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% |