February Early Return Estimates

Based on a very limited sample of managers with daily report, we note that there was some managers that delivered crisis alpha, while other clearly did not. For a few of the funds, returns may not yet be final and we may update them throughout the month. This may indicate that the returns were less bad than indicated by our daily index (https://nilssonhedge.com/index/daily-indices/daily-cta-index/). The average return is -1%, taking the year-to-date results to approximately flat. If you are up for the year, you are ahead of the pack.

We will continue to update returns throughout the month.

ManagerProgramFebJanYTD
Claughton CapitalARP Institutional Program10%4%14%
First Quadrant LPFQ Macro FX – 10% Risk4%1%5%
LoCorr Fund ManagementLong/Short Commodity Strats3%4%7%
Man AHLAmerican Beacon AHL Mgd Futs Strat Instl3%-1%2%
PIMCOTrends Composite2%-2%1%
GSA Capital PartnersGSA Trend Fund2%0%2%
Aspect Capital LimitedAspect Core Trend Fund2%-1%1%
Gresham Investment ManagementManaged Futures Strat2%1%3%
Campbell & CompanyManaged Futures1%6%7%
Abbey CapitalAbbey Capital Futures Strategy1%0%1%
AlphaSimplex GroupManaged Futures Composite1%0%1%
Goldman Sach ManagementGoldman Sachs Mngd Futures Strat Instl0%-2%-1%
GuidePathManaged Futures Strat0%1%1%
Altegris AdvisorsEvolution0%1%1%
AQR Capital ManagementAQR Managed Futures0%-2%-2%
1512 SG Capital Management AGSt.Gallen I Counter-Trend (gross) (daily)0%1%1%
Guggenheim InvestmentsGuggenheim Managed Futures Strategy0%2%2%
AQR Capital ManagementAQR Managed Futures HV Strategy0%-3%-3%
PanAgoraPanAgora Managed Futures Strategy0%3%3%
FS InvestmentsManaged Futures0%2%2%
LoCorr Fund ManagementLoCorr Macro Strategies-1%1%1%
Altegris AdvisorsManaged Futures-1%1%1%
Allianz Global InvestorsManaged Futures Strategy-1%2%1%
Superfund Capital ManagementManaged Futures Strategy-1%4%3%
James AlphaMacro-1%0%-2%
Campbell & CompanyCampbell Dynamic Trend Fund-2%1%0%
ColumbiaManaged Futures Strategy Fund-2%-3%-5%
PIMCOEm Mkts Ccy and S/T Invsmt (daily)-2%-2%-4%
Catalyst Capital AdvisorsMulti-Strategy-3%2%-1%
Equinox Fund ManagementMutualHedge Futures Strategy-3%3%-1%
Graham Capital Mgmt LPTactical Trend-4%-1%-4%
Equinox Fund ManagementEquinox Ampersand Strategy Fund-4%3%-1%
Rational AdvisorsRational/ReSolve Adaptive Asset Allc-5%7%2%
Dunn Capital ManagementManaged Futures Strategy (Arrow)-6%1%-5%
Longboard Asset Management LPManaged Futures Strategy-6%4%-3%
Chesapeake Capital CorporationEquinox Chesapeake Strategy-6%2%-4%
Dorsey WrightDWA Tactical-9%0%-9%
361 Capital361 Managed Futures Strategy Fund-9%-1%-10%
361 Capital361 Global Managed Futures Strategy Fund-11%-1%-12%

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