Manager performance rankings

1-Barclay LogoCTA Intelligence’s performance tables present a monthly snapshot of the investment returns of the managed futures universe.

The rankings are based on returns self-reported by CTAs and hedge funds with more than $1m in assets, encompassing managed accounts, offshore funds, Ucits and ’40 Act vehicles.

The rankings are compiled by CTA Intelligence using data from BarclayHedge and Morningstar. Some returns are latest estimates at time of publication and may be subject to revision.

The figures published here are for information purposes only and are not to be construed as investment advice. Publication does not constitute an offer or solicitation to buy any program or fund. Past performance is not indicative of future returns.

To include a program in the listings please contact performance@ctaintelligence.com or list your CTA at www.barclayhedge.com.

Top performers in March

 NameReturns
Top overall CTAGeosol Capital23.6%
Top Over $250m CTAKeyQuant (Key Trends) 11.8%
Top $50m-$250m CTAGeosol Capital 23.6%
Top Under $50m CTABrandywine AM (Symphony Preferred) 13.7%
Top US Mutual FundArrow Managed Futures Strategy 5.7%
Top Ucits FundKeyTrends6.7%

Top 20 CTAs of 2017

ProgramMar 2017. Return (%)YTD Return (%)2016 Return (%)AUM $m
Geosol Capital (Onshore I)-1.961.8-18.92
Geosol Capital-2.142.9-14.458
Alpha Z (Futures Fund)16.321.861.79
Advanced Arbitrage Concepts (Acc't 2)0.720.8-12.97
Vivienne Investissement (Mach 3)6.519.227.95
QQFund.com (Investment Program 1)6.117.4-19.43
Quantitative Invest. Mgmt (Gl. 3X)3.016.556.7400
Brandywine AM (Symphony Preferred)-8.015.636.45
Superfund Capital Mgmt (Green Gold C)-0.614.2-21.67
Taaffeite Capital Mgmt (Growth)-4.010.736.416
SandPointe (US Volatility)4.29.732.433
Ring Capital Mgmt (S&P E-Mini)1.98.6-22.04
M&R Capital0.88.33.63
Capital Fund Mgmt (Discus C USD 2X)3.17.810.963
Progressive (Edelweiss K)1.07.622.041
Quantica Capl (2X QMF)0.37.516.360
Premium Currency (Curr. Plus)0.17.4-3.7166
Ramsey Quantitative Systems (GAAF)0.57.314.5380
Seven Capital Mgmt (BlackSnake)-1.67.24.811
Cambridge Strategy (Extended Mkts)4.37.23.42

Top 40 Largest CTAs – YTD

ProgramMar 2017. Return (%)YTD Return (%)AUM $m
Quantitative Invest. Mgmt (Gl. 3X)3.016.5400
Ramsey Quantitative Systems (GAAF)0.57.3380
Quantitative Invest. Mgmt (Global)1.05.32087
First Quadrant (Essential Beta)0.65.1334
Doherty (Orion)0.04.8541
DUNN Capital Mgmt. (WMA)-0.94.31459
IPM Systematic Macro6.34.13405
ADG Systematic Macro Fund Ltd2.74.1479
Systematica (SAM)0.13.8967
FDO Partners (Gl. Quant. Currency)0.83.62003
Doherty (Compass)0.23.5541
FORT (Global Contrarian LP)-0.43.41769
Quantica Capl (Managed Futures)0.13.4452
Millburn Ridgefield Corp (Divers.)0.93.22230
PIMCO (PCAF)-0.92.81390
Man (AHL Evolution)0.62.85100
Cantab Capital Ptnrs (Core Macro)-0.62.71400
Amplitude Capital (Dynamic)3.42.5431
AlphaParity (Global Premia BB)1.62.4419
DUNN Capital Mgmt (WMA Institutional)-0.42.21459
Amplitude Capital (Klassik)2.22.0964
Cantab Capital Ptnrs (Aristarchus)-1.71.62200
AlphaParity (Global Premia A)1.01.5419
First Quadrant (TCA L/S USD)2.01.42325
Mondiale Asset Mgmt (Trading 2X)-0.11.3548
Winton Capital Mgmt (Divers Futures)0.01.131600
Splendor Capital (Credence Global)0.21.1434
Harmonic Capital (Currency 10v)-1.01.01688
FORT (Global Futures)-2.71.0794
Harmonic Capital (Macro 15v)-3.31.01688
QMS (Diversified Global Macro)-3.30.92673
H2O AM LLP (Force 10 USD)5.20.913030
Tudor Momentum Fund0.70.9368
FORT (Global Diversified LP)-1.30.7547
First Quadrant (TCA L/S USD 2%)0.90.7900
Harmonic Capital (Alpha Plus Macro I)-3.50.61688
John Street Capital (Vantage)2.20.6289
Mondiale Asset Mgmt (Trading)-0.10.6548
Doherty (RV Growth)0.30.5524
John Street Capital (Trident)1.70.5289

Top 40 Medium sized CTAs – YTD

ProgramMar 2017. Return (%)YTD Return (%)AUM $m
Geosol Capital-2.142.958
Capital Fund Mgmt (Discus C USD 2X)3.17.863
Quantica Capl (2X QMF)0.37.560
Premium Currency (Curr. Plus)0.17.4166
24FX Global Advisors1.96.591
Ortus Capital Mgmt. (Currency Aggr)3.35.4138
First Quadrant (TCA L/S USD 20%)8.35.2230
Salus Alpha Capital (CAX)0.85.1100
Goldman Mgmt (Navigator)0.04.957
Cambridge Strategy (Emerging Mkts)1.14.8106
J E Moody & Company (CRV 3X)6.04.7164
Tiber Capital (Diversified)7.74.5136
Altis Partners (GFP Composite)-2.94.5186
Eclipse Capital Mgmt. (Gl. Monetary)-2.04.4143
Tianyou Fund LP1.23.9121
van Essen, Emil (Spread Trading Ltd)0.53.950
Salus Alpha Capital (GAX)2.73.870
Cambridge Strategy (Asian Mrkts)1.83.751
Harvest Volatility Mgmt (LSR)-0.53.6171
LJM Partners (LJM Fund LP)2.73.6193
Katonah Capital Partners LLC0.93.651
Higher Moment Opportunities Fund2.43.4173
First Quadrant (Global Risk GBP A)0.03.3135
Salus Alpha Capital (DMX)-2.03.2150
Global Sigma Group (AGSF)1.03.2113
AE Capital (Systematic FX)2.73.0236
SCT Capital Mgmt (AQT)0.13.0226
GalNet Asset Mgmt (Alpha Fund)2.63.077
IPM Systematic Currency (C)4.83.0125
Millburn (Nestor Ptnrs-Private Client)0.82.8163
Amplitude Capital (Adagio)0.92.676
Global Sigma Group (Sigma Plus)0.82.6193
Four Seasons Comm. (Hawkeye)2.02.592
EMC Capital Advisor (Alpha)-1.32.5250
Mizuho Alt. Inv (Sunstone)1.72.455
Warrington Asset Mgmt (Strategic)1.92.478
Ortus Capital Mgmt (Ko-Zhou FX)1.32.4112
Metzler Asset (Nordea 1 L/S MI AI)-0.22.396
van Essen, Emil (MSP)0.32.282
Sequoia Capital Fund Mgmt (FX)0.21.9101

Top 40 Small CTAs – YTD

ProgramMar 2017. Return (%)YTD Return (%)AUM $m
Geosol Capital (Onshore I)-1.961.82
Alpha Z (Futures Fund)16.321.89
Advanced Arbitrage Concepts (Acc't 2)0.720.87
Vivienne Investissement (Mach 3)6.519.25
QQFund.com (Investment Program 1)6.117.43
Brandywine AM (Symphony Preferred)-8.015.65
Superfund Capital Mgmt (Green Gold C)-0.614.27
Taaffeite Capital Mgmt (Growth)-4.010.716
SandPointe (US Volatility)4.29.733
Ring Capital Mgmt (S&P E-Mini)1.98.64
M&R Capital0.88.33
Progressive (Edelweiss K)1.07.641
Seven Capital Mgmt (BlackSnake)-1.67.211
Cambridge Strategy (Extended Mkts)4.37.22
Advanced Arbitrage Concepts (Acc't 1)0.37.17
Integra Capital (Investment Fund A)2.66.95
Opus Futures3.56.723
Taaffeite Capital Mgmt (Global Index)-2.66.416
Camkay Capital Mgmt (Short Term)3.46.34
Buckingham Global Advisors (WEP)2.16.24
Blue Bar Futures Trading Mgmt3.36.21
D'Aguilar (Backbone Asia)1.66.029
Coloma Capital Futures (Hedged Vol.)2.36.08
Superfund Capital Mgmt (SPC C USD)-0.55.98
White Indian (Alternative Hedge)2.15.92
Aleph One Fund Mgmt (Isotropic)17.65.84
SandPointe (Opportunities)2.35.822
Crescent Bay Capital (BVP)3.45.31
Demeter Capital Mgmt (Livestock)0.85.313
TrendConcept (MAA)3.35.26
Attain (Spread Trading)0.85.23
Orbits Venture (Risk Sigma 2)1.95.124
Bayou City Capital2.04.96
Zoi Capital (Telio)4.14.91
GNE (S&P Futures)5.14.69
Aquantum (ACS)1.74.635
White River Group (Dynamic)1.84.522
Gamma Q (Breckhurst)6.44.58
HB Capital Mgmt (Diversified)0.64.56
Diamond Capital Mgmt. (Enhanced S&P)0.44.410

Top Ucits funds – YTD

NameMarch Ret (%)YTD Ret (%)AuM €m
Seven Ucits Seven Absolute Ret EUR-I0.46.518
EIS Tactical Emerging Exposure I-0.46.3147
Ouessant A2.26.317
DCM Systm SICAV-SIF-Dvrs Alpha P EUR Acc0.05.715
amandea – ALTRUID HYBRID A1.65.513
HSBC Trinkaus Sector Rotation2.75.321
EIS Tactical US & Volatility Exposure I1.25.1157
GMO Systematic Global Macro EUR0.74.6609
Boersenampel Fonds Global I1.64.47
Diadema Algorithmic Strategy R-0.34.06
Superfund Red SICAV EUR Acc0.84.00
Superfund Green EUR SICAV-0.63.70
Valinor Global Equity Alpha Ucits R EUR-0.73.72
Lyxor Epsilon Global Trend I-1.63.5228
TriStone UI Q2.73.59
TriStone UI I2.73.49
Fort Global Ucits Contrarian B EUR Acc-0.43.1407
FORT Global Ucits Contrarian I EUR-0.43.1407
Reverso A1.53.15
Nomura Cross Asst Mom Ucits I EUR2.02.7258
Reverso Ex Act-Mde/EUR1.42.65
Man AHL Trend Alternative IN H EUR Acc-1.12.6375
FundLogic Quantica Mgd Futs Ucits I EUR-0.12.6102
Keynes Dynamic Beta Strategy A EUR-0.22.59
Cyril Systematic I-0.82.412
Nordea 1 - Heracles LS MI I BI EUR-0.22.490
Windmill Trend Evolution B EUR Acc0.22.335
Windmill Trend Evolution EUR Acc0.22.235
Galaxy C EUR-1.92.118
Man AHL Diversity Alt IN H EUR Acc-1.12.1265
UniKonzept: Portfolio I0.02.01208
Lyxor WNT I EUR0.02.0488
R4 CTA Trading FI0.92.01
UniInstitutional European Mixed Trend2.51.99
Echiquier QME0.81.8101
GS Alternative Trend Other Ccy Acc EUR H0.21.8158
MontLake Dunn WMA Instl Ucits € Inst B P-0.61.7210
GAM Star Systm Dvrs Macro Inst EUR Acc-0.81.76
Planetarium Anthilia Grey B EUR-0.61.37
R CFM Trends I EUR H Acc-2.71.20
Graham Tactical Trend (Fincls) Ucits B €-1.31.2130
Winton Diversified (Lux) B EUR Acc-0.21.013
AQR Mgd Futures Ucits B EUR-1.31.0632
DB Platinum IV Systematic Alpha I1C-E-0.11.01538
GMP - Superfund Blue C EUR1.20.819
Superfund Green Q-AG-0.60.737
Lazard Dividendes Min Var Abs Return C0.30.64
Salus Alpha Directional Markets R EUR-0.20.21
PIMCO GIS TRENDS Mgd FutrsStrInst€ H Acc-0.30.2134
PAM Alpha Fund I EUR1.20.240

Top managed futures mutual funds – YTD

NameMarch Ret (%)YTD Ret (%)AuM $m
Equinox Chesapeake Strategy I0.15.652
Superfund Managed Futures Strategy I2.15.45
Longboard Managed Futures Strategy I0.64.8495
Arrow Managed Futures Strategy Instl-1.04.0129
Salient Trend I-1.63.842
361 Global Counter-Trend I1.72.960
Equinox IPM Systematic Macro I4.12.3501
Grant Park Managed Futures Strategy I-0.32.227
Catalyst/Auctos Multi-Strategy I0.72.211
Equinox MutualHedge Futures Strategy I1.21.9279
Campbell Multi-Asset Carry Institutional3.31.715
Guggenheim Managed Futures Strategy I-0.11.697
Equinox Systematica Macro I1.31.54
LoCorr Long/Short Commodity Strats I1.21.4115
GuidePath® Managed Futures Strat Instl-1.11.483
LoCorr Managed Futures Strategy I-1.41.3972
Campbell Dynamic Trend Institutional0.21.19
American Beacon AHL Mgd Futs Strat Instl0.11.0493
American Beacon AHL Mgd Futs Strat Y0.21.0493
Catalyst Time Value Trading I0.61.04
Insignia Macro I0.30.954
Altegris Futures Evolution Strategy I-0.80.8580
Goldman Sachs Mngd Futures Strat Instl0.10.6155
Natixis ASG Managed Futures Strategy Y-1.80.53038
Wakefield Managed Futures Strategy I0.70.412
Altegris Managed Futures Strategy I-1.40.4172
Steben Managed Futures Strategy I-1.40.183
Rational Dynamic Momentum I-2.80.017
Equinox Campbell Strategy I-1.2-0.1480
Equinox Aspect Core Diversified Strat I-0.9-0.532
LoCorr Market Trend I-3.4-0.7921
Altegris Macro Strategy I-0.8-0.74
Transamerica Managed Futures Strategy I2-2.7-0.8166
Hatteras Managed Futures Strat Instl-2.3-1.024
AQR Managed Futures Strategy I-2.7-1.012699
Altegris GSA Trend Strategy I-1.2-1.247
Monte Chesapeake Macro Strategies I-6.1-1.27
AQR Managed Futures Strategy HV I-4.1-1.3746
361 Managed Futures Strategy I-1.2-1.4466
PIMCO TRENDS Managed Futures Strat Instl-0.8-1.4309
SFG Futures Strategy I-0.6-1.426
State Street/Ramius Mgd Futs Strat I-2.2-1.543
Abbey Capital Futures Strategy I-2.0-1.5821
Equinox BH-DG Strategy I-3.3-3.30
Credit Suisse Managed Futs Strat I-1.9-4.0196
Aspen Managed Futures Strategy I-3.3-4.4216
Equinox Crabel Strategy I0.1-6.52
Direxion Idxd Mgd Futures Strat Instl-1.1-8.324