12 Dec 2017 Improved CTA performance in October and November
Performance of CTA’s continued to improve in Q3. After strong October performance recuperated previous year losses, the SG CTA index increased with +0.31% in November bringing YTD gains to +1.77%. For trend following strategies, long positions in equity indices continued to be the main performance driver. Trend following commodity CTA’s suffered in November with many markets making choppy sideways movements. Also CTA strategies focussing on shorter timeframes continued to face challenges.