May – Early Estimates

The early estimates for May have been compiled. This was a somewhat calmer month than March and April. Our daily Hedge fund index shows a decline of approximately 70 bps while a larger selection of CTAs shows a decline of 60 bps.

ManagerProgramMayAprilYTD
UBSCurrency Allocation Return9.1%-2%-13%
Dorsey WrightDWA Tactical3.6%8%-10%
Transtrend BVTulip Trend Fund3.2%2%-3%
PIMCOEm Mkts Ccy and S/T Invsmt (daily)2.9%2%-8%
AQR Capital ManagementGlobal Macro Opportunities2.7%0%-3%
361 Capital361 Global Managed Futures Strategy Fund2.7%-3%-10%
PacificG10 macro rates2.6%3%6%
Equinox Fund ManagementEquinox Ampersand Strategy Fund2.4%7%-15%
M & G Investment ManagementEpisode Macro Fund2.3%3%-1%
BlackrockMacro Opportunities2.2%1%-2%
LupusAlpha Volatility Risk2.1%4%-17%
ecamos Capital AGecamos Core Strategy 2X1.7%-4%-27%
RV CapitalAsia Opportunity1.6%4%1%
Ocean AretoArete Macro (Keplar)1.5%3%5%
LupusAlpha Volatility Invest1.5%3%-9%
AXA ChorusSystematic Macro1.3%0%-3%
BerenbergDymacs Volatility Premium1.3%0%-26%
BridgewaterCore Global1.1%3%-13%
First Quadrant LPFQ Macro FX – 10% Risk0.9%-2%17%
Catalyst Capital AdvisorsMulti-Strategy0.9%0%-6%
IPM Informed Portfolio ManagementIPM Systematic Macro0.8%-1%-11%
AmundiGlobal Macro Forex0.6%1%-2%
BNP TheamQuant Volatility0.5%3%-21%
361 Capital361 Managed Futures Strategy Fund0.5%-5%-19%
Warrington Asset ManagementStrategic0.4%0%0%
AmundiGlobal Macro Bonds Low Vol0.4%1%-3%
Fort LPGlobal Futures0.4%2%-7%
Graham Capital Mgmt LPGraham Macro UCITS0.4%-1%5%
Conservative Concept AGAthena UI (UCITS)0.4%0%6%
Fort LPGlobal Diversified UCITS0.4%1%-11%
Neuberger Berman GroupDiversified Currency0.3%0%-1%
AmundiGlobal Macro Bonds0.3%2%-2%
LoCorr Fund ManagementLoCorr Macro Strategies0.0%2%1%
1512 SG Capital Management AGSt.Gallen I Counter-Trend (gross) (daily)0.0%1%-2%
AmundiAbsolute Volatility World-0.1%0%23%
Capital Fund ManagementIS Trends Fund-0.1%0%-1%
Fort LPGlobal Contrarian UCITS-0.1%1%-2%
CrossBorder CapitalAR Systematic Macro Strategy-0.1%-4%8%
Quantica Capital AGManaged Futures Program-0.1%3%-4%
Fort LPGlobal Trend UCITS-0.2%1%0%
James AlphaMacro-0.2%3%-9%
Metori Capital ManagementEpsilon Global Trend (Lyxor)-0.3%0%7%
Absolute InsightCurrency-0.3%-1%1%
MainfirstContrarian Opportunities-0.3%1%-10%
PIMCOTrends Composite-0.3%-1%6%
AmundiAbsolute Volatility Euro-0.4%2%17%
LumynaEnhanced Equity Volatility-0.5%1%-16%
Millburn Ridegfield CorporationDiversified Program-0.6%3%-16%
AQR Capital ManagementAQR Managed Futures-0.6%0%3%
Tendance FinanceNext AM Fund-0.6%0%19%
Guggenheim InvestmentsGuggenheim Managed Futures Strategy-0.6%1%2%
ColumbiaManaged Futures Strategy Fund-0.7%-1%-3%
AQR Capital ManagementAQR Managed Futures HV Strategy-0.8%0%4%
Graham Capital Mgmt LPTactical Trend-0.8%2%-6%
FS InvestmentsManaged Futures-0.9%0%10%
Aspect Capital LimitedAspect Systematic Global Macro-0.9%-1%1%
Allianz Global InvestorsManaged Futures Strategy-1.0%-1%-8%
Crabel Capital MgmtCrabel Gemini-1.0%1%3%
TRYCON GCMTungsten Trycon Basic-1.0%0%2%
Abbey CapitalAbbey Capital Futures Strategy-1.0%0%4%
Cantab Capital PartnersCCP Core Macro-1.1%1%-7%
Rational AdvisorsRational/ReSolve Adaptive Asset Allc-1.1%1%-5%
SEB GroupAsset Selection-1.2%-3%-6%
Deep Field CapitalIntraday Convexity Capture (ICC)-1.2%1%2%
Winton Capital ManagementWinton Futures Fund (Lyxor)-1.3%-1%-10%
Goldman SachsAlternative Trend-1.3%-1%-1%
Aspect Capital LimitedDiversified Program-1.4%-1%-1%
Chesapeake Capital CorporationEquinox Chesapeake Strategy-1.4%1%-8%
ADG Capital ManagementADG Systematic Macro-1.5%-2%-8%
Man AHLAmerican Beacon AHL Mgd Futs Strat Instl-1.5%-1%5%
UnigestionCross Asset Trend Follower-1.6%-1%-5%
AQR Capital ManagementManaged Futures UCITS-1.6%0%1%
Campbell & CompanyManaged Futures-1.6%0%4%
Fulcrum Asset ManagementMulti Asset Trend Fund-1.7%0%-5%
TresidesTotal Return Commodities-1.7%1%-3%
Campbell & CompanyCampbell Dynamic Trend Fund-1.8%-2%-1%
Goldman Sach ManagementGoldman Sachs Mngd Futures Strat Instl-1.9%-1%0%
Winton Capital ManagementWinton Trend Fund-2.0%-2%1%
WellingtonGlobal Currency Absolute-2.1%1%5%
Lynx Asset ManagementLynx-2.2%2%-7%
Man AHLAHL Diversity Alternative-2.2%-3%-2%
John Locke InvestmentsCyril Systematic UCITS Fund-2.2%1%8%
Longboard Asset Management LPManaged Futures Strategy-2.2%-1%0%
Gresham Investment ManagementManaged Futures Strat-2.3%0%1%
Superfund Capital ManagementManaged Futures Strategy-2.3%1%4%
Aspect Capital LimitedAspect Core Trend Fund-2.3%-1%2%
Systematica InvestmentsBlueTrend Fund-2.3%-2%5%
Winton Capital ManagementAbsolute Return Futures-2.4%0%-9%
Dunn Capital ManagementDUNN WMA Institutional (ML Capital) UCITS B-2.5%2%-1%
AlphaSimplex GroupManaged Futures Composite-2.5%0%2%
GuidePathManaged Futures Strat-2.7%0%5%
Man AHLAHL Trend Alternative-2.7%-3%-3%
TagesPaladin-2.8%-1%7%
Winton Capital ManagementDiversified Fund-2.9%0%-14%
LoCorr Fund ManagementLong/Short Commodity Strats-2.9%0%13%
LemanikGlobal Strategy-2.9%3%12%
Altegris AdvisorsEvolution-3.1%0%-14%
PanAgoraPanAgora Managed Futures Strategy-3.1%-3%-3%
Dunn Capital ManagementManaged Futures Strategy (Arrow)-3.2%1%0%
Quest PartnersAlphaQuest (ML Capital)-3.2%0%5%
P/E InvestmentsFX Strategy – Standard UCITS-3.3%-4%14%
Winton Capital ManagementWinton Futures Fund-3.7%0%-14%
Equinox Fund ManagementMutualHedge Futures Strategy-4.0%1%-13%
Crabel Capital MgmtCrabel Advanced Trend-4.6%0%12%
Garraway Capital ManagementGarraway Financial Trends-5.0%-5%-4%

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