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Large trend-followers have moved into positive territory YTD after continuing their comeback in November. The yen’s move south and gold’s continued climb were key profit trends.
Societe Generale’s SG Trend Index rose 1.2%, putting it up 0.3% with a month of 2025 remaining despite heavy losses in the first half of the year.
The broader SG CTA Index rose 0.1% in November but remains down 1.4% for the year.
“Currencies and precious metals were the main contributors to trend following performance in November,” according to Winton.
“The resumption of a longstanding downtrend in the Japanese yen – particularly against the euro, dollar and pound – contributed positively, while silver and gold recovered their upward trajectory. The yen is a prime example of how trends can play out over many years, with the currency now a notable contributor for trend-following strategies on the short side for the fifth consecutive calendar year.”
A more turbulent month for equity indices, by contrast, detracted from returns. Most funds were positioned long going into the month but there was wide variation in performance among stock markets globally.
New York-based AlphaQuest Original saw losses on equities and was down 6.3% for the month and 15.1% for the year. “The pullback in stocks that arose during the first half of the month inflicted losses on AQO,” the firm told investors.
“The strategy’s intermediate term momentum models, which had increased its exposure to equities to a maximum since February, subsequently suffered.”
Winton also found that the combination of weakening trend signals and increasing market volatility has led most strategies to reduce their long equity index positions since early October.
Outside of traditional trend-following, November was a good month for CTAs focused on alternative and Chinese markets, according to Winton.
Rotterdam-based Transtrend gained 3.8% in its Enhanced Risk USD flagship and the $3.9bn pool has trimmed losses to 1.7% for the year.