Returns for CTAs over 100mn – Underwater again…

sea turtle in body of water

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.

managerprogramrorytdAUMbn
361 Capital361 Managed Futures Strategy Fund3.0%5.8%0.13
Abbey CapitalAbbey Alternative Fund-5.3%6.5%1.62
Abbey CapitalAbbey Capital Futures Strategy-2.5%8.0%0.69
Abbey CapitalAbbey Global Fund-0.5%22.6%0.12
ADG Capital ManagementADG Systematic Macro1.3%2.0%1.21
Alder CapitalAlder Global 20-1.4%-6.7%0.16
AlphaSimplex GroupManaged Futures Composite-3.1%10.0%5.06
AltiqFutures Program0.7%2.2%0.33
AQR Capital ManagementAQR Managed Futures-3.5%1.4%6.75
AQR Capital ManagementAQR Managed Futures HV Strategy-5.7%0.0%1.99
AquantumCommodity Spread1.4%-10.3%0.11
ARP InvestmentsARP Trend Following Global 2X0.5%9.0%1.8
Aspect Capital LimitedAspect Core Trend Fund-2.1%8.6%1.89
Aspect Capital LimitedAspect Systematic Global Macro-2.8%-3.2%0.46
Aspect Capital LimitedAspect Tactical Opportunities-1.0%-2.2%0.19
Aspect Capital LimitedDiversified Program-3.6%18.6%3.07
Aspect Capital LimitedDynamic Currency Hedging-0.3%-0.2%1.31
BH-DG Systematic TradingBH-DG Systematic Trading Fund-6.6%1.8%1.16
Blue Diamond Asset ManagementBlue Diamond Non-Directional Strategy0.7%4.7%0.92
Cambridge Strategy (Asset Mgmt )Global Emerging Markets Alpha Programme-4.5%12.8%0.32
Campbell & CompanyCore Trend w/ Dynamic Risk Targeting-3.3%12.0%0.39
Campbell & CompanyManaged Futures-4.8%14.5%3.05
Cantab Capital PartnersCCP Core Macro Mersenne-3.7%18.9%1.5
Cantab Capital PartnersCCP Quant Fund Aristarchus-6.2%30.2%1.03
Catalyst Capital AdvisorsHedged Futures Strategy0.3%-0.7%0.24
Catalyst Capital AdvisorsMillburn Hedge Strategy Fund0.7%7.4%4.24
CoreCommodity ManagementDiversified I Fund2.1%3.6%0.36
CoreCommodity ManagementFounders Absolute Return (FAR)1.4%6.1%0.37
CoreCommodity ManagementFounders I Fund2.1%3.9%0.23
Crabel Capital MgmtCrabel Advanced Trend-5.8%5.8%0.8
Crabel Capital MgmtCrabel Gemini0.3%6.1%1.4
Crabel Capital MgmtCrabel Multi-Product2.9%7.4%1.71
Crabel Capital MgmtCrabel Multi-Product 1.5X AA4.3%10.3%1.71
Crabel Capital MgmtCrabel WPD Futures0.4%0.6%0.3
dormouse LimitedDormouse Futures Program-2.1%9.9%0.26
Drury CapitalDiversified Trend-Following Program-5.0%0.2%0.17
Dunn Capital ManagementDUNN WMA Institutional (ML Capital) UCITS A-3.3%7.0%0.43
Dunn Capital ManagementDUNN WMA Institutional (ML Capital) UCITS B-3.2%7.8%0.43
Dunn Capital ManagementWorld Monetary-6.0%14.4%0.55
Dunn Capital ManagementWorld Monetary Institutional-3.0%7.1%0.44
ecamos Capital AGecamos Volatility Strategy 2X0.7%19.9%0.12
Eckhardt Trading CompanyEvolution Strategy-2.2%-3.6%0.1
Efficient Capital ManagementEfficient Diversified Fund – Alpha III-3.1%14.1%0.16
EMC Capital AdvisorsAlpha Program-1.1%11.2%0.19
Episteme Capital PartnersSystematic Quest-1.6%14.1%0.8
Equinox Fund ManagementMutualHedge Futures Strategy-4.0%10.2%0.24
First Quadrant LPEssential Beta0.8%19.3%0.29
First Quadrant LPFQ Macro FX – 10% Risk2.9%-1.2%0.27
First Quadrant LPFQ Macro FX – 20% Risk6.0%-4.2%0.15
First Quadrant LPTactical Currency Allocation L/S 2%0.6%-0.5%1.8
Fort LPGlobal Contrarian-2.4%14.8%3.02
Fort LPGlobal Diversified-3.1%14.9%0.72
Fort LPGlobal Trend-3.2%11.5%0.24
GAM International ManagementGAM Commodity1.6%-0.7%0.14
GAM International ManagementGAM Systematic Alternative Risk Premia USD0.2%6.7%2.33
Global Sigma GroupAGSF1.0%8.1%0.24
Global Sigma GroupPlus Program0.8%6.3%0.36
Goldman ManagementNavigator Fund1.4%16.8%0.17
Graham Capital Mgmt LPGraham Quant Macro Strategy-0.5%14.2%2.68
Graham Capital Mgmt LPK4D-10V-1.0%16.7%1.32
Graham Capital Mgmt LPK4D-15V (Composite)-1.7%27.3%1.32
Graham Capital Mgmt LPTactical Trend-1.7%16.1%6.15
Graham Capital Mgmt LPTactical Trend Capped Equity-2.4%12.1%6.15
Greenland Investment ManagementGreenland Global Fund Class B-1.2%2.6%0.16
Greenwave Capital ManagementFlagship Plus-0.6%-3.8%0.39
Greenwave Capital ManagementFlagship Plus (lag)-0.6%-3.8%0.39
Greenwave Capital ManagementFlagship Plus 2X-1.3%-7.8%0.39
Gresham Investment ManagementA Plus Fund LLC2.0%5.3%0.23
Gresham Investment ManagementDJF CommodityBuilder Fund LLC1.9%4.9%0.45
Gresham Investment ManagementG Plus Fund LLC1.2%10.6%0.3
Gresham Investment ManagementMTAP Commodity Builder Fund LLC1.7%4.9%0.53
Gresham Investment ManagementOnshore ETAP Fund LLC1.9%5.2%0.63
Gresham Investment ManagementTAP Fund LLC Class A1.9%4.5%2.73
GSA Capital PartnersGSA Diversified Alternatives-1.2%2.0%0.16
GSA Capital PartnersGSA Trend Fund-5.1%-0.3%3.39
H2O AMForce 102.7%5.1%1.18
Independent VIew BVIV Quantitative Futures Fund-0.3%8.0%0.14
IPM Informed Portfolio ManagementIPM Systematic Currency0.8%9.9%0.12
IPM Informed Portfolio ManagementIPM Systematic Macro3.2%-2.8%4.71
ISAMISAM Systematic Trend-6.4%1.9%3.52
ISAMISAM Systematic Trend (Levitas)-3.4%1.3%3.52
J E MoodyCommodity Relative Value-0.6%-3.3%0.51
John Street CapitalSystematic Strategy-2.4%2.1%1.97
John Street CapitalTrident Strategy-3.7%2.5%1.97
Kaiser Trading GroupKaiser Trading Group Pty. Ltd.-0.4%13.3%0.33
KeyQuant SASKey Trends Program-4.3%20.8%0.35
LGT Capital PartnersLGT Crown Managed Futures-2.0%3.3%0.75
LGT Capital PartnersLGT Dynamic Protection UCITS-3.5%-0.2%0.5
Lynx Asset ManagementLynx-6.1%16.4%4.94
Lynx Asset ManagementLynx 1.5x-8.9%25.3%0.26
Man AHLAHL Alpha-3.3%6.3%6
Man AHLAHL Dimension-1.0%7.8%6.1
Man AHLAHL Diversified-6.4%7.4%1.7
Man AHLAHL Diversified Guernsey-6.4%7.4%1.7
Man AHLAHL Evolution-1.7%7.1%3.8
Metolius CapitalDiversified Master Fund-0.9%-4.5%0.12
Metori Capital ManagementEpsilon Managed Futures (Lyxor)-5.1%22.7%0.42
Millburn Ridegfield CorporationCommodity Program-1.7%0.5%0.28
Millburn Ridegfield CorporationDiversified Program0.3%3.1%4.38
Mondiale Asset ManagementLeveraged Trading Proram-4.5%-4.1%0.26
Pantera Capital Management LPPantera Bitcoin Fund Ltd11.7%141.1%0.14
PGR CapitalMean Reversion-1.6%-0.5%0.13
PIMCOTrends Composite-1.3%1.1%0.54
QMS Capital Management LPDiversified Global Macro2.6%-2.2%2.73
QMS Capital Management LPFinancials-Only Global Macro Strat.2.4%1.9%0.13
Quantica Capital AGManaged Futures Program-1.4%26.0%0.6
Quantitative Investment ManagementGlobal Program1.9%-7.2%1.05
Quest PartnersAlphaQuest Original-1.0%8.9%1.43
Ramsey Quantitative SystemsRQSI GAA Systematic Global Macro Fund0.7%12.4%0.54
Revolution Capital ManagementGlobal Alpha Program-0.9%12.8%0.2
Revolution Capital ManagementMosaic Institutional Program-0.5%4.9%0.13
Rhicon Currency Management PteStrategic Prog0.0%-4.7%0.62
ROW Asset ManagementDiversified 2X-5.5%6.9%0.36
ROW Asset ManagementDiversified Program-2.2%4.0%0.99
SCT Capital ManagementAdaptive Quant Trading-3.1%2.0%0.38
SEB GroupAsset Selection-3.6%1.7%0.82
Statar CapitalNatural Gas Strategy-2.9%22.6%0.39
Sunrise Capital PartnersEvolution1.8%-1.5%0.67
Systematica InvestmentsBlueTrend Fund-5.3%9.9%2.52
Systematica InvestmentsSystematica Synergy-1.1%4.4%0.13
Systematica InvestmentsSystematica Trend Following-3.6%0.4%0.2
Tianyou Asset ManagementTianyou Fund1.3%13.9%0.13
Tiber CapitalTiber Diversified Prog-0.8%-8.9%0.36
Tradelink CapitalTradelink Flagship1.7%4.4%0.14
Transtrend BVEnhanced Risk-5.0%2.4%4.45
Transtrend BVStandard Risk-3.2%1.9%0.55
Transtrend BVTulip Trend Fund-9.8%-0.3%0.14
Trigon Investment AdvisorsDiscretionary Macro-0.3%-4.8%0.28
Tudor Investment CorpTudor Momentum Fund Ltd.-5.6%6.0%0.33
Vivienne InvestissementOuessant UCITS A-1.3%11.4%0.12
Wadhwani Asset ManagementKeynes Dynamic Beta Strategy Offsh Fund-1.0%30.3%0.23
Wadhwani Asset ManagementKeynes Multi Asset Value Fund Ltd USD-2.7%-3.2%0.12
Welton Investment PartnersGlobal Directional Portfolio-5.5%4.3%0.51
Welton Investment PartnersWelton Trend Program-3.1%7.2%0.2
Willowbridge AssociateswPraxis Enhanced-0.2%2.6%0.12
Winton Capital ManagementWinton Futures Fund-2.0%1.7%0.32
Winton Capital ManagementWinton Futures Fund (DB)-1.9%4.4%1.1
Winton Capital ManagementWinton Futures Fund (Lyxor)-3.3%9.9%0.39
WisdomTree InvestmentsManaged Futures Strategy Fund WTMF -ETF-1.2%-3.0%0.21

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