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.
| Manager | Program | April | YTD | AUMbn |
| ADG Capital Management | ADG Systematic Macro | -2.1% | -6.3% | 0.66 |
| Alder Capital | Alder Global 20 | 0.3% | 9.8% | 0.12 |
| AlphaSimplex Group | Managed Futures Composite | -0.3% | 5.1% | 4.69 |
| Altiq | Futures Program | -2.2% | 10.0% | 0.37 |
| Altis Partners Jersey Limited | PureTrend Portfolio | -2.8% | 9.8% | 0.26 |
| Amundi | Absolute Volatility Euro | 2.2% | 17.0% | 0.13 |
| Amundi | Absolute Volatility World | 0.4% | 23.5% | 0.36 |
| Amundi | Global Macro Forex | 0.7% | -2.5% | 0.22 |
| AQR Capital Management | Alternative Trends Strategy | 3.3% | 13.7% | 0.14 |
| AQR Capital Management | AQR Managed Futures | -0.3% | 3.6% | 5.45 |
| AQR Capital Management | AQR Managed Futures HV Strategy | -0.5% | 4.9% | 1.88 |
| AQR Capital Management | Managed Futures UCITS | 0.2% | 2.3% | 0.52 |
| Arctic Blue Capital | Inuvik Strategy | -0.4% | 4.1% | 0.11 |
| ARP Investments | ARP Systematic Alpha | -2.2% | 9.2% | 2.01 |
| Artemis Capital Management | Hedgehog | -7.3% | 2.7% | 0.1 |
| Artemis Capital Management | Vega Fund | -5.0% | 21.0% | 0.16 |
| Aspect Capital Limited | Aspect Core Trend Fund | -0.6% | 4.5% | 1.46 |
| Aspect Capital Limited | Aspect Systematic Global Macro | -1.5% | 1.5% | 0.77 |
| Aspect Capital Limited | Aspect Tactical Opportunities | -2.3% | 11.9% | 0.2 |
| Aspect Capital Limited | Diversified Program | -1.1% | -0.1% | 2.81 |
| Aspect Capital Limited | Dynamic Currency Hedging | -0.3% | -0.4% | 1.89 |
| AXA Chorus | Systematic Macro | 0.0% | -4.1% | 0.17 |
| BH-DG Systematic Trading | BH-DG Systematic Trading Fund | -1.9% | 6.5% | 0.9 |
| Blue Diamond Asset Management | Blue Diamond Non-Directional Strategy | 3.2% | 8.1% | 1.07 |
| Bridgewater | Core Global | 2.6% | -14.1% | 0.82 |
| Campbell & Company | Absolute Return Portfolio | 0.5% | -3.3% | 0.35 |
| Campbell & Company | Core Trend w/ Dynamic Risk Targeting | -3.6% | 0.0% | 0.47 |
| Campbell & Company | Managed Futures | -0.3% | 6.0% | 1.58 |
| Cantab Capital Partners | CCP Core Macro | 0.7% | -5.5% | 1.2 |
| Cantab Capital Partners | CCP Quant Fund | 0.1% | -20.2% | 0.26 |
| Capital Fund Management | IS Trends Fund | 0.3% | -0.8% | 0.19 |
| CoreCommodity Management | Diversified Portable Alpha | 0.5% | 1.2% | 0.25 |
| CoreCommodity Management | Founders Absolute Return (FAR) | 5.2% | -20.0% | 0.31 |
| Crabel Capital Mgmt | Crabel Advanced Trend | -0.1% | 17.7% | 0.89 |
| Crabel Capital Mgmt | Crabel Contra 1x | -1.6% | 11.7% | 0.24 |
| Crabel Capital Mgmt | Crabel Gemini | 0.9% | 4.1% | 1.82 |
| Crabel Capital Mgmt | Crabel Multi-Product | 0.0% | 1.7% | 2.1 |
| Crabel Capital Mgmt | Crabel Multi-Product 1.5X AA | -0.1% | 2.3% | 2.1 |
| Crabel Capital Mgmt | Crabel WPD Futures | 0.5% | -2.4% | 0.36 |
| Drury Capital | Diversified Trend-Following Program | 0.3% | -0.4% | 0.23 |
| Dunn Capital Management | DUNN WMA Institutional (ML Capital) UCITS B | 1.9% | 1.9% | 0.31 |
| Dunn Capital Management | World Monetary | 0.6% | 2.2% | 0.52 |
| Dunn Capital Management | World Monetary Institutional | 0.2% | 1.4% | 0.4 |
| Eckhardt Trading Company | Evolution Strategy | 0.4% | 9.9% | 0.1 |
| Eclipse Capital Management | Global Alpha | -1.1% | 3.7% | 0.14 |
| Eclipse Capital Management | Tactical Alpha Program | -1.2% | -3.9% | 0.15 |
| Efficient Capital Management | Diversified Fund LV | 0.0% | -0.3% | 0.17 |
| EMC Capital Advisors | Alpha Program | 0.9% | 1.8% | 0.24 |
| Episteme Capital Partners | Systematic Quest | 0.3% | 2.5% | 0.73 |
| Estlander & Partners | Alpha Trend | 0.5% | 8.9% | 0.11 |
| First Quadrant LP | FQ Macro FX – 10% Risk | -2.3% | 15.5% | 0.23 |
| First Quadrant LP | FQ Macro FX – 20% Risk | -5.6% | 39.4% | 0.2 |
| First Quadrant LP | Tactical Currency Allocation L/S 2% | -0.6% | 3.3% | 1.8 |
| Fort LP | Global Contrarian | 0.8% | -2.8% | 2.67 |
| Fort LP | Global Contrarian UCITS | 0.9% | -2.4% | 0.39 |
| Fort LP | Global Diversified | 1.0% | -8.8% | 0.69 |
| Fort LP | Global Diversified UCITS | 1.1% | -11.5% | 0.18 |
| Fort LP | Global Futures | 1.7% | -7.6% | 2.05 |
| Fort LP | Global Trend | 0.3% | 4.2% | 0.27 |
| Global Sigma Group | AGSF | 1.2% | 3.7% | 0.26 |
| Goldman Management | Navigator Fund | 5.9% | -13.6% | 0.17 |
| Goldman Sachs | Alternative Trend | -1.3% | 0.0% | 0.25 |
| Graham Capital Mgmt LP | Graham Macro UCITS | -0.6% | 4.6% | 0.18 |
| Graham Capital Mgmt LP | Graham Quant Macro Strategy | 2.0% | -9.8% | 3.02 |
| Graham Capital Mgmt LP | K4D-10V | 2.7% | -8.6% | 1.05 |
| Graham Capital Mgmt LP | K4D-15V (Composite) | 3.9% | -13.8% | 1.05 |
| Graham Capital Mgmt LP | Tactical Trend | 2.0% | -5.5% | 4.64 |
| Graham Capital Mgmt LP | Tactical Trend Capped Equity | 1.4% | 6.4% | 4.64 |
| Greenwave Capital Management | Flagship Plus | -1.7% | 1.4% | 0.22 |
| Greenwave Capital Management | Flagship Plus 2X | -3.3% | 3.4% | 0.22 |
| Gresham Investment Management | GreshamQuant Acar | -1.2% | 10.1% | 0.46 |
| GSA Capital Partners | GSA Trend Fund | -1.2% | 4.3% | 1.86 |
| H2O AM | Force 10 | 2.3% | -33.0% | 0.6 |
| IPM Informed Portfolio Management | IPM Systematic Currency | 2.4% | -8.1% | 0.11 |
| IPM Informed Portfolio Management | IPM Systematic Macro | -0.7% | -11.2% | 2.51 |
| ISAM | ISAM Systematic Trend 2x | 0.1% | 12.6% | 3.58 |
| J E Moody | Commodity Relative Value | -0.2% | 12.2% | 0.61 |
| J E Moody | Commodity Relative Value 3X | -1.0% | 41.7% | 0.61 |
| John Street Capital | Trident Strategy | -1.8% | 5.4% | 2.33 |
| Kaiser Trading Group | Kaiser Trading Group Pty. Ltd. | -2.7% | -0.4% | 0.26 |
| KeyQuant SAS | Key Trends 15 Composite | -0.2% | -2.6% | 0.3 |
| KeyQuant SAS | Key Trends Program | -0.2% | -3.5% | 0.3 |
| Lemanik | Global Strategy | 3.1% | 15.8% | 0.34 |
| LGT Capital Partners | LGT Dynamic Protection UCITS | -1.2% | 23.3% | 0.43 |
| Lupus | Alpha Volatility Risk | 4.1% | -18.3% | 0.16 |
| Lynx Asset Management | Constellation | 2.2% | -2.2% | 0.13 |
| Lynx Asset Management | Lynx | 2.6% | -4.4% | 4.6 |
| Lynx Asset Management | Lynx 1.5x | 3.5% | -6.8% | 0.22 |
| Mainfirst | Contrarian Opportunities | 0.6% | -10.1% | 0.15 |
| Man AHL | AHL Alpha | 1.0% | 6.4% | 6.5 |
| Man AHL | AHL Dimension | -1.0% | -5.4% | 5.6 |
| Man AHL | AHL Diversified | -2.4% | 6.0% | 1.5 |
| Man AHL | AHL Diversified Guernsey | -2.3% | 6.1% | 1.5 |
| Man AHL | AHL Diversity Alternative | -2.5% | 0.6% | 0.18 |
| Man AHL | AHL Evolution | -0.6% | -0.6% | 3.8 |
| Man AHL | AHL Trend Alternative | -3.1% | -0.1% | 0.48 |
| Massar Capital Management LP | Massar Macro Commodity | 11.3% | 26.0% | 0.29 |
| Metori Capital Management | Epsilon Global Trend (Lyxor) | -0.3% | 7.0% | 0.52 |
| Metori Capital Management | Epsilon Managed Futures (Lyxor) | 0.6% | 10.4% | 0.47 |
| Millburn Ridegfield Corporation | Commodity Program | 1.2% | 17.8% | 0.32 |
| Millburn Ridegfield Corporation | Diversified Program | 3.2% | -15.0% | 3.18 |
| Mondiale Asset Management | Leveraged Trading Proram | 0.5% | 10.5% | 0.29 |
| Mulvaney Capital Management | Global Diversified Program | -0.5% | 14.5% | 0.15 |
| Ocean Areto | Arete Macro (Keplar) | 3.2% | 3.3% | 0.37 |
| Pan Capital Management LP | Energy Fund | 11.3% | 11.9% | 0.21 |
| PIMCO | Trends Composite | -0.8% | 6.2% | 0.7 |
| QMS Capital Management LP | Diversified Global Macro | 3.7% | -2.8% | 2.02 |
| QMS Capital Management LP | Financials-Only Global Macro Strat. | 1.9% | -4.8% | 0.11 |
| Quantica Capital AG | Managed Futures Program | 3.3% | -3.9% | 0.66 |
| Quantitative Investment Management | Global Program | -1.6% | -3.2% | 1.12 |
| Quantitative Investment Management | Global Program 3x | -4.7% | -13.7% | 0.16 |
| Quantix Commodities LP | Quantix Commodity Alpha | 3.7% | 14.6% | 0.11 |
| Quest Partners | AlphaQuest Original | -0.2% | 17.2% | 1.5 |
| Ramsey Quantitative Systems | RQSI GAA Systematic Global Macro Fund | 1.4% | -13.6% | 0.48 |
| Revolution Capital Management | Global Alpha Program | 0.0% | 23.6% | 0.24 |
| Revolution Capital Management | Mosaic Institutional Program | -0.9% | 16.1% | 0.14 |
| RG Niederhoffer Capital Management | Diversified Program | 1.1% | 26.4% | 0.27 |
| Rhicon Currency Management Pte | Strategic Prog | -1.7% | 4.9% | 0.36 |
| ROW Asset Management | Diversified 2X | -3.3% | 21.3% | 0.36 |
| ROW Asset Management | Diversified Program | -1.8% | 10.2% | 1.24 |
| RV Capital | Asia Opportunity | 4.2% | -0.8% | 0.19 |
| SCT Capital Management | Adaptive Quant Trading | 4.0% | 1.3% | 0.37 |
| SEB Group | Asset Selection | -3.1% | -5.1% | 0.56 |
| Statar Capital | Natural Gas Strategy | 13.6% | 27.8% | 0.74 |
| Systematica Investments | BlueTrend Fund | -2.2% | 7.8% | 2.42 |
| Systematica Investments | Systematica Synergy | -0.9% | -12.0% | 0.12 |
| TradeLink Capital | Tradelink Flagship | 0.8% | 11.3% | 0.16 |
| Transtrend BV | Enhanced Risk | 1.6% | -0.9% | 2.82 |
| Transtrend BV | Tulip Trend Fund | 2.3% | -5.7% | 0.13 |
| Trigon Investment Advisors | Discretionary Macro | 0.4% | -0.8% | 0.25 |
| Tudor Investment Corp | Tudor Momentum Fund Ltd. | 0.9% | -6.4% | 0.41 |
| UBS | Currency Allocation Return | -2.4% | -20.3% | 0.32 |
| Wadhwani Asset Management | Keynes Dynamic Beta Strategy | -0.1% | -4.4% | 0.11 |
| Wadhwani Asset Management | Keynes Leveraged Quantitative Strategies | 0.3% | -2.3% | 0.44 |
| Welton Investment Partners | Global Directional Portfolio | -0.9% | 11.9% | 0.62 |
| Welton Investment Partners | Welton Trend Program | -0.4% | 5.8% | 0.19 |
| Willowbridge Associates | wPraxis Enhanced | 1.6% | 10.7% | 0.11 |
| Winton Capital Management | Diversified Fund | 0.2% | -11.6% | 0.42 |
| Winton Capital Management | Winton Futures Fund | -0.3% | -10.5% | 0.61 |
| WisdomTree Investments | Managed Futures Strategy Fund WTMF -ETF | -1.5% | -3.8% | 0.1 |
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