Early Estimates – April 2020

The early estimate for April can be found below. On average, a slightly positive month for early reporting CTA strategies.

ManagerProgramAprilMarchYTD
Dorsey WrightDWA Tactical7.9%-11%-13%
LinnisLinnis ONE LP7.2%-7%9%
Equinox Fund ManagementEquinox Ampersand Strategy Fund6.7%-16%-17%
LupusAlpha Volatility Risk4.5%-17%-18%
Lynx Asset ManagementLynx3.9%-3%-3%
RV CapitalAsia Opportunity3.8%-7%-1%
LupusAlpha Volatility Invest3.5%-9%-10%
Plus EV CapitalRaise Alpha Prog3.2%3%12%
Quantica Capital AGManaged Futures Program3.1%-4%-4%
LemanikGlobal Strategy3.1%7%16%
GT Capital CTASystematic Day Trading3.0%20%25%
Graham Capital Mgmt LPTactical Trend2.9%-2%-5%
James AlphaMacro2.8%-8%-8%
BNP TheamQuant Volatility2.8%-17%-22%
PacificG10 macro rates2.6%0%3%
M & G Investment ManagementEpisode Macro Fund2.6%-4%-4%
Millburn Ridegfield CorporationDiversified Program2.5%-12%-15%
LoCorr Fund ManagementLoCorr Macro Strategies2.4%-3%1%
BridgewaterCore Global2.3%-13%-14%
Transtrend BVTulip Trend Fund2.2%-4%-6%
TresidesTotal Return Commodities2.1%1%0%
AmundiAbsolute Volatility Euro2.1%6%17%
WellingtonGlobal Currency Absolute2.1%3%8%
Dunn Capital ManagementDUNN WMA Institutional (ML Capital) UCITS B1.9%4%2%
Fort LPGlobal Futures1.9%-13%-7%
PIMCOEm Mkts Ccy and S/T Invsmt (daily)1.8%-10%-11%
GT Capital CTADynamic Trading (Client)1.8%15%13%
AmundiGlobal Macro Bonds1.7%-4%-2%
Ocean AretoArete Macro (Keplar)1.7%2%2%
John Locke InvestmentsCyril Systematic UCITS Fund1.6%4%11%
Superfund Capital ManagementManaged Futures Strategy1.3%2%7%
361 Capital361 Global Managed Futures Strategy Fund1.3%2%-9%
AmundiGlobal Macro Bonds Low Vol1.2%-5%-4%
AmundiAbsolute Volatility World1.2%12%25%
Fort LPGlobal Diversified UCITS1.1%-14%-12%
Equinox Fund ManagementMutualHedge Futures Strategy1.0%-10%-10%
Rational AdvisorsRational/ReSolve Adaptive Asset Allc1.0%-7%-4%
BlackrockMacro Opportunities0.9%-5%-4%
Crabel Capital MgmtCrabel Gemini0.9%2%4%
Fort LPGlobal Contrarian UCITS0.7%-4%-3%
Guggenheim InvestmentsGuggenheim Managed Futures Strategy0.7%0%2%
AmundiGlobal Macro Forex0.7%-2%-2%
Cantab Capital PartnersCCP Core Macro0.7%-4%-5%
Dunn Capital ManagementManaged Futures Strategy (Arrow)0.7%8%3%
Fort LPGlobal Trend UCITS0.6%-7%0%
Quest PartnersAlphaQuest (ML Capital)0.6%6%9%
Altegris AdvisorsEvolution0.5%-10%-11%
Chesapeake Capital CorporationEquinox Chesapeake Strategy0.5%-3%-7%
MainfirstContrarian Opportunities0.5%-10%-10%
Winton Capital ManagementDiversified Fund0.5%-7%-11%
Graham Capital Mgmt LPGraham Macro UCITS0.5%8%6%
Tendance FinanceNext AM Fund0.5%15%20%
LoCorr Fund ManagementLong/Short Commodity Strats0.4%8%16%
Fulcrum Asset ManagementMulti Asset Trend Fund0.3%-6%-4%
SalusAlpha Directional Markets0.2%3%13%
Catalyst Capital AdvisorsMulti-Strategy0.2%-5%-7%
AQR Capital ManagementManaged Futures UCITS0.2%6%2%
Winton Capital ManagementAbsolute Return Futures0.1%-4%-7%
1512 SG Capital Management AGSt.Gallen I Counter-Trend (gross) (daily)0.1%-3%-3%
Neuberger Berman GroupDiversified Currency0.1%0%-1%
Conservative Concept AGAthena UI (UCITS)0.1%5%5%
Capital Fund ManagementIS Trends Fund0.0%-2%-1%
AXA ChorusSystematic Macro0.0%-6%-4%
AQR Capital ManagementGlobal Macro Opportunities0.0%1%-5%
WG Wealth GuardianSAFI2 Program-0.1%0%6%
IPM Informed Portfolio ManagementIPM Systematic Macro-0.1%-4%-11%
GuidePathManaged Futures Strat-0.1%7%8%
Abbey CapitalAbbey Capital Futures Strategy-0.2%4%5%
Gresham Investment ManagementManaged Futures Strat-0.2%1%4%
FS InvestmentsManaged Futures-0.2%11%11%
AQR Capital ManagementAQR Managed Futures-0.2%5%3%
Metori Capital ManagementEpsilon Global Trend (Lyxor)-0.3%3%7%
Winton Capital ManagementWinton Futures Fund-0.3%-4%-10%
Claughton CapitalARP Institutional Program-0.3%17%33%
LumynaEnhanced Equity Volatility-0.4%-10%-17%
Warrington Asset ManagementStrategic-0.4%0%-1%
Aspect Capital LimitedAspect Core Trend Fund-0.4%4%5%
TRYCON GCMTungsten Trycon Basic-0.4%3%3%
Crabel Capital MgmtCrabel Advanced Trend-0.4%8%17%
AQR Capital ManagementAQR Managed Futures HV Strategy-0.5%8%5%
AlphaSimplex GroupManaged Futures Composite-0.5%5%4%
QCAM Currency Asset Management AGTotal Intelligence Vol 10-0.5%15%21%
BerenbergDymacs Volatility Premium-0.5%-19%-28%
Aspect Capital LimitedDiversified Program-0.6%0%0%
Absolute InsightCurrency-0.6%2%1%
Campbell & CompanyManaged Futures-0.7%-1%6%
Systematica InvestmentsBlueTrend Fund-0.8%5%9%
Goldman Sach ManagementGoldman Sachs Mngd Futures Strat Instl-0.8%4%2%
PIMCOTrends Composite-0.8%6%6%
Allianz Global InvestorsManaged Futures Strategy-0.8%-6%-7%
Winton Capital ManagementWinton Futures Fund (Lyxor)-0.9%-8%-8%
ColumbiaManaged Futures Strategy Fund-1.2%3%-3%
Man AHLAmerican Beacon AHL Mgd Futs Strat Instl-1.2%6%7%
UnigestionCross Asset Trend Follower-1.3%2%-4%
Goldman SachsAlternative Trend-1.4%2%0%
Salus Alpha CapitalDirectional Markets (DMX)-1.4%4%14%
Longboard Asset Management LPManaged Futures Strategy-1.5%7%2%
First Quadrant LPFQ Macro FX – 10% Risk-1.8%13%17%
Campbell & CompanyCampbell Dynamic Trend Fund-1.9%3%1%
Winton Capital ManagementWinton Trend Fund-1.9%5%3%
ADG Capital ManagementADG Systematic Macro-2.1%1%-6%
Aspect Capital LimitedAspect Systematic Global Macro-2.2%-3%1%
Man AHLAHL Diversity Alternative-2.7%6%0%
SEB GroupAsset Selection-3.1%1%-5%
CrossBorder CapitalAR Systematic Macro Strategy-3.2%5%8%
Man AHLAHL Trend Alternative-3.3%8%0%
PanAgoraPanAgora Managed Futures Strategy-3.3%1%1%
UBSCurrency Allocation Return-4.3%-16%-22%
Garraway Capital ManagementGarraway Financial Trends-4.9%6%1%
WG Wealth GuardianQT Program-4.9%36%47%
361 Capital361 Managed Futures Strategy Fund-5.2%-5%-19%
ecamos Capital AGecamos Core Strategy 2X-7.3%-21%-30%
Tiber CapitalTiber Diversified Prog-7.6%3%-12%

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