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CTA Results January 2020 – Early Preview

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.

Rational AdvisorsRational/ReSolve Adaptive Asset Allc7.1%
Campbell & CompanyManaged Futures5.3%
Superfund Capital ManagementManaged Futures Strategy4.3%
LoCorr Fund ManagementLong/Short Commodity Strats4.0%
Longboard Asset Management LPManaged Futures Strategy3.5%
PanAgoraPanAgora Managed Futures Strategy3.0%
Equinox Fund ManagementEquinox Ampersand Strategy Fund3.0%
Equinox Fund ManagementMutualHedge Futures Strategy2.6%
Chesapeake Capital CorporationEquinox Chesapeake Strategy2.3%
Guggenheim InvestmentsGuggenheim Managed Futures Strategy2.1%
Catalyst Capital AdvisorsMulti-Strategy2.0%
FS InvestmentsManaged Futures2.0%
Allianz Global InvestorsManaged Futures Strategy1.8%
Campbell & CompanyCampbell Dynamic Trend Fund1.4%
Gresham Investment ManagementManaged Futures Strat1.4%
LoCorr Fund ManagementLoCorr Macro Strategies1.3%
Altegris AdvisorsManaged Futures1.2%
Altegris AdvisorsEvolution1.1%
First Quadrant LPFQ Macro FX – 10% Risk1.0%
StebenManaged Futures Strategy0.9%
Dunn Capital ManagementManaged Futures Strategy (Arrow)0.8%
GuidePathManaged Futures Strat0.6%
AlphaSimplex GroupManaged Futures Composite0.3%
GSA Capital PartnersGSA Trend Fund0.1%
P/E InvestmentsFX Strategy – Standard0.0%
James AlphaMacro0.0%
Graham Capital Mgmt LPTactical Trend-0.1%
Goldman ManagementNavigator Fund-0.3%
Abbey CapitalAbbey Capital Futures Strategy-0.3%
Dorsey WrightDWA Tactical-0.4%
Man AHLAmerican Beacon AHL Mgd Futs Strat Instl-0.5%
Aspect Capital LimitedAspect Core Trend Fund-0.6%
361 Capital361 Managed Futures Strategy Fund-0.8%
361 Capital361 Global Managed Futures Strategy Fund-1.5%
PIMCOTrends Composite-1.6%
Goldman Sach ManagementGoldman Sachs Mngd Futures Strat Instl-1.7%
AQR Capital ManagementAQR Managed Futures-1.7%
IPM Informed Portfolio ManagementIPM Systematic Macro (daily)-1.7%
PIMCOEm Mkts Ccy and S/T Invsmt (daily)-1.8%
ColumbiaManaged Futures Strategy Fund-2.6%
AQR Capital ManagementAQR Managed Futures HV Strategy-2.7%

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