Preliminary June Hedge Fund Performance

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.

managerprogramJuneMayYTD
Equinox Fund ManagementEquinox Ampersand Strategy Fund5.6%2%-8%
361 Capital361 Managed Futures Strategy Fund3.5%1%-16%
361 Capital361 Global Managed Futures Strategy Fund3.5%3%-7%
Aspect Capital LimitedAspect Systematic Global Macro3.3%-1%4%
TagesPaladin2.8%-3%9%
Fort LPGlobal Futures2.2%0%-5%
Dorsey WrightDWA Tactical2.2%4%-8%
AmundiAbsolute Volatility Euro2.1%0%20%
AmundiAbsolute Volatility World2.1%1%27%
PacificG10 macro rates1.7%2%7%
Superfund Capital ManagementManaged Futures Strategy1.7%-2%6%
Ocean AretoArete Macro (Keplar)1.7%2%7%
PIMCOEm Mkts Ccy and S/T Invsmt (daily)1.5%3%-7%
Catalyst Capital AdvisorsMulti-Strategy1.3%1%-5%
Fort LPGlobal Contrarian UCITS1.3%0%-1%
BridgewaterCore Global1.2%2%-12%
TRYCON GCMTungsten Trycon Basic1.0%-1%3%
Crabel Capital MgmtCrabel Gemini1.0%-1%4%
M & G Investment ManagementEpisode Macro Fund1.0%2%-1%
James AlphaMacro0.9%0%-8%
LupusAlpha Volatility Risk0.9%2%-16%
First Quadrant LPFQ Macro FX – 10% Risk0.9%2%19%
AmundiGlobal Macro Bonds0.9%0%-1%
Quantica Capital AGManaged Futures Program0.9%-1%-3%
Warrington Asset ManagementStrategic0.7%0%1%
LupusAlpha Volatility Invest0.7%1%-9%
MainfirstContrarian Opportunities0.6%0%-10%
RV CapitalAsia Opportunity0.6%2%1%
PanAgoraPanAgora Managed Futures Strategy0.6%-3%-2%
Quest PartnersAlphaQuest (ML Capital)0.4%-4%5%
Fort LPGlobal Diversified UCITS0.4%1%-11%
BlackrockMacro Opportunities0.4%2%-1%
AmundiGlobal Macro Bonds Low Vol0.4%0%-3%
Millburn Ridegfield CorporationDiversified Program0.2%-1%-16%
Lynx Asset ManagementLynx0.2%-2%-6%
Conservative Concept AGAthena UI (UCITS)0.2%0%6%
FS InvestmentsManaged Futures0.1%-1%11%
John Locke InvestmentsCyril Systematic UCITS Fund0.0%-2%8%
Tendance FinanceNext AM Fund-0.1%-1%19%
Absolute InsightCurrency-0.3%0%0%
MaCX Asset AGMaCX Evolution Program-0.3%0%-3%
Graham Capital Mgmt LPGraham Macro UCITS-0.3%1%5%
BerenbergDymacs Volatility Premium-0.3%2%-26%
Neuberger Berman GroupDiversified Currency-0.5%0%-1%
SalusAlpha Directional Markets-0.5%0%12%
Winton Capital ManagementWinton Futures Fund (Lyxor)-0.5%-1%-10%
LemanikGlobal Strategy-0.7%-3%12%
IPM Informed Portfolio ManagementIPM Systematic Macro-0.7%2%-10%
Systematica InvestmentsBlueTrend Fund-0.7%-2%5%
AmundiGlobal Macro Forex-0.7%1%-3%
CrossBorder CapitalAR Systematic Macro Strategy-0.8%0%7%
Guggenheim InvestmentsGuggenheim Managed Futures Strategy-0.8%-1%1%
AQR Capital ManagementGlobal Macro Opportunities-0.8%3%-3%
ecamos Capital AGecamos Core Strategy 2X-0.8%6%-24%
Capital Fund ManagementIS Trends Fund-0.9%-1%-2%
Metori Capital ManagementEpsilon Global Trend (Lyxor)-1.0%0%6%
LoCorr Fund ManagementLoCorr Macro Strategies-1.0%0%0%
Dunn Capital ManagementDUNN WMA Institutional (ML Capital) UCITS B-1.0%-2%-1%
AXA ChorusSystematic Macro-1.1%1%-4%
Abbey CapitalAbbey Capital Futures Strategy-1.1%-1%3%
Winton Capital ManagementWinton Trend Fund-1.1%-2%0%
Fulcrum Asset ManagementMulti Asset Trend Fund-1.1%-2%-7%
Gresham Investment ManagementManaged Futures Strat-1.2%-2%0%
Chesapeake Capital CorporationEquinox Chesapeake Strategy-1.2%-1%-9%
Allianz Global InvestorsManaged Futures Strategy-1.2%-1%-9%
Rational AdvisorsRational/ReSolve Adaptive Asset Allc-1.2%-1%-7%
Goldman SachsAlternative Trend-1.3%-1%-2%
Aspect Capital LimitedDiversified Program-1.3%-1%-3%
Man AHLAHL Diversity Alternative-1.3%-2%-3%
UnigestionCross Asset Trend Follower-1.3%-1%-6%
GuidePathManaged Futures Strat-1.3%-3%3%
AlphaSimplex GroupManaged Futures Composite-1.3%-3%1%
Winton Capital ManagementAbsolute Return Futures-1.4%-3%-10%
LoCorr Fund ManagementLong/Short Commodity Strats-1.4%-3%11%
TresidesTotal Return Commodities-1.5%-2%-5%
Aspect Capital LimitedAspect Core Trend Fund-1.5%-2%1%
AQR Capital ManagementManaged Futures UCITS-1.6%-2%-1%
Altegris AdvisorsEvolution-1.6%-3%-16%
SEB GroupAsset Selection-1.7%-1%-8%
Cantab Capital PartnersCCP Core Macro-1.7%-1%-8%
Campbell & CompanyCampbell Dynamic Trend Fund-1.8%-2%-3%
BNP TheamQuant Volatility-1.8%1%-23%
Man AHLAHL Trend Alternative-2.0%-3%-5%
Goldman Sach ManagementGoldman Sachs Mngd Futures Strat Instl-2.0%-2%-2%
AQR Capital ManagementAQR Managed Futures-2.1%-1%1%
Campbell & CompanyManaged Futures-2.2%-2%1%
Graham Capital Mgmt LPTactical Trend-2.2%-1%-8%
Longboard Asset Management LPManaged Futures Strategy-2.2%-2%-3%
Man AHLAmerican Beacon AHL Mgd Futs Strat Instl-2.2%-2%3%
Crabel Capital MgmtCrabel Advanced Trend-2.3%-4%10%
Winton Capital ManagementDiversified Fund-2.3%-3%-16%
ColumbiaManaged Futures Strategy Fund-2.4%-1%-6%
ADG Capital ManagementADG Systematic Macro-2.5%-1%-10%
Winton Capital ManagementWinton Futures Fund-2.9%-3%-16%
AQR Capital ManagementAQR Managed Futures HV Strategy-2.9%-1%1%
PIMCOTrends Composite-3.0%0%3%
WellingtonGlobal Currency Absolute-3.1%-2%2%
P/E InvestmentsFX Strategy – Standard UCITS-3.5%-3%10%
Equinox Fund ManagementMutualHedge Futures Strategy-3.5%-4%-16%
Dunn Capital ManagementManaged Futures Strategy (Arrow)-3.7%-3%-4%
Garraway Capital ManagementGarraway Financial Trends-4.0%-4%-7%
Transtrend BVTulip Trend Fund-4.4%0%-10%
UBSCurrency Allocation Return-5.6%10%-17%

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