June seems to have delivered more muted performance, with relatively few outliers. With a small decline for CTA of approximately 50 bps. Together with Risk Premia strategies, these look to be the only losing strategise in June.

We have collected 47% of the funds that we expect to report for the month.

Most liquid alternative strategies are having a somewhat muted year, but most of them have bounced back significantly since the Covid induced sell off.

Preliminary performance can be found below.
manager | program | June | May | YTD |
Equinox Fund Management | Equinox Ampersand Strategy Fund | 5.6% | 2% | -8% |
361 Capital | 361 Managed Futures Strategy Fund | 3.5% | 1% | -16% |
361 Capital | 361 Global Managed Futures Strategy Fund | 3.5% | 3% | -7% |
Aspect Capital Limited | Aspect Systematic Global Macro | 3.3% | -1% | 4% |
Tages | Paladin | 2.8% | -3% | 9% |
Fort LP | Global Futures | 2.2% | 0% | -5% |
Dorsey Wright | DWA Tactical | 2.2% | 4% | -8% |
Amundi | Absolute Volatility Euro | 2.1% | 0% | 20% |
Amundi | Absolute Volatility World | 2.1% | 1% | 27% |
Pacific | G10 macro rates | 1.7% | 2% | 7% |
Superfund Capital Management | Managed Futures Strategy | 1.7% | -2% | 6% |
Ocean Areto | Arete Macro (Keplar) | 1.7% | 2% | 7% |
PIMCO | Em Mkts Ccy and S/T Invsmt (daily) | 1.5% | 3% | -7% |
Catalyst Capital Advisors | Multi-Strategy | 1.3% | 1% | -5% |
Fort LP | Global Contrarian UCITS | 1.3% | 0% | -1% |
Bridgewater | Core Global | 1.2% | 2% | -12% |
TRYCON GCM | Tungsten Trycon Basic | 1.0% | -1% | 3% |
Crabel Capital Mgmt | Crabel Gemini | 1.0% | -1% | 4% |
M & G Investment Management | Episode Macro Fund | 1.0% | 2% | -1% |
James Alpha | Macro | 0.9% | 0% | -8% |
Lupus | Alpha Volatility Risk | 0.9% | 2% | -16% |
First Quadrant LP | FQ Macro FX – 10% Risk | 0.9% | 2% | 19% |
Amundi | Global Macro Bonds | 0.9% | 0% | -1% |
Quantica Capital AG | Managed Futures Program | 0.9% | -1% | -3% |
Warrington Asset Management | Strategic | 0.7% | 0% | 1% |
Lupus | Alpha Volatility Invest | 0.7% | 1% | -9% |
Mainfirst | Contrarian Opportunities | 0.6% | 0% | -10% |
RV Capital | Asia Opportunity | 0.6% | 2% | 1% |
PanAgora | PanAgora Managed Futures Strategy | 0.6% | -3% | -2% |
Quest Partners | AlphaQuest (ML Capital) | 0.4% | -4% | 5% |
Fort LP | Global Diversified UCITS | 0.4% | 1% | -11% |
Blackrock | Macro Opportunities | 0.4% | 2% | -1% |
Amundi | Global Macro Bonds Low Vol | 0.4% | 0% | -3% |
Millburn Ridegfield Corporation | Diversified Program | 0.2% | -1% | -16% |
Lynx Asset Management | Lynx | 0.2% | -2% | -6% |
Conservative Concept AG | Athena UI (UCITS) | 0.2% | 0% | 6% |
FS Investments | Managed Futures | 0.1% | -1% | 11% |
John Locke Investments | Cyril Systematic UCITS Fund | 0.0% | -2% | 8% |
Tendance Finance | Next AM Fund | -0.1% | -1% | 19% |
Absolute Insight | Currency | -0.3% | 0% | 0% |
MaCX Asset AG | MaCX Evolution Program | -0.3% | 0% | -3% |
Graham Capital Mgmt LP | Graham Macro UCITS | -0.3% | 1% | 5% |
Berenberg | Dymacs Volatility Premium | -0.3% | 2% | -26% |
Neuberger Berman Group | Diversified Currency | -0.5% | 0% | -1% |
Salus | Alpha Directional Markets | -0.5% | 0% | 12% |
Winton Capital Management | Winton Futures Fund (Lyxor) | -0.5% | -1% | -10% |
Lemanik | Global Strategy | -0.7% | -3% | 12% |
IPM Informed Portfolio Management | IPM Systematic Macro | -0.7% | 2% | -10% |
Systematica Investments | BlueTrend Fund | -0.7% | -2% | 5% |
Amundi | Global Macro Forex | -0.7% | 1% | -3% |
CrossBorder Capital | AR Systematic Macro Strategy | -0.8% | 0% | 7% |
Guggenheim Investments | Guggenheim Managed Futures Strategy | -0.8% | -1% | 1% |
AQR Capital Management | Global Macro Opportunities | -0.8% | 3% | -3% |
ecamos Capital AG | ecamos Core Strategy 2X | -0.8% | 6% | -24% |
Capital Fund Management | IS Trends Fund | -0.9% | -1% | -2% |
Metori Capital Management | Epsilon Global Trend (Lyxor) | -1.0% | 0% | 6% |
LoCorr Fund Management | LoCorr Macro Strategies | -1.0% | 0% | 0% |
Dunn Capital Management | DUNN WMA Institutional (ML Capital) UCITS B | -1.0% | -2% | -1% |
AXA Chorus | Systematic Macro | -1.1% | 1% | -4% |
Abbey Capital | Abbey Capital Futures Strategy | -1.1% | -1% | 3% |
Winton Capital Management | Winton Trend Fund | -1.1% | -2% | 0% |
Fulcrum Asset Management | Multi Asset Trend Fund | -1.1% | -2% | -7% |
Gresham Investment Management | Managed Futures Strat | -1.2% | -2% | 0% |
Chesapeake Capital Corporation | Equinox Chesapeake Strategy | -1.2% | -1% | -9% |
Allianz Global Investors | Managed Futures Strategy | -1.2% | -1% | -9% |
Rational Advisors | Rational/ReSolve Adaptive Asset Allc | -1.2% | -1% | -7% |
Goldman Sachs | Alternative Trend | -1.3% | -1% | -2% |
Aspect Capital Limited | Diversified Program | -1.3% | -1% | -3% |
Man AHL | AHL Diversity Alternative | -1.3% | -2% | -3% |
Unigestion | Cross Asset Trend Follower | -1.3% | -1% | -6% |
GuidePath | Managed Futures Strat | -1.3% | -3% | 3% |
AlphaSimplex Group | Managed Futures Composite | -1.3% | -3% | 1% |
Winton Capital Management | Absolute Return Futures | -1.4% | -3% | -10% |
LoCorr Fund Management | Long/Short Commodity Strats | -1.4% | -3% | 11% |
Tresides | Total Return Commodities | -1.5% | -2% | -5% |
Aspect Capital Limited | Aspect Core Trend Fund | -1.5% | -2% | 1% |
AQR Capital Management | Managed Futures UCITS | -1.6% | -2% | -1% |
Altegris Advisors | Evolution | -1.6% | -3% | -16% |
SEB Group | Asset Selection | -1.7% | -1% | -8% |
Cantab Capital Partners | CCP Core Macro | -1.7% | -1% | -8% |
Campbell & Company | Campbell Dynamic Trend Fund | -1.8% | -2% | -3% |
BNP Theam | Quant Volatility | -1.8% | 1% | -23% |
Man AHL | AHL Trend Alternative | -2.0% | -3% | -5% |
Goldman Sach Management | Goldman Sachs Mngd Futures Strat Instl | -2.0% | -2% | -2% |
AQR Capital Management | AQR Managed Futures | -2.1% | -1% | 1% |
Campbell & Company | Managed Futures | -2.2% | -2% | 1% |
Graham Capital Mgmt LP | Tactical Trend | -2.2% | -1% | -8% |
Longboard Asset Management LP | Managed Futures Strategy | -2.2% | -2% | -3% |
Man AHL | American Beacon AHL Mgd Futs Strat Instl | -2.2% | -2% | 3% |
Crabel Capital Mgmt | Crabel Advanced Trend | -2.3% | -4% | 10% |
Winton Capital Management | Diversified Fund | -2.3% | -3% | -16% |
Columbia | Managed Futures Strategy Fund | -2.4% | -1% | -6% |
ADG Capital Management | ADG Systematic Macro | -2.5% | -1% | -10% |
Winton Capital Management | Winton Futures Fund | -2.9% | -3% | -16% |
AQR Capital Management | AQR Managed Futures HV Strategy | -2.9% | -1% | 1% |
PIMCO | Trends Composite | -3.0% | 0% | 3% |
Wellington | Global Currency Absolute | -3.1% | -2% | 2% |
P/E Investments | FX Strategy – Standard UCITS | -3.5% | -3% | 10% |
Equinox Fund Management | MutualHedge Futures Strategy | -3.5% | -4% | -16% |
Dunn Capital Management | Managed Futures Strategy (Arrow) | -3.7% | -3% | -4% |
Garraway Capital Management | Garraway Financial Trends | -4.0% | -4% | -7% |
Transtrend BV | Tulip Trend Fund | -4.4% | 0% | -10% |
UBS | Currency Allocation Return | -5.6% | 10% | -17% |
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