Following a difficult October, CTAs continued to face challenges in November, with the SG CTA Index was down 1.09 per cent and the SG Trend Index down 1.75 per cent.
However, the SG Trend Indicator outperformed the Trend Index as it was up 2.51 per cent. This was driven by gains in commodity markets especially from short positions in the energy sector.
Apart from the uplift in commodities, trend following strategies struggled in other sectors with losses in currencies and equities. There were strong reversals against established trends in particular in Australian and New Zealand Dollar. Furthermore, trends in bond markets continued to be mixed, as the new upward momentum brought the recent downward trend to an end.
Tom Wrobel (pictured), Director of Alternative Investments Consulting, at Societe Generale Prime Services, says: “CTAs continued to face a difficult period in November as the indices were in negative territory again. Interestingly, there were gains in commodity markets which had been a drag on results in October. Overall, it has been a challenging year for CTAs thus far and it will be interesting to observe how 2018 ends.”