Early Estimates March 2020

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.

ManagerProgramMarchFebYTD
Purple Valley CapitalDiversified Trend 156%17%83%
QTS Capital ManagementChimera45%11%63%
QTS Capital ManagementTail Reaper45%13%63%
WG Wealth GuardianQT Program36%12%55%
GT Capital CTASystematic Day Trading21%12%22%
WG Wealth GuardianTrend Fix Portfolio19%6%28%
Claughton CapitalARP Institutional Program17%10%33%
Tendance FinanceNext AM Fund15%4%19%
First Quadrant LPFQ Macro FX – 10% Risk12%4%17%
FS InvestmentsManaged Futures11%-2%11%
J8 Capital ManagementJ8 Global Absolute Return Strategy11%0%7%
Quality Capital ManagementGlobal Diversified11%9%25%
Drury CapitalDiversified Trend-Following Program10%-2%-1%
Crabel Capital MgmtCrabel Advanced Trend9%4%19%
Graham Capital Mgmt LPGraham Macro UCITS9%-2%6%
LoCorr Fund ManagementLong/Short Commodity Strats8%3%15%
AQR Capital ManagementAQR Managed Futures HV Strategy8%0%5%
Dunn Capital ManagementManaged Futures Strategy (Arrow)8%-6%2%
Garraway Capital ManagementGarraway Financial Trends8%-1%7%
GuidePathManaged Futures Strat7%0%8%
PIMCOTrends Composite7%2%8%
Longboard Asset Management LPManaged Futures Strategy7%-6%3%
Systematica InvestmentsBlueTrend Fund7%4%11%
WG Wealth GuardianStrategic Volatility Master Program6%0%7%
Othania InvestOthania Invest AS6%-10%-5%
Quest PartnersAlphaQuest (ML Capital)6%1%9%
Man AHLAmerican Beacon AHL Mgd Futs Strat Instl6%3%8%
AQR Capital ManagementManaged Futures UCITS6%-1%2%
AQR Capital ManagementAQR Managed Futures5%0%3%
CrossBorder CapitalAR Systematic Macro Strategy5%7%12%
Winton Capital ManagementWinton Trend Fund5%0%6%
Adalpha Asset ManagementDiversified Short-Term5%3%8%
Mondiale Asset ManagementLeveraged Trading Proram5%2%10%
Amapa Capital AdvisorsAmapa Investment Program5%0%4%
GSA Capital PartnersGSA Trend Fund5%1%6%
AlphaSimplex GroupManaged Futures Composite4%0%4%
Abbey CapitalAbbey Capital Futures Strategy4%1%5%
Goldman Sach ManagementGoldman Sachs Mngd Futures Strat Instl4%1%3%
Aspect Capital LimitedAspect Core Trend Fund4%2%5%
John Locke InvestmentsCyril Systematic UCITS Fund4%2%9%
Schot Capital LimitedMulti Diversified Program3%3%9%
ColumbiaManaged Futures Strategy Fund3%-2%-1%
Dunn Capital ManagementDUNN WMA Institutional (ML Capital) UCITS B3%-3%0%
Campbell & CompanyCampbell Dynamic Trend Fund3%-2%3%
TRYCON GCMTungsten Trycon Basic3%0%3%
Metori Capital ManagementEpsilon Global Trend (Lyxor)3%1%7%
Tiber CapitalTiber Diversified Prog3%-6%-5%
Crabel Capital MgmtCrabel Gemini2%1%4%
Applied InvestmentsAlpha Vol2%2%3%
361 Capital361 Global Managed Futures Strategy Fund2%-11%-10%
Superfund Capital ManagementManaged Futures Strategy2%-1%5%
Absolute InsightCurrency2%1%2%
Aenaon MarketsAenaon Syncro 1x2%2%4%
AQR Capital ManagementGlobal Macro Opportunities1%0%-5%
PanAgoraPanAgora Managed Futures Strategy1%0%4%
SEB GroupAsset Selection1%-2%-2%
Gresham Investment ManagementManaged Futures Strat1%2%4%
Aspect Capital LimitedDiversified Program1%0%1%
Warrington Asset ManagementStrategic0%-1%0%
ADG Capital ManagementADG Systematic Macro0%-2%-5%
Crediton HillManaged Account0%1%2%
WG Wealth GuardianGVR Program0%-1%-1%
WG Wealth GuardianStrategic Volatility Returns Program0%0%-2%
WG Wealth GuardianSAFI2 Program0%6%6%
Guggenheim InvestmentsGuggenheim Managed Futures Strategy0%0%2%
QTS Capital ManagementVIX Timer0%0%1%
Campbell & CompanyManaged Futures0%2%7%
Jyske CapitalFX Alpha-1%0%-2%
Altegris AdvisorsManaged Futures-1%0%0%
Global Sigma GroupGlobal Sigma Fund LP-1%-1%-2%
LoCorr Fund ManagementLoCorr Macro Strategies-3%-1%-2%
Morris Capital Australia PtyMorris Al-3%-1%-2%
Graham Capital Mgmt LPTactical Trend-3%-5%-8%
1512 SG Capital Management AGSt.Gallen I Counter-Trend (gross) (daily)-3%0%-3%
Winton Capital ManagementAbsolute Return Futures-3%-3%-6%
Chesapeake Capital CorporationEquinox Chesapeake Strategy-3%-6%-8%
Capital Fund ManagementIS Trends Fund-3%-3%-3%
Aspect Capital LimitedAspect Systematic Global Macro-4%5%3%
Quantica Capital AGManaged Futures Program-4%-5%-7%
CONTRENDIANCONTRENDIAN Master F-4%-7%-10%
M & G Investment ManagementEpisode Macro Fund-4%-1%-6%
Cantab Capital PartnersCCP Core Macro-4%-2%-6%
Fort LPGlobal Contrarian UCITS-4%-2%-3%
Winton Capital ManagementWinton Futures Fund-5%-3%-8%
IPM Informed Portfolio ManagementIPM Systematic Macro-5%-3%-12%
361 Capital361 Managed Futures Strategy Fund-5%-9%-15%
Catalyst Capital AdvisorsMulti-Strategy-5%-4%-7%
Fulcrum Asset ManagementMulti Asset Trend Fund-6%-3%-4%
ecamos Capital AGecamos Core Strategy 2X-6%-6%-10%
Allianz Global InvestorsManaged Futures Strategy-6%-1%-6%
Fort LPGlobal Trend UCITS-6%3%0%
Rational AdvisorsRational/ReSolve Adaptive Asset Allc-7%-5%-5%
Winton Capital ManagementDiversified Fund-7%-5%-12%
LGT Capital PartnersLGT Crown Managed Futures-7%-3%-9%
Transtrend BVTulip Trend Fund-7%-3%-10%
James AlphaMacro-8%-3%-11%
Winton Capital ManagementWinton Futures Fund (Lyxor)-8%-2%-9%
Altegris AdvisorsEvolution-10%-3%-11%
Equinox Fund ManagementMutualHedge Futures Strategy-10%-3%-11%
PIMCOEm Mkts Ccy and S/T Invsmt (daily)-10%-2%-13%
Millburn Ridegfield CorporationDiversified Program-10%-6%-16%
Dorsey WrightDWA Tactical-11%-9%-20%
Fort LPGlobal Diversified UCITS-14%-2%-13%
Fort LPGlobal Futures-15%0%-11%
Equinox Fund ManagementEquinox Ampersand Strategy Fund-16%-10%-22%
UBSCurrency Allocation Return-18%-2%-20%
BNP TheamQuant Volatility-18%-7%-25%

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