Based on a limited set of 40-act funds, we observe that most of August’s performance was given back in September as mainly bond markets reversed on CTAs. We estimate that this group of managers returns -3% or approximately half a stand deviations. Managers with higher volatility will have a steeper drawdown. All-in-all, this looks like a well managed month, despite the loss.
The daily drawdown reached 6%, but bounced back mid-month as yields continued to drift lower. We expect CTAs to have reduced longs in bonds, but we would also expect them still to be longish. This can be verified using many of the existing public domain trend following models.
This data is preliminary and based on a beta daily dataset. We expect to make this available to registered users of the NilssonHedge database in due course. There is some filtering and sorting activities that needs to fully systematized before releasing the dataset to the general user base. Users interested in providing early beta testing are encouraged to reach out to linus@nordichedge.com for early access.
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