Based on early data, from a selected few strategies based on daily data, it seems as if CTAs finished the month of January with a positive return. Largely not due to positive tail risk protection, but due to the early gains throughout the beginning of the euphoric start to the year. What looked like a solid month, until the Corona (NCoV 2019) virus introduced risk aversion throughout the system, not even an FOMC meeting was sufficient to turn market around. CTAs are now reducing equity exposure while increasing bond exposure.
We estimate that the January performance was around 70 bps. In itself, not a bad result. From the look of it, CTAs are long equities but also long bonds, but to a much lesser extent. Sector allocation seems to have been one of the drivers of returns. The more bonds, the better.
Below is a list of early indicative results for a sample set of managers. This list is far from exhaustive and should only serve as an indication.
| Manager | Program | Jan |
| Rational Advisors | Rational/ReSolve Adaptive Asset Allc | 7.1% |
| Campbell & Company | Managed Futures | 5.3% |
| Superfund Capital Management | Managed Futures Strategy | 4.3% |
| LoCorr Fund Management | Long/Short Commodity Strats | 4.0% |
| Longboard Asset Management LP | Managed Futures Strategy | 3.5% |
| PanAgora | PanAgora Managed Futures Strategy | 3.0% |
| Equinox Fund Management | Equinox Ampersand Strategy Fund | 3.0% |
| Equinox Fund Management | MutualHedge Futures Strategy | 2.6% |
| Chesapeake Capital Corporation | Equinox Chesapeake Strategy | 2.3% |
| Guggenheim Investments | Guggenheim Managed Futures Strategy | 2.1% |
| Catalyst Capital Advisors | Multi-Strategy | 2.0% |
| FS Investments | Managed Futures | 2.0% |
| Allianz Global Investors | Managed Futures Strategy | 1.8% |
| Campbell & Company | Campbell Dynamic Trend Fund | 1.4% |
| Gresham Investment Management | Managed Futures Strat | 1.4% |
| LoCorr Fund Management | LoCorr Macro Strategies | 1.3% |
| Altegris Advisors | Managed Futures | 1.2% |
| Altegris Advisors | Evolution | 1.1% |
| First Quadrant LP | FQ Macro FX – 10% Risk | 1.0% |
| Steben | Managed Futures Strategy | 0.9% |
| Dunn Capital Management | Managed Futures Strategy (Arrow) | 0.8% |
| GuidePath | Managed Futures Strat | 0.6% |
| AlphaSimplex Group | Managed Futures Composite | 0.3% |
| GSA Capital Partners | GSA Trend Fund | 0.1% |
| P/E Investments | FX Strategy – Standard | 0.0% |
| James Alpha | Macro | 0.0% |
| Graham Capital Mgmt LP | Tactical Trend | -0.1% |
| Goldman Management | Navigator Fund | -0.3% |
| Abbey Capital | Abbey Capital Futures Strategy | -0.3% |
| Dorsey Wright | DWA Tactical | -0.4% |
| Man AHL | American Beacon AHL Mgd Futs Strat Instl | -0.5% |
| Aspect Capital Limited | Aspect Core Trend Fund | -0.6% |
| 361 Capital | 361 Managed Futures Strategy Fund | -0.8% |
| 361 Capital | 361 Global Managed Futures Strategy Fund | -1.5% |
| PIMCO | Trends Composite | -1.6% |
| Goldman Sach Management | Goldman Sachs Mngd Futures Strat Instl | -1.7% |
| AQR Capital Management | AQR Managed Futures | -1.7% |
| IPM Informed Portfolio Management | IPM Systematic Macro (daily) | -1.7% |
| PIMCO | Em Mkts Ccy and S/T Invsmt (daily) | -1.8% |
| Columbia | Managed Futures Strategy Fund | -2.6% |
| AQR Capital Management | AQR Managed Futures HV Strategy | -2.7% |