Returns for CTAs over $100mn

We extract returns from Manager and Programs with more than $100 under management (estimated). The results can be seen below. We note that at the end of April, this group of managers had extracted approximately $1.4bn from the markets. With estimated assets for this group is around $130bn, this takes returns to 1.4% for the year.

There is no tendency, at least not in this sample, for “small, but large” managers to have better performance than their larger peers. Those tendencies may exist on longer time frames but a YTD basis. The full data can be seen below.

ManagerProgramAprilYTDAUMbn
ADG Capital ManagementADG Systematic Macro-2.1%-6.3%0.66
Alder CapitalAlder Global 200.3%9.8%0.12
AlphaSimplex GroupManaged Futures Composite-0.3%5.1%4.69
AltiqFutures Program-2.2%10.0%0.37
Altis Partners Jersey LimitedPureTrend Portfolio-2.8%9.8%0.26
AmundiAbsolute Volatility Euro2.2%17.0%0.13
AmundiAbsolute Volatility World0.4%23.5%0.36
AmundiGlobal Macro Forex0.7%-2.5%0.22
AQR Capital ManagementAlternative Trends Strategy3.3%13.7%0.14
AQR Capital ManagementAQR Managed Futures-0.3%3.6%5.45
AQR Capital ManagementAQR Managed Futures HV Strategy-0.5%4.9%1.88
AQR Capital ManagementManaged Futures UCITS0.2%2.3%0.52
Arctic Blue CapitalInuvik Strategy-0.4%4.1%0.11
ARP InvestmentsARP Systematic Alpha-2.2%9.2%2.01
Artemis Capital ManagementHedgehog-7.3%2.7%0.1
Artemis Capital ManagementVega Fund-5.0%21.0%0.16
Aspect Capital LimitedAspect Core Trend Fund-0.6%4.5%1.46
Aspect Capital LimitedAspect Systematic Global Macro-1.5%1.5%0.77
Aspect Capital LimitedAspect Tactical Opportunities-2.3%11.9%0.2
Aspect Capital LimitedDiversified Program-1.1%-0.1%2.81
Aspect Capital LimitedDynamic Currency Hedging-0.3%-0.4%1.89
AXA ChorusSystematic Macro0.0%-4.1%0.17
BH-DG Systematic TradingBH-DG Systematic Trading Fund-1.9%6.5%0.9
Blue Diamond Asset ManagementBlue Diamond Non-Directional Strategy3.2%8.1%1.07
BridgewaterCore Global2.6%-14.1%0.82
Campbell & CompanyAbsolute Return Portfolio0.5%-3.3%0.35
Campbell & CompanyCore Trend w/ Dynamic Risk Targeting-3.6%0.0%0.47
Campbell & CompanyManaged Futures-0.3%6.0%1.58
Cantab Capital PartnersCCP Core Macro0.7%-5.5%1.2
Cantab Capital PartnersCCP Quant Fund0.1%-20.2%0.26
Capital Fund ManagementIS Trends Fund0.3%-0.8%0.19
CoreCommodity ManagementDiversified Portable Alpha0.5%1.2%0.25
CoreCommodity ManagementFounders Absolute Return (FAR)5.2%-20.0%0.31
Crabel Capital MgmtCrabel Advanced Trend-0.1%17.7%0.89
Crabel Capital MgmtCrabel Contra 1x-1.6%11.7%0.24
Crabel Capital MgmtCrabel Gemini0.9%4.1%1.82
Crabel Capital MgmtCrabel Multi-Product0.0%1.7%2.1
Crabel Capital MgmtCrabel Multi-Product 1.5X AA-0.1%2.3%2.1
Crabel Capital MgmtCrabel WPD Futures0.5%-2.4%0.36
Drury CapitalDiversified Trend-Following Program0.3%-0.4%0.23
Dunn Capital ManagementDUNN WMA Institutional (ML Capital) UCITS B1.9%1.9%0.31
Dunn Capital ManagementWorld Monetary0.6%2.2%0.52
Dunn Capital ManagementWorld Monetary Institutional0.2%1.4%0.4
Eckhardt Trading CompanyEvolution Strategy0.4%9.9%0.1
Eclipse Capital ManagementGlobal Alpha-1.1%3.7%0.14
Eclipse Capital ManagementTactical Alpha Program-1.2%-3.9%0.15
Efficient Capital ManagementDiversified Fund LV0.0%-0.3%0.17
EMC Capital AdvisorsAlpha Program0.9%1.8%0.24
Episteme Capital PartnersSystematic Quest0.3%2.5%0.73
Estlander & PartnersAlpha Trend0.5%8.9%0.11
First Quadrant LPFQ Macro FX – 10% Risk-2.3%15.5%0.23
First Quadrant LPFQ Macro FX – 20% Risk-5.6%39.4%0.2
First Quadrant LPTactical Currency Allocation L/S 2%-0.6%3.3%1.8
Fort LPGlobal Contrarian0.8%-2.8%2.67
Fort LPGlobal Contrarian UCITS0.9%-2.4%0.39
Fort LPGlobal Diversified1.0%-8.8%0.69
Fort LPGlobal Diversified UCITS1.1%-11.5%0.18
Fort LPGlobal Futures1.7%-7.6%2.05
Fort LPGlobal Trend0.3%4.2%0.27
Global Sigma GroupAGSF1.2%3.7%0.26
Goldman ManagementNavigator Fund5.9%-13.6%0.17
Goldman SachsAlternative Trend-1.3%0.0%0.25
Graham Capital Mgmt LPGraham Macro UCITS-0.6%4.6%0.18
Graham Capital Mgmt LPGraham Quant Macro Strategy2.0%-9.8%3.02
Graham Capital Mgmt LPK4D-10V2.7%-8.6%1.05
Graham Capital Mgmt LPK4D-15V (Composite)3.9%-13.8%1.05
Graham Capital Mgmt LPTactical Trend2.0%-5.5%4.64
Graham Capital Mgmt LPTactical Trend Capped Equity1.4%6.4%4.64
Greenwave Capital ManagementFlagship Plus-1.7%1.4%0.22
Greenwave Capital ManagementFlagship Plus 2X-3.3%3.4%0.22
Gresham Investment ManagementGreshamQuant Acar-1.2%10.1%0.46
GSA Capital PartnersGSA Trend Fund-1.2%4.3%1.86
H2O AMForce 102.3%-33.0%0.6
IPM Informed Portfolio ManagementIPM Systematic Currency2.4%-8.1%0.11
IPM Informed Portfolio ManagementIPM Systematic Macro-0.7%-11.2%2.51
ISAMISAM Systematic Trend 2x0.1%12.6%3.58
J E MoodyCommodity Relative Value-0.2%12.2%0.61
J E MoodyCommodity Relative Value 3X-1.0%41.7%0.61
John Street CapitalTrident Strategy-1.8%5.4%2.33
Kaiser Trading GroupKaiser Trading Group Pty. Ltd.-2.7%-0.4%0.26
KeyQuant SASKey Trends 15 Composite-0.2%-2.6%0.3
KeyQuant SASKey Trends Program-0.2%-3.5%0.3
LemanikGlobal Strategy3.1%15.8%0.34
LGT Capital PartnersLGT Dynamic Protection UCITS-1.2%23.3%0.43
LupusAlpha Volatility Risk4.1%-18.3%0.16
Lynx Asset ManagementConstellation2.2%-2.2%0.13
Lynx Asset ManagementLynx2.6%-4.4%4.6
Lynx Asset ManagementLynx 1.5x3.5%-6.8%0.22
MainfirstContrarian Opportunities0.6%-10.1%0.15
Man AHLAHL Alpha1.0%6.4%6.5
Man AHLAHL Dimension-1.0%-5.4%5.6
Man AHLAHL Diversified-2.4%6.0%1.5
Man AHLAHL Diversified Guernsey-2.3%6.1%1.5
Man AHLAHL Diversity Alternative-2.5%0.6%0.18
Man AHLAHL Evolution-0.6%-0.6%3.8
Man AHLAHL Trend Alternative-3.1%-0.1%0.48
Massar Capital Management LPMassar Macro Commodity11.3%26.0%0.29
Metori Capital ManagementEpsilon Global Trend (Lyxor)-0.3%7.0%0.52
Metori Capital ManagementEpsilon Managed Futures (Lyxor)0.6%10.4%0.47
Millburn Ridegfield CorporationCommodity Program1.2%17.8%0.32
Millburn Ridegfield CorporationDiversified Program3.2%-15.0%3.18
Mondiale Asset ManagementLeveraged Trading Proram0.5%10.5%0.29
Mulvaney Capital ManagementGlobal Diversified Program-0.5%14.5%0.15
Ocean AretoArete Macro (Keplar)3.2%3.3%0.37
Pan Capital Management LPEnergy Fund11.3%11.9%0.21
PIMCOTrends Composite-0.8%6.2%0.7
QMS Capital Management LPDiversified Global Macro3.7%-2.8%2.02
QMS Capital Management LPFinancials-Only Global Macro Strat.1.9%-4.8%0.11
Quantica Capital AGManaged Futures Program3.3%-3.9%0.66
Quantitative Investment ManagementGlobal Program-1.6%-3.2%1.12
Quantitative Investment ManagementGlobal Program 3x-4.7%-13.7%0.16
Quantix Commodities LPQuantix Commodity Alpha3.7%14.6%0.11
Quest PartnersAlphaQuest Original-0.2%17.2%1.5
Ramsey Quantitative SystemsRQSI GAA Systematic Global Macro Fund1.4%-13.6%0.48
Revolution Capital ManagementGlobal Alpha Program0.0%23.6%0.24
Revolution Capital ManagementMosaic Institutional Program-0.9%16.1%0.14
RG Niederhoffer Capital ManagementDiversified Program1.1%26.4%0.27
Rhicon Currency Management PteStrategic Prog-1.7%4.9%0.36
ROW Asset ManagementDiversified 2X-3.3%21.3%0.36
ROW Asset ManagementDiversified Program-1.8%10.2%1.24
RV CapitalAsia Opportunity4.2%-0.8%0.19
SCT Capital ManagementAdaptive Quant Trading4.0%1.3%0.37
SEB GroupAsset Selection-3.1%-5.1%0.56
Statar CapitalNatural Gas Strategy13.6%27.8%0.74
Systematica InvestmentsBlueTrend Fund-2.2%7.8%2.42
Systematica InvestmentsSystematica Synergy-0.9%-12.0%0.12
TradeLink CapitalTradelink Flagship0.8%11.3%0.16
Transtrend BVEnhanced Risk1.6%-0.9%2.82
Transtrend BVTulip Trend Fund2.3%-5.7%0.13
Trigon Investment AdvisorsDiscretionary Macro0.4%-0.8%0.25
Tudor Investment CorpTudor Momentum Fund Ltd.0.9%-6.4%0.41
UBSCurrency Allocation Return-2.4%-20.3%0.32
Wadhwani Asset ManagementKeynes Dynamic Beta Strategy-0.1%-4.4%0.11
Wadhwani Asset ManagementKeynes Leveraged Quantitative Strategies0.3%-2.3%0.44
Welton Investment PartnersGlobal Directional Portfolio-0.9%11.9%0.62
Welton Investment PartnersWelton Trend Program-0.4%5.8%0.19
Willowbridge AssociateswPraxis Enhanced1.6%10.7%0.11
Winton Capital ManagementDiversified Fund0.2%-11.6%0.42
Winton Capital ManagementWinton Futures Fund-0.3%-10.5%0.61
WisdomTree InvestmentsManaged Futures Strategy Fund WTMF -ETF-1.5%-3.8%0.1

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