As a service to our readers, we provide preliminary comments and data for the performance of CTA and Hedge Funds, based on a limited amount of manager data.
July seems to have delivered generally positive performance across strategies, with Long Only managers leading the race. CTAs recorded a positive month, with a 1.6% gain for July, however, the YTD result is modestly negative. This is preliminary data, based on daily “40-act” funds or UCITS strategies.
We have collected 51% of the funds that we expect to report for the month. 21% of the CTA programs have reported.
Most liquid alternative strategies are having a somewhat muted year, but most of them have bounced back significantly since the Covid induced sell-off. That said, all of our Daily Indices are down for the year.
Preliminary CTA performance can be found below.
| Manager | Program | July | Jun | YTD |
| WG Wealth Guardian | QT Program | 16.5% | -3% | 56% |
| Future Trade AG | Thales Swing Trading Programme | 14.4% | 0% | -15% |
| INSCH Capital Management SA | Kintore | 11.2% | 3% | 19% |
| UBS | Currency Allocation Return | 7.6% | -6% | -11% |
| Equinox Fund Management | Equinox Ampersand Strategy Fund | 7.1% | 6% | -1% |
| Dorsey Wright | DWA Tactical | 6.5% | 2% | -2% |
| Superfund Capital Management | Managed Futures Strategy | 6.1% | 2% | 12% |
| Lynx Asset Management | Lynx | 6.0% | -1% | -1% |
| Graham Capital Mgmt LP | Tactical Trend | 6.0% | -3% | -3% |
| Tianyou Asset Management | Tianyou Fund | 5.7% | 4% | -29% |
| Transtrend BV | Enhanced Risk | 5.5% | -2% | 3% |
| WG Wealth Guardian | Strategic Volatility Master Program | 5.2% | -12% | 2% |
| WG Wealth Guardian | Strategic Volatility Returns Program | 5.0% | -6% | 1% |
| GuidePath | Managed Futures Strat | 4.8% | -1% | 8% |
| Graham Capital Mgmt LP | Graham Macro UCITS | 4.8% | 0% | 11% |
| John Locke Investments | Cyril Systematic UCITS Fund | 4.6% | 0% | 13% |
| Transtrend BV | Tulip Trend Fund | 4.5% | -4% | -5% |
| WG Wealth Guardian | Trend Fix Portfolio | 4.2% | 0% | 27% |
| IPM Informed Portfolio Management | IPM Systematic Macro | 4.1% | -1% | -7% |
| Bridgewater | Core Global | 4.0% | 2% | -8% |
| Vortex FX AG | Currency Program | 3.8% | 5% | 8% |
| Transtrend BV | Standard Risk | 3.7% | -1% | 1% |
| First Quadrant LP | FQ Macro FX – 10% Risk | 3.7% | 1% | 23% |
| James Alpha | Macro | 3.7% | 1% | -4% |
| Cantab Capital Partners | CCP Core Macro | 3.6% | -2% | -5% |
| Quality Capital Management | Global Diversified | 3.5% | 0% | 30% |
| Man AHL | AHL Trend Alternative | 3.4% | -2% | -1% |
| Claughton Capital | ARP Institutional Program | 3.2% | -4% | 31% |
| Lemanik | Global Strategy | 3.1% | 0% | 16% |
| Millburn Ridegfield Corporation | Diversified Program | 3.1% | 0% | -13% |
| PIMCO | Trends Composite | 3.1% | -3% | 6% |
| LoCorr Fund Management | LoCorr Macro Strategies | 3.0% | -1% | 3% |
| Quantica Capital AG | Managed Futures Program | 3.0% | 0% | -1% |
| Catalyst Capital Advisors | Multi-Strategy | 2.9% | 1% | -2% |
| Fort LP | Global Futures | 2.9% | 2% | -3% |
| Systematica Investments | BlueTrend Fund | 2.9% | -2% | 7% |
| Mercantile Analytics and Trading | Global Diversified Commodity | 2.8% | 0% | 6% |
| Crabel Capital Mgmt | Crabel Advanced Trend | 2.8% | -2% | 13% |
| Tom Capital AG | Moderate Model Portfolio | 2.7% | 0% | -21% |
| Man AHL | AHL Diversity Alternative | 2.6% | -1% | -1% |
| Quest Partners | AlphaQuest (ML Capital) | 2.6% | 1% | 8% |
| Fort LP | Global Trend UCITS | 2.5% | 1% | 3% |
| WG Wealth Guardian | SAFI2 Program | 2.4% | 0% | 10% |
| Chesapeake Capital Corporation | Equinox Chesapeake Strategy | 2.4% | -1% | -7% |
| Gresham Investment Management | Managed Futures Strat | 2.3% | -1% | 2% |
| Capital Fund Management | IS Trends Fund InRIS | 2.3% | -1% | -1% |
| Man AHL | American Beacon AHL Mgd Futs Strat Instl | 2.2% | -2% | 5% |
| Stein Investment Management | Trading Evolution | 2.1% | 2% | 10% |
| PIMCO | Em Mkts Ccy and S/T Invsmt (daily) | 2.0% | 2% | -5% |
| Guggenheim Investments | Guggenheim Managed Futures Strategy | 2.0% | -1% | 3% |
| Red Rock Capital | Systematic Global Macro | 2.0% | -1% | -5% |
| Fort LP | Global Diversified UCITS | 1.9% | 1% | -9% |
| Lumyna | Enhanced Equity Volatility | 1.8% | -1% | -15% |
| Columbia | Managed Futures Strategy Fund | 1.8% | -2% | -4% |
| Rational Advisors | Rational/ReSolve Adaptive Asset Allc | 1.7% | -1% | -5% |
| Unigestion | Cross Asset Trend Follower | 1.7% | -1% | -5% |
| Goldman Sachs | Alternative Trend | 1.7% | -1% | -1% |
| Lupus | Alpha Volatility Risk | 1.7% | 1% | -14% |
| Mondiale Asset Management | Leveraged Trading Proram | 1.6% | 1% | 17% |
| Endeavour Capital | Pembroke Master Fund Ltd | 1.6% | 0% | 7% |
| SEB Group | Asset Selection | 1.6% | -2% | -6% |
| Mobius Asset Mgt | MCR Trading Program | 1.6% | -1% | -1% |
| Garraway Capital Management | Garraway Financial Trends | 1.5% | -4% | -6% |
| ADG Capital Management | ADG Systematic Macro | 1.5% | -3% | -10% |
| Fulcrum Asset Management | Multi Asset Trend Fund | 1.5% | -1% | -5% |
| Winton Capital Management | Winton Trend Fund | 1.4% | -1% | 1% |
| Abbey Capital | Abbey Capital Futures Strategy | 1.4% | -1% | 4% |
| AXA Chorus | Systematic Macro | 1.4% | -1% | -3% |
| Goldman Sach Management | Goldman Sachs Mngd Futures Strat Instl | 1.3% | -2% | 0% |
| Schot Capital Limited | Multi Diversified Program | 1.3% | -1% | 8% |
| Allianz Global Investors | Managed Futures Strategy | 1.2% | -1% | -8% |
| BNP Theam | Quant Volatility | 1.2% | -2% | -22% |
| Lupus | Alpha Volatility Invest | 1.2% | 1% | -7% |
| Jaguar Investments | Aegir Capital Strategy | 1.2% | 2% | 23% |
| TRYCON GCM | Tungsten Trycon Basic | 1.1% | 1% | 4% |
| RV Capital | Asia Opportunity | 1.1% | 1% | 3% |
| Fort LP | Global Contrarian UCITS | 1.1% | 1% | 0% |
| Schindler Capital Management | Institutional Dairy Advantage | 1.1% | 13% | 15% |
| AQR Capital Management | AQR Managed Futures | 1.0% | -2% | 1% |
| AQR Capital Management | AQR Managed Futures HV Strategy | 0.9% | -3% | 2% |
| Aspect Capital Limited | Diversified Program | 0.9% | -2% | -3% |
| Equinox Fund Management | MutualHedge Futures Strategy | 0.8% | -4% | -16% |
| Amundi | Global Macro Bonds | 0.7% | 1% | 0% |
| Amundi | Absolute Volatility Euro | 0.6% | 2% | 20% |
| M & G Investment Management | Episode Macro Fund | 0.6% | 1% | 0% |
| Tendance Finance | Next AM Fund | 0.6% | 0% | 19% |
| Metori Capital Management | Epsilon Global Trend (Lyxor) | 0.6% | -1% | 7% |
| 361 Capital | 361 Managed Futures Strategy Fund | 0.5% | 4% | -15% |
| Crabel Capital Mgmt | Crabel Gemini | 0.3% | 2% | 5% |
| Amundi | Global Macro Bonds Low Vol | 0.3% | 0% | -3% |
| Amundi | Global Macro Forex | 0.3% | -1% | -2% |
| Neuberger Berman Group | Diversified Currency | 0.3% | 0% | -1% |
| Aspect Capital Limited | Aspect Core Trend Fund | 0.3% | -2% | 1% |
| FS Investments | Managed Futures | 0.0% | 0% | 11% |
| Blackrock | Macro Opportunities | 0.0% | 0% | -1% |
| Ocean Areto | Arete Macro (Keplar) | 0.0% | 1% | 7% |
| Absolute Insight | Currency | -0.1% | 0% | 0% |
| Warrington Asset Management | Strategic | -0.1% | 1% | 1% |
| Schindler Capital Management | Dairy Advantage Program | -0.1% | 13% | 20% |
| AQR Capital Management | Global Macro Opportunities | -0.2% | -1% | -4% |
| Kinkopf Capital Management | S&P Select Program | -0.2% | 0% | 16% |
| Salus | Alpha Directional Markets | -0.3% | 0% | 12% |
| LoCorr Fund Management | Long/Short Commodity Strats | -0.3% | -1% | 11% |
| Pacific | G10 macro rates | -0.4% | 2% | 7% |
| Campbell & Company | Campbell Dynamic Trend Fund | -0.4% | -2% | -3% |
| Altegris Advisors | Evolution | -0.4% | -3% | -17% |
| Tages | Paladin | -0.4% | 3% | 9% |
| Winton Capital Management | Diversified Fund | -0.4% | -3% | -17% |
| Longboard Asset Management LP | Managed Futures Strategy | -0.4% | -2% | -3% |
| Berenberg | Dymacs Volatility Premium | -0.5% | 0% | -26% |
| AQR Capital Management | Managed Futures UCITS | -0.6% | -2% | -2% |
| Blake Capital Management | SRD Currencies | -0.6% | 0% | 0% |
| Campbell & Company | Managed Futures | -0.6% | -2% | 1% |
| Conservative Concept AG | Athena UI (UCITS) | -0.7% | 0% | 5% |
| Sandpiper Asset Management | Sandpiper Global Macro Program | -0.7% | 1% | -6% |
| Amundi | Absolute Volatility World | -0.9% | 2% | 26% |
| Mainfirst | Contrarian Opportunities | -0.9% | 1% | -11% |
| Ravinia Investment Management | Algorithmic Multi Strategy | -1.4% | 2% | 34% |
| Dunn Capital Management | DUNN WMA Institutional (ML Capital) UCITS B | -1.4% | -1% | -2% |
| Winton Capital Management | Absolute Return Futures | -1.4% | -2% | -12% |
| WG Wealth Guardian | GVR Program | -1.4% | -8% | -10% |
| Red Rock Capital | Commodity Long-Short | -1.7% | -2% | 16% |
| Dunn Capital Management | Managed Futures Strategy (Arrow) | -1.8% | -4% | -6% |
| Winton Capital Management | Winton Futures Fund | -1.9% | -2% | -17% |
| Tresides | Total Return Commodities | -2.2% | -2% | -7% |
| 361 Capital | 361 Global Managed Futures Strategy Fund | -2.2% | 3% | -9% |
| PanAgora | PanAgora Managed Futures Strategy | -2.3% | 1% | -4% |
| Florin Court Capital | Florin Court BMS SHARE CLASS | -2.3% | -2% | -4% |
| Aspect Capital Limited | Aspect Systematic Global Macro | -2.9% | 3% | 1% |
| Melissinos Trading | Eupatrid Commodity | -3.1% | -2% | -16% |
| Wellington | Global Currency Absolute | -4.1% | -3% | -3% |
| CrossBorder Capital | AR Systematic Macro Strategy | -5.8% | -1% | 1% |
| P/E Investments | FX Strategy – Standard UCITS | -7.1% | -4% | 1% |
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