Early Returns from CTAs

Based on the data that we collect, we have an indication of what worked and what didn’t work last month. The average return was -1% for December and the year-to-date return has shrunk to 2%. Please note that these returns are excess returns. We may also have missed to adjust for certain dividend payments.

Superfund Capital ManagementManaged Futures Strategy5%26%
PIMCOEm Mkts Ccy and S/T Invsmt (daily)3%4%
IPM Informed Portfolio ManagementIPM Systematic Macro (daily)1%-3%
Gresham Investment ManagementManaged Futures Strat1%7%
Dorsey WrightDWA Tactical1%14%
LoCorr Fund ManagementLong/Short Commodity Strats1%-8%
1512 SG Capital Management AGSt.Gallen I Counter-Trend (gross) (daily)0%-4%
Catalyst Capital AdvisorsMulti-Strategy0%0%
AlphaSimplex GroupManaged Futures Composite0%8%
PIMCOTrends Composite0%0%
James AlphaMacro0%6%
Altegris AdvisorsEvolution0%2%
361 Capital361 Global Managed Futures Strategy Fund-1%3%
361 Capital361 Managed Futures Strategy Fund-1%5%
Aspect Capital LimitedAspect Core Trend Fund-1%6%
FS InvestmentsManaged Futures-1%-3%
P/E InvestmentsFX Strategy – Standard-1%9%
StebenManaged Futures Strategy-1%3%
Abbey CapitalAbbey Capital Futures Strategy-1%6%
Goldman Sach ManagementGoldman Sachs Mngd Futures Strat Instl-1%0%
Dunn Capital ManagementManaged Futures Strategy (Arrow)-1%12%
LoCorr Fund ManagementLoCorr Macro Strategies-1%10%
Allianz Global InvestorsManaged Futures Strategy-2%-3%
Longboard Asset Management LPManaged Futures Strategy-2%-11%
ColumbiaManaged Futures Strategy Fund-2%-8%
AQR Capital ManagementAQR Managed Futures-2%-4%
Campbell & CompanyManaged Futures-2%11%
Altegris AdvisorsManaged Futures-2%2%
Guggenheim InvestmentsGuggenheim Managed Futures Strategy-2%5%
AQR Capital ManagementAQR Managed Futures HV Strategy-3%-5%
Campbell & CompanyCampbell Dynamic Trend Fund-3%3%
First Quadrant LPFQ Macro FX – 10% Risk-3%-7%
Equinox Fund ManagementMutualHedge Futures Strategy-3%7%
Graham Capital Mgmt LPTactical Trend-3%15%
GSA Capital PartnersGSA Trend Fund-4%-5%
Rational AdvisorsRational/ReSolve Adaptive Asset Allc-4%16%
Man AHLAmerican Beacon AHL Mgd Futs Strat Instl-5%-5%
GuidePathManaged Futures Strat-5%2%
Chesapeake Capital CorporationEquinox Chesapeake Strategy-6%-8%
PanAgoraPanAgora Managed Futures Strategy-7%-10%

Photo by Levi Bare on Unsplash