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Performance Preview – October 22

October was generally a positive month for Hedge Funds and Liquid Alternatives, with most strategies producing positive numbers. CTAs, the strategy with the best performance year-to-date, posted a small positive number. This is based on early reporting and we have collected data from more than 1,400 strategies, including almost 300 CTA programs.

Please note that this data is based on early estimates, and we have certainly noted an “early-reporting” bias this month and the final result may shift lower.

Strategies that depend on positive equity market beta generally did well, but have some catching up to do. Crypto Managers, which have been rather highly correlated with Risk-on environments caught up and delivered 4% (which is modest given historical volatility).

Asset Allocation, Long-only, and Equity Long Short strategies delivered around 2%. This compares to ~8% for the S&P 500.

Year-to-date, strategies with a trend bias are doing really well. Risk Premia strategies have kept up well, and market-neutral strategies are slightly positive. We note that the indices are different from the average results above, due to the composition of the two benchmarks.

From a generalized perspective of Alternative Investments, the outperformance of CTAs is rather remarkable, as they have overtaken Long/Short Equity, Event Driven, and Market Neutral in the last two years.

Looking at the top 10 managers by size, we note that managers with positive returns year-to-date, most of them are CTAs, although not always trend-following managers.

ManagerProgramOctoberSeptemberYTDPrior YTDRisk
Man AHLAHL TargetRisk Fund2%-4%-16%14%9%
DWSConcept Kaldemorgen1%-2%-3%11%6%
Graham Capital   Mgmt LPTactical Trend4%3%42%2%11%
Millburn   Ridgefield CorporationDiversified Program1%7%20%7%17%
Nordea Asset   ManagementNordea 1  Alpha 10 MA Fund3%-2%-5%11%7%
Nordea Asset   ManagementNordea 1  Alpha 15 MA Fund4%-4%-8%17%11%
Transtrend BVEnhanced Risk1%5%30%22%14%
PIMCOTrends Composite0%7%23%15%9%
Top 10 Managers by Size

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