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CTAs gained strongly in September, ending four months of losses, to improve their position heading into the final quarter of 2024.
Financials sector and precious metals long exposure led the gains, with gold and the S&P 500 index both hitting record highs. Societe Generale’s core CTA index gained 1.4%, extending gains for the year so far to 2.7%.
The index tracking the performance of large trend-followers was up 1.2%, putting it up 2.5% YTD.
The gains mark a turnaround on August when trend reversals at the start of the month triggered the strategy’s biggest losses since November.
“Currencies and fixed income were important return drivers for most trend-following strategies in September,” according to an update from Winton in London. “While almost all trend followers profited from long British pound positions, trading speed led to different results in the Japanese yen, euro and Chinese yuan, with faster strategies adapting their positions more quickly to the recoveries in these currencies.
“It was a similar story in fixed income, where all but the slowest strategies are now net long and profiting from falling yields as the US Federal Reserve began to cut interest rates.”
The AlphaQuest Original program managed by Quest Partners in New York was up 4.8% last month, driven by gains in energy and metals, and is now up 8.1% for the year so far.
“Strong results from AQO for the month were concentrated in our long positions in precious metals, short positions in energy markets and bullish view on US and Chinese equities which developed toward the latter half of the month,” Quest told investors.
The $3.8bn Diversified Trend Program (enhanced risk class) managed by Rotterdam-based Transtrend lost 1.9% in August but remains up 1.9% year-to-date.
Stockholm-based Lynx gained and is now up 1.9% for the year to 1 October.