | 4.9% | 0.13 |
| Rhicon Currency Management Pte | Strategic Prog | 0.0% | -4.7% | 0.62 |
| ROW Asset Management | Diversified 2X | -5.5% | 6.9% | 0.36 |
| ROW Asset Management | Diversified Program | -2.2% | 4.0% | 0.99 |
| SCT Capital Management | Adaptive Quant Trading | -3.1% | 2.0% | 0.38 |
| SEB Group | Asset Selection | -3.6% | 1.7% | 0.82 |
| Statar Capital | Natural Gas Strategy | -2.9% | 22.6% | 0.39 |
| Sunrise Capital Partners | Evolution | 1.8% | -1.5% | 0.67 |
| Systematica Investments | BlueTrend Fund | -5.3% | 9.9% | 2.52 |
| Systematica Investments | Systematica Synergy | -1.1% | 4.4% | 0.13 |
| Systematica Investments | Systematica Trend Following | -3.6% | 0.4% | 0.2 |
| Tianyou Asset Management | Tianyou Fund | 1.3% | 13.9% | 0.13 |
| Tiber Capital | Tiber Diversified Prog | -0.8% | -8.9% | 0.36 |
| Tradelink Capital | Tradelink Flagship | 1.7% | 4.4% | 0.14 |
| Transtrend BV | Enhanced Risk | -5.0% | 2.4% | 4.45 |
| Transtrend BV | Standard Risk | -3.2% | 1.9% | 0.55 |
| Transtrend BV | Tulip Trend Fund | -9.8% | -0.3% | 0.14 |
| Trigon Investment Advisors | Discretionary Macro | -0.3% | -4.8% | 0.28 |
| Tudor Investment Corp | Tudor Momentum Fund Ltd. | -5.6% | 6.0% | 0.33 |
| Vivienne Investissement | Ouessant UCITS A | -1.3% | 11.4% | 0.12 |
| Wadhwani Asset Management | Keynes Dynamic Beta Strategy Offsh Fund | -1.0% | 30.3% | 0.23 |
| Wadhwani Asset Management | Keynes Multi Asset Value Fund Ltd USD | -2.7% | -3.2% | 0.12 |
| Welton Investment Partners | Global Directional Portfolio | -5.5% | 4.3% | 0.51 |
| Welton Investment Partners | Welton Trend Program | -3.1% | 7.2% | 0.2 |
| Willowbridge Associates | wPraxis Enhanced | -0.2% | 2.6% | 0.12 |
| Winton Capital Management | Winton Futures Fund | -2.0% | 1.7% | 0.32 |
| Winton Capital Management | Winton Futures Fund (DB) | -1.9% | 4.4% | 1.1 |
| Winton Capital Management | Winton Futures Fund (Lyxor) | -3.3% | 9.9% | 0.39 |
| WisdomTree Investments | Managed Futures Strategy Fund WTMF -ETF | -1.2% | -3.0% | 0.21 |
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