- Trend-followers, down 6%, still up 27.7% on average
- Long US dollar and short rates positions caught out
- But AQR signals strong environment for trend should remain
CTA strategies had a second month of notable declines in November but remain on track for a historic year of gains.
CTAs as a whole averaged a 5.1% loss, while trend-followers lost 6% as chances increased of a soft landing, upsetting trends in the inflation trade which has dominated the year.
Long US dollar and short rates positions were caught out, while short equity positions also lost as stock markets had their first back-to-back gains since 2021. The S&P 500 rose 5.4%.
But year-to-date numbers in managed futures are still strong. Societe Generale puts CTA gains at 20.3% and trend-followers at 27.7% with a month of the year remaining.
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Stockholm-based Lynx lost 8.6% and London-based Florin Court lost 5.3%, but the trend-followers remain up 34.6% and 16.5% for the year, respectively.
It was a similar story for Rotterdam-based Transtrend, which declined 8% in its $5.2bn flagship, putting it up 19.3% for the year.
AQR put out new research last month stating the positive environment for trend-followers should persist into 2023, which should boost their chances of new allocations.
“Macroeconomic volatility is on the rise… accompanied by larger market moves and improved trend-following performance,” AQR said.
“There are several key challenges impeding a return to a calm economic environment, making it improbable that economic conditions will settle into anything resembling their pre-pandemic stability within the next year or two at a minimum.”