As highlighted earlier, there is large dispersion for CTAs throughout March. Some programs have done exceptionally well, others have returns that are (probably) below expectations. For larger managers, we note that there is dispersion and that “old school” trend only programs seem to have done better. On the positive side, CTAs look to have delivered positive numbers, but on the negative side, there is large dispersion and a high risk that not all investors are happy.
The NilssonHedge CTA index posted a small, but positive return for March. Return below are indicative and may contain errors. We also suspect that strongly performing funds have incentives to report returns early… and that some programs may have stopped reporting in March. The full list can be found below.
| Manager | Program | March | Feb | YTD |
| Purple Valley Capital | Diversified Trend 1 | 56% | 17% | 83% |
| QTS Capital Management | Chimera | 45% | 11% | 63% |
| QTS Capital Management | Tail Reaper | 45% | 13% | 63% |
| WG Wealth Guardian | QT Program | 36% | 12% | 55% |
| GT Capital CTA | Systematic Day Trading | 21% | 12% | 22% |
| WG Wealth Guardian | Trend Fix Portfolio | 19% | 6% | 28% |
| Claughton Capital | ARP Institutional Program | 17% | 10% | 33% |
| Tendance Finance | Next AM Fund | 15% | 4% | 19% |
| First Quadrant LP | FQ Macro FX – 10% Risk | 12% | 4% | 17% |
| FS Investments | Managed Futures | 11% | -2% | 11% |
| J8 Capital Management | J8 Global Absolute Return Strategy | 11% | 0% | 7% |
| Quality Capital Management | Global Diversified | 11% | 9% | 25% |
| Drury Capital | Diversified Trend-Following Program | 10% | -2% | -1% |
| Crabel Capital Mgmt | Crabel Advanced Trend | 9% | 4% | 19% |
| Graham Capital Mgmt LP | Graham Macro UCITS | 9% | -2% | 6% |
| LoCorr Fund Management | Long/Short Commodity Strats | 8% | 3% | 15% |
| AQR Capital Management | AQR Managed Futures HV Strategy | 8% | 0% | 5% |
| Dunn Capital Management | Managed Futures Strategy (Arrow) | 8% | -6% | 2% |
| Garraway Capital Management | Garraway Financial Trends | 8% | -1% | 7% |
| GuidePath | Managed Futures Strat | 7% | 0% | 8% |
| PIMCO | Trends Composite | 7% | 2% | 8% |
| Longboard Asset Management LP | Managed Futures Strategy | 7% | -6% | 3% |
| Systematica Investments | BlueTrend Fund | 7% | 4% | 11% |
| WG Wealth Guardian | Strategic Volatility Master Program | 6% | 0% | 7% |
| Othania Invest | Othania Invest AS | 6% | -10% | -5% |
| Quest Partners | AlphaQuest (ML Capital) | 6% | 1% | 9% |
| Man AHL | American Beacon AHL Mgd Futs Strat Instl | 6% | 3% | 8% |
| AQR Capital Management | Managed Futures UCITS | 6% | -1% | 2% |
| AQR Capital Management | AQR Managed Futures | 5% | 0% | 3% |
| CrossBorder Capital | AR Systematic Macro Strategy | 5% | 7% | 12% |
| Winton Capital Management | Winton Trend Fund | 5% | 0% | 6% |
| Adalpha Asset Management | Diversified Short-Term | 5% | 3% | 8% |
| Mondiale Asset Management | Leveraged Trading Proram | 5% | 2% | 10% |
| Amapa Capital Advisors | Amapa Investment Program | 5% | 0% | 4% |
| GSA Capital Partners | GSA Trend Fund | 5% | 1% | 6% |
| AlphaSimplex Group | Managed Futures Composite | 4% | 0% | 4% |
| Abbey Capital | Abbey Capital Futures Strategy | 4% | 1% | 5% |
| Goldman Sach Management | Goldman Sachs Mngd Futures Strat Instl | 4% | 1% | 3% |
| Aspect Capital Limited | Aspect Core Trend Fund | 4% | 2% | 5% |
| John Locke Investments | Cyril Systematic UCITS Fund | 4% | 2% | 9% |
| Schot Capital Limited | Multi Diversified Program | 3% | 3% | 9% |
| Columbia | Managed Futures Strategy Fund | 3% | -2% | -1% |
| Dunn Capital Management | DUNN WMA Institutional (ML Capital) UCITS B | 3% | -3% | 0% |
| Campbell & Company | Campbell Dynamic Trend Fund | 3% | -2% | 3% |
| TRYCON GCM | Tungsten Trycon Basic | 3% | 0% | 3% |
| Metori Capital Management | Epsilon Global Trend (Lyxor) | 3% | 1% | 7% |
| Tiber Capital | Tiber Diversified Prog | 3% | -6% | -5% |
| Crabel Capital Mgmt | Crabel Gemini | 2% | 1% | 4% |
| Applied Investments | Alpha Vol | 2% | 2% | 3% |
| 361 Capital | 361 Global Managed Futures Strategy Fund | 2% | -11% | -10% |
| Superfund Capital Management | Managed Futures Strategy | 2% | -1% | 5% |
| Absolute Insight | Currency | 2% | 1% | 2% |
| Aenaon Markets | Aenaon Syncro 1x | 2% | 2% | 4% |
| AQR Capital Management | Global Macro Opportunities | 1% | 0% | -5% |
| PanAgora | PanAgora Managed Futures Strategy | 1% | 0% | 4% |
| SEB Group | Asset Selection | 1% | -2% | -2% |
| Gresham Investment Management | Managed Futures Strat | 1% | 2% | 4% |
| Aspect Capital Limited | Diversified Program | 1% | 0% | 1% |
| Warrington Asset Management | Strategic | 0% | -1% | 0% |
| ADG Capital Management | ADG Systematic Macro | 0% | -2% | -5% |
| Crediton Hill | Managed Account | 0% | 1% | 2% |
| WG Wealth Guardian | GVR Program | 0% | -1% | -1% |
| WG Wealth Guardian | Strategic Volatility Returns Program | 0% | 0% | -2% |
| WG Wealth Guardian | SAFI2 Program | 0% | 6% | 6% |
| Guggenheim Investments | Guggenheim Managed Futures Strategy | 0% | 0% | 2% |
| QTS Capital Management | VIX Timer | 0% | 0% | 1% |
| Campbell & Company | Managed Futures | 0% | 2% | 7% |
| Jyske Capital | FX Alpha | -1% | 0% | -2% |
| Altegris Advisors | Managed Futures | -1% | 0% | 0% |
| Global Sigma Group | Global Sigma Fund LP | -1% | -1% | -2% |
| LoCorr Fund Management | LoCorr Macro Strategies | -3% | -1% | -2% |
| Morris Capital Australia Pty | Morris Al | -3% | -1% | -2% |
| Graham Capital Mgmt LP | Tactical Trend | -3% | -5% | -8% |
| 1512 SG Capital Management AG | St.Gallen I Counter-Trend (gross) (daily) | -3% | 0% | -3% |
| Winton Capital Management | Absolute Return Futures | -3% | -3% | -6% |
| Chesapeake Capital Corporation | Equinox Chesapeake Strategy | -3% | -6% | -8% |
| Capital Fund Management | IS Trends Fund | -3% | -3% | -3% |
| Aspect Capital Limited | Aspect Systematic Global Macro | -4% | 5% | 3% |
| Quantica Capital AG | Managed Futures Program | -4% | -5% | -7% |
| CONTRENDIAN | CONTRENDIAN Master F | -4% | -7% | -10% |
| M & G Investment Management | Episode Macro Fund | -4% | -1% | -6% |
| Cantab Capital Partners | CCP Core Macro | -4% | -2% | -6% |
| Fort LP | Global Contrarian UCITS | -4% | -2% | -3% |
| Winton Capital Management | Winton Futures Fund | -5% | -3% | -8% |
| IPM Informed Portfolio Management | IPM Systematic Macro | -5% | -3% | -12% |
| 361 Capital | 361 Managed Futures Strategy Fund | -5% | -9% | -15% |
| Catalyst Capital Advisors | Multi-Strategy | -5% | -4% | -7% |
| Fulcrum Asset Management | Multi Asset Trend Fund | -6% | -3% | -4% |
| ecamos Capital AG | ecamos Core Strategy 2X | -6% | -6% | -10% |
| Allianz Global Investors | Managed Futures Strategy | -6% | -1% | -6% |
| Fort LP | Global Trend UCITS | -6% | 3% | 0% |
| Rational Advisors | Rational/ReSolve Adaptive Asset Allc | -7% | -5% | -5% |
| Winton Capital Management | Diversified Fund | -7% | -5% | -12% |
| LGT Capital Partners | LGT Crown Managed Futures | -7% | -3% | -9% |
| Transtrend BV | Tulip Trend Fund | -7% | -3% | -10% |
| James Alpha | Macro | -8% | -3% | -11% |
| Winton Capital Management | Winton Futures Fund (Lyxor) | -8% | -2% | -9% |
| Altegris Advisors | Evolution | -10% | -3% | -11% |
| Equinox Fund Management | MutualHedge Futures Strategy | -10% | -3% | -11% |
| PIMCO | Em Mkts Ccy and S/T Invsmt (daily) | -10% | -2% | -13% |
| Millburn Ridegfield Corporation | Diversified Program | -10% | -6% | -16% |
| Dorsey Wright | DWA Tactical | -11% | -9% | -20% |
| Fort LP | Global Diversified UCITS | -14% | -2% | -13% |
| Fort LP | Global Futures | -15% | 0% | -11% |
| Equinox Fund Management | Equinox Ampersand Strategy Fund | -16% | -10% | -22% |
| UBS | Currency Allocation Return | -18% | -2% | -20% |
| BNP Theam | Quant Volatility | -18% | -7% | -25% |
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