Manager performance rankings

CTA 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 systematic hedge funds, encompassing managed accounts, offshore funds, Ucits and ’40 Act vehicles.

The rankings are compiled by CTA Intelligence using HFM and Morningstar data.

Some returns are latest estimates at time of publication and may be subject to revision. The figures published 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.

If you would like to ensure your program or fund is included in our performance tables, please contact Siobhan Hallissey on +44 207 832 6677 or at shallissey@hedgefundintelligence.com

Top 20 CTAs of 2017

Program/fund nameYTDSep-17Last 3 monthsLast 12 monthsAnnualised return (3yr)AUM (US$m)
SteppenWolf Systematic Intelligence – 30 Vol36.2%2.8%4.3%52.2%n/a10
AG Capital - Discretionary Global Macro Program33.5%8.4%34.8%52.0%31.0%10
Nesvick Trading - Opus Futures33.3%0.4%8.6%26.8%5.8%35
Volpoint Capital - Volpoint Fund29.8%-1.4%-5.2%36.5%n/a8
Vivienne Investissement - MACH 329.0%3.8%6.2%26.7%n/a11
AIS Gold Fund28.2%-8.7%4.7%-8.8%11.7%14
SCC Capital - Summit Premium Plus Fund20.4%2.9%7.6%24.9%9.4%9
Buckingham Global Advisors - Weekly Emini Program - CTA18.0%1.4%5.2%25.4%n/a12
Insch Kintore16.6%0.9%12.2%40.1%n/a107
QIM - Quantitative Global 3X Fund16.4%9.1%-0.2%33.4%36.2%2003
Pilgrim Partners Asia - Ascent Global Futures16.1%-0.3%-0.7%11.4%n/a11
2Blue Capital - Tactical ES16.1%0.4%1.8%24.1%n/a3
Oxeye Growth Fund15.7%2.9%5.3%21.0%-12.8%15
Tianyou Fund15.4%1.6%5.2%18.1%21.4%104
Systematica Alternatives Markets Fund15.2%0.6%8.2%21.7%n/a1200
Ring Capital - S&P E-Mini Select Futures Program15.1%-0.2%3.0%11.5%5.0%7
Taaffeite Capital - TCM Global Index Fund (Growth)14.5%-1.8%-1.7%5.8%n/a17
LJM Managed Futures Account14.4%0.7%4.4%18.9%15.1%54
Cantab Capital Partners - Quantitative Fund14.2%-1.1%11.3%3.5%9.3%1800
Rosetta MacroTrading Program13.7%1.8%6.1%-1.7%-10.7%1

Top 40 Largest CTAs

Program/fund nameYTDSep-17Last 3 monthsLast 12 monthsAnnualised return (3yr)AUM (US$m)
QIM - Quantitative Global 3X Fund16.4%9.1%-0.2%33.4%36.2%2003
Systematica Alternatives Markets Fund15.2%0.6%8.2%21.7%n/a1200
Cantab Capital Partners - Quantitative Fund14.2%-1.1%11.3%3.5%9.3%1800
RQSI GAA Systematic Global Macro Program11.2%0.1%0.3%11.3%10.3%388
Man AHL Evolution10.7%-0.8%3.3%12.9%9.4%6300
Aleph One Isotropic Fund10.4%-14.2%-6.6%40.8%n/a4155
PIMCO Commodity Alpha Fund9.8%0.7%4.5%14.9%13.8%1518
Amplitude Capital - Dynamic8.1%0.8%6.6%5.4%-1.6%482
Cantab Capital Partners - Core Macro Fund8.1%-0.5%5.4%4.7%8.2%1600
AE Capital Systematic FX Fund7.2%3.0%1.8%11.5%15.0%308
Capstone Volatility Master (Cayman)6.0%0.0%1.4%6.5%5.2%2300
Splendor Capital -Credence Global5.8%1.7%2.6%9.5%18.0%368
John Street Vantage Strategy (Normal)5.5%1.7%11.9%3.8%12.9%282
2X Quantica Managed Futures Fund (Cayman)5.1%-7.4%0.1%1.6%-0.4%457
JD Capital - Tempo Volatility Master Fund4.1%0.3%2.1%4.6%15.7%578
GCI Systematic Macro Strategy (25% target volatility)3.7%2.2%17.6%-0.8%26.2%402
Amplitude Capital - Klassik3.2%-2.2%-1.9%4.7%7.8%1124
Millburn Ridgefield Corp - Nestor Partners2.7%-1.5%2.9%0.2%7.9%2900
Fort Global Contrarian2.7%-2.9%1.0%-2.5%2.2%2071
Twin Tree Capital Master Fund2.4%0.0%0.0%2.8%14.8%436
AHL Dimension (Cayman)2.4%-0.9%2.3%4.2%4.9%5700
Millburn Multi-Markets Trading2.3%-1.7%3.2%0.0%8.0%542
Doherty Advisors - Relative Value Growth1.7%0.2%0.8%2.3%4.8%495
Dominicé & Co - The Cassiopeia Fund1.3%0.4%-0.7%0.5%3.5%320
AlphaGen Long Short Agriculture Fund1.2%-1.1%0.4%1.1%-0.2%786
Florin Court Capital Fund1.1%2.0%11.2%-5.0%n/a420
CFM Institutional Systematic Trends Fund (10% Volatility)1.0%-1.1%3.0%-8.5%n/a1406
PIMCO Multi-Asset Volatility Strategy1.0%0.6%1.1%4.2%3.7%897
AHL Alpha (Cayman)0.8%-3.3%1.7%0.1%2.7%4000
Winton Diversified Strategy Fund0.3%-2.7%1.0%-1.8%4.0%27531
Fort Global Diversified0.2%-4.0%-1.1%-3.4%3.3%581
AlphaGen Relative Value Agriculture Fund0.1%-0.5%-1.2%-0.7%2.1%786
Quantmetrics Multi Strategy Fund-0.8%-1.5%-1.4%-0.6%-2.1%Undisclosed
The Keynes Leveraged Quantitative Strategies Fund-0.8%-0.3%3.3%-2.8%2.8%323
FORT Global Futures Program-1.0%-5.0%1.7%-7.5%3.7%1525
Doherty Advisors - Relative Value Plus (RVP)-1.1%-0.2%-0.3%-1.6%1.4%495
Lyxor Epsilon Managed Futures Fund-1.4%-2.1%2.5%-10.1%-2.7%383
Campbell Offshore Fund – Managed Futures-2.3%-1.3%1.9%-6.2%-1.5%2825
FORT Global Trend Program-2.5%-2.6%1.3%-6.0%3.3%222
Dunn WMA Program-2.8%0.2%-2.8%-16.0%7.5%557

Top 40 Medium sized CTAs

Program/fund nameYTDSep-17Last 3 monthsLast 12 monthsAnnualised return (3yr)AUM (US$m)
Insch Kintore16.6%0.9%12.2%40.1%n/a107
Tianyou Fund15.4%1.6%5.2%18.1%21.4%104
Progressive Capital - Edelweiss Volatility Fund13.3%-1.9%2.6%14.8%8.2%117
LJM Fund13.3%0.9%4.0%16.5%12.5%224
Superfund Green USD11.5%-0.8%8.0%-1.7%n/a83
GZC Strategic Commodities Fund10.7%0.5%-0.5%9.0%10.0%141
Global Sigma Group - AGSF9.3%0.9%2.6%12.0%10.0%117
Eclipse Global Monetary Program7.2%-5.3%6.6%-3.3%-0.9%136
Global Sigma Plus7.2%0.7%1.9%9.4%6.2%194
M6 Standard Program7.0%0.3%1.0%-0.9%-1.6%129
Cornerstone Acquisition & Mgmt - Caritas Royalty Fund6.9%0.6%4.8%8.7%7.8%67
Tiber Diversified Program6.6%-2.0%-0.7%7.2%5.2%155
Granite Alphen Capital Fund5.5%-0.4%2.3%8.9%8.2%78
Esulep Permo Fund5.4%0.5%1.9%6.3%7.2%226
Paskewitz Contrarian S&P Program4.8%0.4%1.7%3.8%5.4%270
EMC Alpha Program4.8%-2.9%0.8%-2.0%3.7%95
McMillan Asset Mgmt - Volatility Capture Equity Options4.6%0.3%1.9%6.9%8.4%63
Warrington Strategic4.5%0.2%-0.2%4.9%3.8%80
Sequoia Systematic FX Managed Accounts4.1%2.3%6.9%2.3%2.8%103
Paris Capital Relative Value Fund4.1%0.6%0.0%5.7%6.1%51
EMC Alpha Plus Program3.8%-4.3%1.8%-5.0%5.6%204
Campbell Offshore Fund - Absolute Return3.6%1.2%4.7%2.1%3.6%231
Altis Master Fund ICC - Global Futures Portfolio Composite3.6%-2.8%-2.4%-18.6%-7.0%183
GalNet Alpha Fund3.6%1.5%3.2%12.4%5.8%81
Runestone Capital Fund3.4%0.1%0.8%1.8%n/a52
Hadron Capital - Hadron Fund3.1%0.6%-1.0%1.8%2.6%Undisclosed
Dormouse Fund3.0%3.7%8.9%1.7%n/a63
Millburn Commodity Fund2.9%1.2%8.1%-1.1%8.1%169
Four Seasons Commodities Corp - Hawkeye Spread2.3%0.0%-0.4%2.3%1.3%102
Altiq Futures Program1.5%1.6%4.4%-5.6%8.3%137
NickJen Capital - NRD-10.9%-0.3%-0.4%-0.2%1.2%67
Whitehaven Correlation Fund Segregated Portfolio0.0%0.2%0.5%0.0%6.1%129
Jaguar Investments - The ULTRO Strategy-0.2%0.0%-0.9%-0.7%2.0%74
Boronia Risk Premia Program-0.7%0.1%-0.5%-3.1%n/a55
Aventis Diversified Commodity Fund-0.9%-0.2%2.6%-2.7%-1.8%235
DYNAMIC Trend (SMA1)-1.2%-1.2%0.7%-2.6%n/a157
Eckhardt Standard Plus Program-1.7%-0.1%0.3%0.7%2.2%208
Chesapeake Diversified Program-1.8%-1.5%-0.4%-5.9%1.5%141
Boronia Momentum Program-2.2%-1.1%-0.7%-8.0%n/a51
SMN Diversified Futures Fund (i14)-2.5%-4.2%-0.7%-10.2%4.2%196

Top 40 Small CTAs

Program/fund nameYTDSep-17Last 3 monthsLast 12 monthsAnnualised return (3yr)AUM (US$m)
SteppenWolf Systematic Intelligence – 30 Vol36.2%2.8%4.3%52.2%n/a10
AG Capital - Discretionary Global Macro Program33.5%8.4%34.8%52.0%31.0%10
Nesvick Trading - Opus Futures33.3%0.4%8.6%26.8%5.8%35
Volpoint Capital - Volpoint Fund29.8%-1.4%-5.2%36.5%n/a8
Vivienne Investissement - MACH 329.0%3.8%6.2%26.7%n/a12
AIS Capital - AIS Gold Fund28.2%-8.7%4.7%-8.8%11.7%14
SCC Capital - Summit Premium Plus Fund LP20.4%2.9%7.6%24.9%9.4%9
Buckingham Global Advisors - Weekly Emini Program - CTA18.0%1.4%5.2%25.4%n/a12
Pilgrim Partners Asia - Ascent Global Futures SP16.1%-0.3%-0.7%11.4%n/a8
2Blue Capital - Tactical ES16.1%0.4%1.8%24.1%n/a3
Oxeye Capital- Oxeye Growth Fund15.7%2.9%5.3%21.0%-12.8%15
Ring Capital - S&P E-Mini Select Futures Program15.1%-0.2%3.0%11.5%5.0%7
Taaffeite Capital- TCM Global Index Fund (Growth)14.5%-1.8%-1.7%5.8%n/a17
LJM Managed Futures Account14.4%0.7%4.4%18.9%15.1%48
Rosetta MacroTrading Program13.7%1.8%6.1%-1.7%-10.7%1
Aquantum Commodity Spread (ACS) Program13.2%-4.7%5.6%5.4%-0.3%39
PMC Managed Futures Segregated Portfolio12.8%2.3%4.4%11.0%8.5%13
Crescent Bay Premium Stock Index Program12.5%0.9%2.7%7.9%9.2%0
GNE Management - S&P Futures and Options Strategies12.4%-0.2%3.0%18.4%21.0%23
Aquantum - ACS Energies Program12.3%1.2%8.9%n/an/a3
Pearl Capital - Hedged VIX Program10.6%0.3%7.1%9.3%n/a27
Emil Van Essen Long-Short Commodities Program10.6%-0.7%6.9%8.7%8.5%1
Bao Capita - Strategic Volatility Returns10.5%1.0%-7.0%12.9%n/a3
Bear Commodities Level II Trading Program9.2%4.9%10.2%2.7%15.8%0
Cauldron Investments - Stock Index Plus Program8.4%1.2%3.0%10.3%5.2%23
Taaffeite Capital - TCM Global Index Fund (Flagship)8.2%-1.6%-1.5%2.6%23.4%4
LJM Preservation & Growth Fund7.8%0.4%2.1%9.3%7.7%30
DCM Systematic Fund - Diversified Alpha7.0%1.5%5.5%-0.4%n/a16
Warrington Tactical6.7%0.6%1.6%8.2%6.5%30
Alder Capital - Calm Eurozone Equity Programme6.5%3.6%2.6%10.5%n/a42
Nesvick Trading - M&R Capital6.5%5.4%6.4%20.9%n/a4
McMillan Asset Management - Volatility Capture Futures Options6.5%0.6%3.4%9.5%12.7%21
Emil Van Essen Commodity Opportunities Program6.0%-1.0%-1.1%2.3%n/a1
Seven BlackSnake Fund5.9%-2.1%3.2%2.1%-4.1%11
AIMS Asset Management - Phoenix Gold Fund5.9%-2.7%7.2%-10.3%15.0%41
Paradox Capital - Sentiment Program (1X)5.8%-0.3%0.2%3.5%0.4%2
Crescent Bay Balanced Volatility Program5.8%0.4%-0.5%9.8%12.9%2
Amplitude Capital - Vivace5.7%-2.1%3.4%0.4%n/a38
Nesvick Trading - Ditsch Trading5.6%0.2%0.3%2.5%1.0%16
Superfund Green Q-AG5.5%-0.8%4.3%-3.5%-2.9%40

Top 40 Ucits funds

Fund nameYTDSep-17Last 3 monthsLast 6 monthsLast 12 monthsAnnualised return (3yr)AUM (US$m)
John Locke Investments - Cyril Systematic Fund (Ucits)10.6%-1.4%2.6%8.0%16.0%8.2%16
amandea - Altruid Hybrid C (Ucits)9.9%-0.2%3.4%3.6%12.3%4.4%15
Vivienne Investissement - OUESSANT (Ucits)8.8%1.3%2.1%2.4%7.9%3.4%100
Seven Absolute Return Fund (Ucits)7.6%-1.3%1.9%1.0%7.4%1.6%22
Man AHL Trend Alternative (Ucits)6.7%-3.7%3.3%4.0%8.6%5.6%505
Tiber Diversified Program (Ucits)6.4%-2.1%-0.9%1.6%7.0%n/a57
Man AHL Diversity Alternative (Ucits)6.1%-2.5%3.2%3.9%6.9%5.2%356
FERI Trust - OptoFlex U (Ucits)5.4%0.6%1.8%3.4%6.9%n/a763
Tungsten VEGAMIND UI (Ucits)5.0%-0.2%2.3%2.2%5.1%0.5%24
ASG Managed Futures Fund (Ucits)4.6%0.1%4.7%2.7%2.4%n/a80
FORT Global Ucits Contrarian Fund4.0%-2.9%1.5%0.4%-1.3%3.6%440
InRIS Plc R CFM Trends Fund (Ucits)3.9%-0.8%6.9%2.7%n/an/a197
Quantica Managed Futures Ucits Fund3.8%-3.1%0.5%0.2%2.2%n/a124
Lyxor/WNT Fund Class I USD (Ucits)2.9%-0.8%0.6%0.9%2.6%2.1%757
PIMCO GIS TRENDS Managed Futures Strategy Fund (Ucits)2.8%-1.9%2.3%2.2%3.8%n/a127
Conservative Concept - TriStone UI Fund (Ucits)2.6%2.1%0.5%-0.8%1.8%-5.2%8
Lyxor Epsilon Global Trend (Ucits)2.2%-3.1%1.6%-1.3%-2.8%5.4%266
FORT Global Ucits Diversified Fund1.6%-4.2%-1.4%0.4%-2.5%n/a254
Dominicé & Co - Cassiopeia Ucits1.1%0.8%-0.6%-2.3%-0.1%n/a320
Amundi Fund Absolute Volatility Arbitrage (Ucits)1.0%0.1%0.4%0.6%1.1%0.3%58
Rivoli Capital Class I (Ucits)0.9%-0.7%1.2%2.1%0.4%-1.1%13
Planetarium Anthilia Grey Class B Institutional (Ucits)0.5%0.8%1.2%-0.9%1.8%-1.2%8
DB Platinum IV dbX Systematic Alpha (Ucits)0.1%-2.0%1.0%-1.2%-1.9%2.0%1615
Salus Alpha Directional Markets (Ucits)-0.7%-1.2%-0.8%-0.9%-0.1%0.6%29
MS Long Term Trends Ucits Fund-1.0%0.5%1.9%-1.0%-4.4%2.8%70
SEB Asset Selection Defensive (Ucits)-1.6%-1.0%0.0%-1.0%-1.6%0.8%31
Trycon Basic Invest HAIG (Ucits)-1.7%-0.6%0.1%-1.8%-1.8%1.4%165
Dynamic Futures Fund (Ucits)-1.8%0.2%-0.4%-1.7%-4.7%-12.7%28
SEB Asset Selection Opportunistic (Ucits)-1.9%-2.8%1.6%-0.5%-1.1%5.7%395
Pictet Select - Global Managed Futures (Ucits)-2.0%-2.2%1.3%-2.2%-5.6%n/a26
SEB Asset Selection (Ucits)-2.3%-1.8%0.3%-1.2%-2.2%2.6%1473
Constance Alternative Options (Ucits)-2.4%-1.0%-1.7%-1.6%-2.4%1.2%30
KeyQuant - Key Trends Ucits-3.1%-3.8%-0.3%-3.8%-3.1%3.3%26
Aspect Diversified Trends Fund (Ucits)-4.6%-4.4%-0.8%-3.7%-10.0%5.0%373
Garraway Financial Trends (Ucits)-6.2%-1.8%-1.9%-3.9%-6.7%5.1%29
QCAM v-Pro (Ucits)-7.2%-0.3%-0.7%-3.6%-7.0%3.0%601
Next AM Fund - Tendance Finance (Ucits)-7.4%-2.7%-3.8%-1.1%-11.9%-0.7%10
Progressive Capital - Linden Core Fund 2X (Ucits)-8.5%-2.9%-2.2%-5.7%-13.6%n/a67
Fulcrum Commodity Fund (Ucits)-8.7%0.6%1.4%-4.3%-10.9%-5.4%51
Qbasis All Trends Ucits Fund-8.8%-3.0%-6.1%-2.0%-7.5%n/a39

Top 40 managed futures mutual funds

Fund nameYTDSep-17Last 12 monthsAUM (US$m)
Superfund Managed Futures Strategy I12.2%1.4%3.7%5
Catalyst Time Value Trading I8.3%0.8%9.8%4
361 Global Managed Futures Strategy I6.8%-1.9%7.7%96
Equinox Chesapeake Strategy I6.3%-1.9%-0.9%51
Longboard Managed Futures Strategy I5.8%-0.5%-0.2%445
Equinox IPM Systematic Macro I3.8%1.0%4.0%466
Guggenheim Managed Futures Strategy I3.6%0.4%-1.5%52
LoCorr Long/Short Commodity Strats I3.4%0.5%-2.0%86
361 Managed Futures Strategy I2.5%1.6%1.0%336
Natixis ASG Managed Futures Strategy Y1.3%-0.5%-3.0%3,105
American Beacon AHL Mgd Futs Strat Instl1.3%-2.7%3.7%486
American Beacon AHL Mgd Futs Strat Y1.2%-2.7%3.6%486
GuidePath® Managed Futures Strat Instl0.5%0.0%-4.6%92
Goldman Sachs Managed Futs Strat Instl0.3%-2.4%-2.0%242
Campbell Dynamic Trend Institutional0.2%-1.0%-3.0%9
Equinox BH-DG Strategy I-0.7%-1.5%-1.8%0
Altegris Futures Evolution Strategy I-0.9%-3.2%-5.1%572
PIMCO TRENDS Managed Futures Strat Instl-1.1%-2.0%-1.7%0
LoCorr Macro Strategies I-1.6%-1.8%-4.7%842
Campbell Multi-Asset Carry Institutional-1.6%-0.5%-7.4%14
Steben Managed Futures Strategy I-2.0%-1.3%-2.6%73
Altegris Managed Futures Strategy I-2.3%-0.2%-5.4%177
Catalyst/Auctos Multi-Strategy I-2.5%-2.7%-6.6%9
Rational Dynamic Momentum I-2.8%-1.7%-5.4%27
SFG Futures Strategy I-2.9%-2.1%-6.3%27
Insignia Macro I-3.0%-0.8%-3.2%47
Equinox Aspect Core Diversified Strat I-3.1%-2.6%-6.0%33
Equinox Campbell Strategy I-3.2%-0.9%-7.5%370
Arrow Managed Futures Strategy Instl-3.6%-0.1%-16.9%129
Salient Trend I-3.9%-2.1%-17.8%23
Equinox MutualHedge Futures Strategy I-4.6%-3.2%-5.4%257
Credit Suisse Managed Futs Strat I-4.8%-2.7%-4.7%278
LoCorr Market Trend I-4.9%-2.8%-13.1%697
Abbey Capital Futures Strategy I-5.0%-1.5%-4.9%793
Equinox Systematica Macro I-5.1%-3.2%-10.5%2
Transamerica Managed Futures Strategy I2-5.4%-0.7%-13.0%159
AQR Managed Futures Strategy I-5.6%-0.8%-13.1%11,796
Equinox Crabel Strategy I-7.7%2.0%-8.3%2
Aspen Managed Futures Strategy I-8.2%-0.7%-7.1%133
AQR Managed Futures Strategy HV I-8.3%-1.0%-18.8%694
Altegris GSA Trend Strategy I-10.2%-2.5%0.0%55
Direxion Idxd Mgd Futures Strat Instl-20.2%-2.0%-19.0%10