FlashReport -October 2020

Nilsson Hedge provides a free CTA/Managed Futures and Hedge Fund database. The vast majority of the database covers CTA or Managed Futures Managers, using a variety of styles and strategies. In addition, NilssonHedge offers supplemental coverage of a number of Long/Short Equity Managers, Fixed Income Strategy, and Multi Strategy hedge funds.

The estimated MTD performance for Hedge Funds is -0.6% taking the YTD number to 5.7%.
The estimated MTD performance for CTAs is -0.0% taking the YTD number to 3.9%. We note that this is an estimate for reporting funds, and that better performing funds typically report early. These estimates do not include funds that have stopped reporting. For the survivorship adjusted number, we would like to direct you to the NilssonHedge indices at https://nilssonhedge.com/index/.

The Database contains 1885 different managers, representing 3488 different investment strategies. For the current reporting month, 874 managers have reported returns. For the prior month, we have 1510 live managers. In terms of CTAs, for the current reporting month, 167 CTA programs have reported returns. For the prior month, we have 639 live programs. In total, the database contains 25427 years of manager data. We cover 381 bn of Assets in the Hedge Fund space.
Out of which 197 bn of Assets in CTA/Managed Futures managers.

Database overview, including graveyard:
Number of CTA Strategies: 2331
Number of Equity Long Short Strategies: 308
Number of Market Neutral Strategies: 103
Number of Event Driven Strategies: 51
Number of Fixed Income Strategies: 116
Number of Crypto Strategies: 151
Number of Asset Allocation Strategies: 126
Number of Risk Premia Strategies: 44

This text is auto-generated and may contain mistakes. Past performance is not indicative of future results.

ManagerProgramCurrent MonthPrior MonthYTD
Macrotheme Capital ManagementMacrotheme Opportunity15%24%-9%
WG Wealth GuardianQT Program12%-8%42%
Purple Valley CapitalDiversified Trend 110%-21%64%
Polar Asset Management ASMulti Asset8%2%6%
WG Wealth GuardianTrend Fix Portfolio6%-3%21%
Brisslen Capital ManagementBrisslen Energy Strategy6%-9%-12%
Transtrend BVTulip Trend Fund UCITS4%-5%-8%
Hoss Capital ManagementTrading Program4%1%-1%
Ravinia Investment ManagementAlgorithmic Multi Strategy4%-11%44%
Stein Investment ManagementTrading Evolution3%-3%12%
AQR Capital ManagementAQR Managed Futures HV Strategy3%-3%0%
Silicon Valley Quantitative AdvisorsUS Quantitative Portfolio (UQP)3%1%-2%
Schindler Capital ManagementDairy Advantage Program2%0%12%
Tianyou Asset ManagementTianyou Fund2%3%-26%
RG Niederhoffer Capital ManagementRGN Smart Alpha2%-3%-1%
Diamond Capital ManagementEnhanced S&P Program2%-4%-1%
P/E InvestmentsFX Strategy – Standard UCITS2%6%4%
The Great O’NeillGreat O’Neill2%1%6%
Caerus GroupOil Futures Trading Program2%2%-11%
Transtrend BVEnhanced Risk2%-3%0%
AQR Capital ManagementAQR Managed Futures2%-2%-1%
Panima Capital ManagementDiversified Futures2%0%6%
Schindler Capital ManagementInstitutional Dairy Advantage2%-2%8%
Transtrend BVStandard Risk1%-2%-1%
Conservative Concept AGAthena UI Fund1%3%9%
Salus Alpha CapitalDirectional Markets (DMX)1%3%10%
Alternative Capital AdvisorsStrategic Ag Program1%2%10%
ADG Capital ManagementADG Systematic Macro1%-2%-10%
J8 Capital ManagementJ8 Global Absolute Return Strategy1%-3%6%
AmundiAbsolute Volatility Euro1%1%23%
Global Sigma GroupAGSF1%1%9%
WG Wealth GuardianSAFI2 Program1%-6%5%
Global Sigma GroupGlobal Sigma Fund LP1%1%3%
Mobius Asset MgtMCR Trading Program1%0%-2%
LemanikGlobal Strategy1%-1%14%
AmundiGlobal Macro Bonds1%0%0%
Crystal Tower AdvisorsCrystal Tower Futures1%2%5%
AXA ChorusWorld Funds1%1%11%
Red Rock CapitalSystematic Global Macro1%-2%-6%
Goldman Sach ManagementGoldman Sachs Mngd Futures Strat Instl1%-2%1%
TagesPaladin1%0%9%
Gresham Investment ManagementManaged Futures Strat1%-1%2%
Ocean AretoArete Macro (Keplar)1%-3%5%
Campbell & CompanyManaged Futures1%0%-2%
Claughton CapitalARP Institutional Program1%0%35%
Global Sigma GroupEquity Advantage II1%1%4%
Chelton WealthCurrency Al1%2%13%
AmundiAbsolute Volatility World0%1%28%
RV CapitalAsia Opportunity0%0%4%
Neuberger Berman GroupDiversified Currency0%0%0%
PacificG10 macro rates0%0%9%
Numberline Capital PartnersNumberline0%1%8%
Altegris AdvisorsEvolution0%-1%-20%
Aspect Capital LimitedAspect Core Trend Fund0%-1%-1%
AlessiaAbsolute Return Macro0%0%3%
PIMCOEm Mkts Ccy and S/T Invsmt (daily)0%-1%-4%
AmundiGlobal Macro Bonds Low Vol0%0%-3%
AQR Capital ManagementGlobal Macro Opportunities0%0%-5%
Jyske CapitalFX Alpha0%0%-1%
Salus Alpha CapitalGlobal Alpha (GAX)0%0%15%
BerenbergDymacs Volatility Premium0%0%-24%
ManulifeAbsolute Return Opportunities0%0%0%
ColumbiaManaged Futures Strategy Fund0%-3%-5%
Absolute InsightCurrency0%0%0%
PIMCOTrends Composite0%-3%2%
Martin Fund ManagementMartin Options Program0%0%11%
Dunn Capital ManagementDUNN WMA Institutional (ML Capital) UCITS0%-2%-5%
AQR Capital ManagementManaged Futures UCITS0%-1%-3%
WellingtonGlobal Currency Absolute0%3%-1%
Fulcrum Asset ManagementMulti Asset Trend Fund0%-1%-9%
United Standard EquitiesSerie A0%0%13%
Blake Capital ManagementSRD Currencies0%0%0%
Campbell & CompanyCampbell Dynamic Trend Fund0%0%-3%
ecamos Capital AGecamos Core Strategy 2X0%0%-25%
Lynx Asset ManagementLynx0%-4%-4%
Winton Capital ManagementAbsolute Return Futures0%0%-14%
WG Wealth GuardianGVR Program0%-10%-26%
WG Wealth GuardianStrategic Volatility Returns Program0%-13%-14%
Mobius Asset MgtCeed Trading Program0%0%-3%
UBSCurrency Allocation Return0%-4%-17%
Warrington Asset ManagementStrategic0%0%0%
Winton Capital ManagementWinton Futures Fund0%0%-20%
BNP TheamQuant Volatility0%2%-20%
Red Rock CapitalCommodity Long-Short0%0%11%
BlackrockMacro Opportunities0%0%-1%
Aspect Capital LimitedDiversified Program0%-1%-9%
Mondiale Asset ManagementLeveraged Trading Proram0%3%23%
Graham Capital Mgmt LPTactical Trend0%-4%-6%
TRYCON GCMTungsten Trycon Basic0%0%4%
GuidePathManaged Futures Strat0%-3%6%
Quest PartnersAlphaQuest (ML Capital)0%-4%2%
Tom Capital AGModerate Model Portfolio0%-2%-22%
AXA ChorusWorld Funds Multi Strategy0%1%5%
361 Capital361 Global Managed Futures Strategy Fund0%0%-7%
Aspect Capital LimitedAspect Systematic Global Macro0%2%3%
PAK CapitalCurrency Program0%0%0%
UnigestionCross Asset Trend Follower0%-2%-7%
Graham Capital Mgmt LPGraham Macro UCITS0%0%11%
Dunn Capital ManagementManaged Futures Strategy (Arrow)0%-5%-10%
Crabel Capital MgmtCrabel Advanced Trend0%-3%7%
361 Capital361 Managed Futures Strategy Fund0%1%-14%
James AlphaMacro0%-2%-5%
Robust MethodsRobust Methods LLC-1%-10%19%
AmundiGlobal Macro Forex-1%-1%-4%
Garraway Capital ManagementGarraway Financial Trends-1%-2%-10%
Chelton WealthChelton Wealth Alternativ-1%1%14%
AcadianMulti Asset Absolute Return-1%-1%-4%
BridgewaterCore Global-1%-2%-10%
Abbey CapitalAbbey Capital Futures Strategy-1%-2%2%
Metori Capital ManagementEpsilon Global Trend (Lyxor)-1%-1%7%
MainfirstContrarian Opportunities-1%1%-11%
LupusAlpha Volatility Invest-1%0%-7%
Catalyst Capital AdvisorsMulti-Strategy-1%-1%-3%
Rational AdvisorsRational/ReSolve Adaptive Asset Allc-1%-3%-9%
SEB GroupAsset Selection-1%-1%-8%
Chesapeake Capital CorporationEquinox Chesapeake Strategy-1%-4%-9%
Tendance FinanceNext AM Fund-1%-1%16%
TresidesTotal Return Commodities-1%-2%-10%
Longboard Asset Management LPManaged Futures Strategy-1%-3%-7%
Goldman SachsAlternative Trend-1%-2%-3%
First Quadrant LPFQ Macro FX – 10% Risk-1%0%21%
LupusAlpha Volatility Risk-1%0%-14%
Winton Capital ManagementWinton Trend Fund-1%-3%-2%
Allianz Global InvestorsManaged Futures Strategy-1%-2%-11%
Fort LPGlobal Diversified UCITS-1%-1%-11%
CrossBorder CapitalAR Systematic Macro Strategy-1%-1%-2%
LoCorr Fund ManagementLong/Short Commodity Strats-1%1%9%
Fort LPGlobal Futures-1%-2%-7%
Campbell & CompanyAbsolute Return Portfolio (UCITS)-1%-3%-7%
CONTRENDIANCONTRENDIAN Master F-1%-2%-13%
Fort LPGlobal Trend UCITS-2%-1%0%
Man AHLAHL Diversity Alternative-2%-3%-6%
Schot Capital LimitedMulti Diversified Program-2%-2%4%
Lynx Asset ManagementConstellation-2%0%-2%
Man AHLAmerican Beacon AHL Mgd Futs Strat Instl-2%-3%1%
FS InvestmentsManaged Futures-2%-1%7%
AXA ChorusSystematic Macro-2%0%-3%
SEB GroupAsset Selection Opportunistic-2%-3%-19%
Man AHLAHL Trend Alternative-2%-4%-7%
Fort LPGlobal Contrarian UCITS-2%0%-3%
Quantica Capital AGManaged Futures Program-2%-4%-6%
SalusAlpha Directional Markets-2%1%8%
Blue Diamond Asset ManagementBlue Diamond Non-Directional Strategy-2%0%7%
Dorsey WrightDWA Tactical-2%-4%-4%
Cantab Capital PartnersCCP Core Macro-2%-3%-9%
LumynaEnhanced Equity Volatility-2%2%-13%
Systematica InvestmentsBlueTrend Fund-2%-4%-2%
SEB GroupDiversified-2%-1%-17%
Crabel Capital MgmtCrabel Gemini-2%-1%-1%
LoCorr Fund ManagementLoCorr Macro Strategies-2%-1%0%
IPM Informed Portfolio ManagementIPM Systematic Macro-3%-4%-12%
WG Wealth GuardianStrategic Volatility Master Program-3%-5%-6%
Guggenheim InvestmentsGuggenheim Managed Futures Strategy-3%-1%-3%
John Locke InvestmentsCyril Systematic Strategy-3%-6%2%
PanAgoraPanAgora Managed Futures Strategy-3%-1%-13%
Drury CapitalDiversified Trend-Following Program-3%-4%0%
Salus Alpha CapitalCommodity Arbitrage (CAX)-3%6%14%
MarketCipher PartnersMarketCipher Partners LLC-3%-3%3%
Quantica Capital AGManaged Futures Program 2x-4%-8%-14%
Superfund Capital ManagementManaged Futures Strategy-4%-5%1%
Equinox Fund ManagementMutualHedge Futures Strategy-4%-5%-25%
Millburn Ridegfield CorporationDiversified Program-4%2%-16%
Eclipse Capital ManagementGlobal Alpha-5%-4%1%
Southwest Managed InvestmentsGlobal Diversified-6%-8%8%
Equinox Fund ManagementEquinox Ampersand Strategy Fund-6%-6%-10%
Eclipse Capital ManagementGlobal Monetary Program-7%-6%11%
Kinkopf Capital ManagementS&P Select Program-9%-13%-9%
120 Capital ManagementQuantamental Global Macro Program-8%-5%

Leave a Reply

Please log in using one of these methods to post your comment:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out /  Change )

Google photo

You are commenting using your Google account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

Connecting to %s

This site uses Akismet to reduce spam. Learn how your comment data is processed.