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March Intra-Month Results for CTAs

A quick check on the performance for CTA/Macro strategies. It seems as we are witnessing large dispersion across the field. More to follow as we are getting closer to the end of March. Some of the classic names have to done great and delivered strong offsetting returns. Some have not been able to catch the swings in March. Data is as of Monday the 23rd.

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PIMCOTrends Composite12%13%
Credit Suisse Asset ManagementManaged Futures Strategy Fund11%6%
FS InvestmentsManaged Futures10%10%
Dunn Capital ManagementManaged Futures Strategy (Arrow)9%4%
GuidePathManaged Futures Strat9%10%
Man AHLAmerican Beacon AHL Mgd Futs Strat Instl9%11%
AQR Capital ManagementAQR Managed Futures HV Strategy9%5%
Campbell & CompanyCampbell Dynamic Trend Fund6%6%
Goldman Sach ManagementGoldman Sachs Mngd Futures Strat Instl6%5%
AQR Capital ManagementAQR Managed Futures6%4%
Abbey CapitalAbbey Capital Futures Strategy5%6%
GSA Capital PartnersGSA Trend Fund4%6%
Aspect Capital LimitedAspect Core Trend Fund4%6%
PanAgora Asset ManagementPanAgora Managed Futures Strategy4%7%
LoCorr Fund ManagementLong/Short Commodity Strats4%11%
Gresham Investment ManagementManaged Futures Strat1%4%
Campbell & CompanyManaged Futures0%7%
Chesapeake Capital CorporationEquinox Chesapeake Strategy0%-4%
Altegris AdvisorsManaged Futures-1%0%
LoCorr Fund ManagementLoCorr Macro Strategies-5%-5%
Allianz Global InvestorsAllianzGI Managed Futures Strategy-5%-5%
Catalyst Capital AdvisorsMulti-Strategy-6%-7%
Graham Capital Mgmt LPTactical Trend-6%-10%
Rational AdvisorsRational/ReSolve Adaptive Asset Allc-8%-6%
Equinox Fund ManagementMutualHedge Futures Strategy-8%-9%
James AlphaMacro-9%-13%
361 Capital361 Global Managed Futures Strategy Fund-10%-21%
361 Capital361 Managed Futures Strategy Fund-16%-25%
USA MutualsUSA Mutuals Navigator Institutional-20%-27%
Dorsey WrightDWA Tactical-21%-29%
Equinox Fund ManagementEquinox Ampersand Strategy Fund-23%-28%

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