CTA Indices – Modest losses in September

Based on a limited number of CTA reporting returns for September, it seems as if most of August’s performance was given back. Despite the first negative month in a long time, CTAs are still up for the year. In most cases, this is due to strong trend in bond markets, although there is large dispersion across performance drivers.

The NilssonHedge indices can be accessed here. Sign up for the underlying database here (free).

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