CTAs and trend-following hedge funds have seen their recent advance halted, as anxieties over the new Omicron variant of Covid-19 punctured market momentum towards the end of last month.

CTAs and trend-following hedge funds have seen their recent advance halted, as anxieties over the new Omicron variant of Covid-19 punctured market momentum towards the end of last month.

CTAs and other managed futures strategies had started the final quarter of 2021 on a high, with solid October gains. 

But Société Générale’s main CTA Index was set to finish November down 2.64 per cent earlier this week, reversing October’s 2.56 per cent gain. The index – which charts the daily performances of 20 of the largest CTAs, including funds run by brand-name firms such as Man AHL, Graham Capital, Systematica, AQR, and Aspect Capital – remains up almost 7 per cent over the 11 months since the start of 2021.

Meanwhile, SocGen’s trend-following benchmark, the SG Trend Index, remains in double-digit territory year-to-date, having climbed 10.64 per cent since the start of 2021, despite ending November in the red.

The benchmark – which comprises the daily returns of 10 of the biggest trend-following hedge funds - was down 2.90 per cent for the month as of November 29, in contrast with an October rise of more than 3 per cent, according to SocGen performance data.

Short-term strategies have taken a less severe hit during the recent wobble. The SocGen Short-Term Traders Index – a performance metric of CTAs and other global macro managers running 10-day trading windows – fell 1.34 per cent in the month up to Nov. 29, while its year-to-date return stands at 0.92 per cent.