Early Estimates – Nov 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.

Based on early reporting, the estimated MTD performance for Hedge Funds is 5.6% taking the YTD number to 10.8%. The estimated MTD performance for CTAs is 2.3% taking the YTD number to 4.1%. 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/.

Explore our free overview of Hedge Fund performance at https://nilssonhedge.com/reports/nilsson-report/
Sign up for the database here: https://nilssonhedge.com/database-info/databaseinfo/database/register-for-access-to-the-database/

The Database contains 1973 different managers, representing 3617 different investment strategies. For the current reporting month, 902 managers have reported returns. For the prior month, we have 1542 live managers. In terms of CTAs, for the current reporting month, 164 CTA programs have reported returns. For the prior month, we have 636 live programs.In total, the database contains 26044 years of manager data. We cover 377 bn of Assets in the Hedge Fund space. Out of which 194 bn of Assets in CTA/Managed Futures managers.

Below is results for CTA managing more than $100mn, sorted by returns for the month.

ManagerProgramCurrent MonthPrior MonthYTD
UBSCurrency Allocation Return9%0%-9%
IPM Informed Portfolio ManagementIPM Systematic Macro7%-2%-6%
Drury CapitalDiversified Trend-Following Program7%-3%6%
Equinox Fund ManagementMutualHedge Futures Strategy6%-4%-20%
Systematica InvestmentsBlueTrend Fund6%-2%5%
SEB GroupAsset Selection6%-1%-3%
NNAlternative Beta6%0%10%
Crabel Capital MgmtCrabel Advanced Trend6%0%14%
Quantica Capital AGManaged Futures Program Focus5%-2%0%
BridgewaterCore Global5%-1%-5%
Cantab Capital PartnersCCP Core Macro5%-2%-5%
Quantica Capital AGManaged Futures Program5%-2%-1%
Ocean AretoArete Macro (Keplar)5%1%10%
Millburn Ridegfield CorporationDiversified Program5%-5%-12%
Blue Diamond Asset ManagementBlue Diamond Non-Directional Strategy5%-2%12%
Allianz Global InvestorsManaged Futures Strategy4%-1%-5%
LupusAlpha Volatility Risk4%-1%-10%
Man AHLAmerican Beacon AHL Mgd Futs Strat Instl3%-2%5%
Man AHLAHL Trend Alternative3%-2%-4%
PGIM QMAKeynes Systematic3%-1%0%
Man AHLAHL Diversity Alternative3%-2%-3%
EMC Capital AdvisorsAlpha Program3%-1%5%
Fort LPGlobal Contrarian UCITS3%-2%0%
AmundiAbsolute Return Multi3%0%3%
Abbey CapitalAbbey Capital Futures Strategy2%-1%4%
Goldman SachsAlternative Trend2%-1%-1%
Graham Capital Mgmt LPTactical Trend2%-1%-4%
JPMorganGlobal Macro2%0%6%
ADG Capital ManagementADG Systematic Macro2%2%-7%
Altegris AdvisorsEvolution2%0%-18%
PIMCOTrends Composite2%0%4%
Crabel Capital MgmtCrabel Gemini2%-2%0%
Campbell & CompanyManaged Futures2%1%0%
Mondiale Asset ManagementLeveraged Trading Proram2%0%24%
AmundiGlobal Macro Forex1%-1%-3%
Metori Capital ManagementEpsilon Global Trend (Lyxor)1%-1%8%
Mulvaney Capital ManagementGlobal Diversified Program1%2%-1%
RV CapitalAsia Opportunity0%1%5%
AXA ChorusSystematic Macro0%-2%-3%
Fort LPGlobal Diversified UCITS0%-1%-11%
First Quadrant LPFQ Macro FX – 10% Risk0%-1%21%
AQR Capital ManagementAQR Managed Futures HV Strategy0%3%0%
Dunn Capital ManagementDUNN WMA Institutional (ML Capital) UCITS0%0%-5%
AXA ChorusWorld Funds Multi Strategy0%0%4%
Aspect Capital LimitedAspect Systematic Global Macro-1%0%3%
Winton Capital ManagementWinton Futures Fund-1%0%-21%
Graham Capital Mgmt LPGraham Macro UCITS-1%-1%9%
Transtrend BVEnhanced Risk-1%2%-1%
Aspect Capital LimitedAspect Core Trend Fund-1%0%-3%
Aspect Capital LimitedDiversified Program-2%0%-11%
AQR Capital ManagementManaged Futures UCITS-3%0%-6%
AmundiAbsolute Volatility World-3%0%24%
AmundiAbsolute Volatility Euro-3%1%19%
AQR Capital ManagementAQR Managed Futures-3%2%-4%
LemanikGlobal Strategy-4%1%10%
P/E InvestmentsFX Strategy – Standard UCITS-9%2%-6%