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.
| Manager | Program | Feb | Jan | YTD |
| Claughton Capital | ARP Institutional Program | 10% | 4% | 14% |
| First Quadrant LP | FQ Macro FX – 10% Risk | 4% | 1% | 5% |
| LoCorr Fund Management | Long/Short Commodity Strats | 3% | 4% | 7% |
| Man AHL | American Beacon AHL Mgd Futs Strat Instl | 3% | -1% | 2% |
| PIMCO | Trends Composite | 2% | -2% | 1% |
| GSA Capital Partners | GSA Trend Fund | 2% | 0% | 2% |
| Aspect Capital Limited | Aspect Core Trend Fund | 2% | -1% | 1% |
| Gresham Investment Management | Managed Futures Strat | 2% | 1% | 3% |
| Campbell & Company | Managed Futures | 1% | 6% | 7% |
| Abbey Capital | Abbey Capital Futures Strategy | 1% | 0% | 1% |
| AlphaSimplex Group | Managed Futures Composite | 1% | 0% | 1% |
| Goldman Sach Management | Goldman Sachs Mngd Futures Strat Instl | 0% | -2% | -1% |
| GuidePath | Managed Futures Strat | 0% | 1% | 1% |
| Altegris Advisors | Evolution | 0% | 1% | 1% |
| AQR Capital Management | AQR Managed Futures | 0% | -2% | -2% |
| 1512 SG Capital Management AG | St.Gallen I Counter-Trend (gross) (daily) | 0% | 1% | 1% |
| Guggenheim Investments | Guggenheim Managed Futures Strategy | 0% | 2% | 2% |
| AQR Capital Management | AQR Managed Futures HV Strategy | 0% | -3% | -3% |
| PanAgora | PanAgora Managed Futures Strategy | 0% | 3% | 3% |
| FS Investments | Managed Futures | 0% | 2% | 2% |
| LoCorr Fund Management | LoCorr Macro Strategies | -1% | 1% | 1% |
| Altegris Advisors | Managed Futures | -1% | 1% | 1% |
| Allianz Global Investors | Managed Futures Strategy | -1% | 2% | 1% |
| Superfund Capital Management | Managed Futures Strategy | -1% | 4% | 3% |
| James Alpha | Macro | -1% | 0% | -2% |
| Campbell & Company | Campbell Dynamic Trend Fund | -2% | 1% | 0% |
| Columbia | Managed Futures Strategy Fund | -2% | -3% | -5% |
| PIMCO | Em Mkts Ccy and S/T Invsmt (daily) | -2% | -2% | -4% |
| Catalyst Capital Advisors | Multi-Strategy | -3% | 2% | -1% |
| Equinox Fund Management | MutualHedge Futures Strategy | -3% | 3% | -1% |
| Graham Capital Mgmt LP | Tactical Trend | -4% | -1% | -4% |
| Equinox Fund Management | Equinox Ampersand Strategy Fund | -4% | 3% | -1% |
| Rational Advisors | Rational/ReSolve Adaptive Asset Allc | -5% | 7% | 2% |
| Dunn Capital Management | Managed Futures Strategy (Arrow) | -6% | 1% | -5% |
| Longboard Asset Management LP | Managed Futures Strategy | -6% | 4% | -3% |
| Chesapeake Capital Corporation | Equinox Chesapeake Strategy | -6% | 2% | -4% |
| Dorsey Wright | DWA Tactical | -9% | 0% | -9% |
| 361 Capital | 361 Managed Futures Strategy Fund | -9% | -1% | -10% |
| 361 Capital | 361 Global Managed Futures Strategy Fund | -11% | -1% | -12% |
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