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CTA Performance Review – September Data

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Richard Brennan at ATS Trading Solution provides an interesting take on what happened to CTAs in September, that turned out to be rough month for a lot of trend following strategies.

Here we were last month losing ourselves in euphoria as we had finally lifted into new dizzying equity heights saying farewell to persistent drawdowns…..and then Mr Market got all upset and delivered a haymaker to keep us in check. I may have to be a bit more subdued in the future as it pays to stay humble in this game.

I think Neils Kaastrup-Larsen summed the month up well in the following “September was a month full of corrections and surprises in global markets as easing U.S.-China trade tensions and evidence of continuing U.S. economic growth resulted in a fierce unwind of risk-off positions that had performed well in previous months. Add to this an attack in Saudi Arabia that sent chock-waves through the energy markets producing some severe price spikes across the entire complex…also against the direction of the longer-term trend. So needless to say, it was a challenging month for trend followers.”

Most of the damage was related to significant corrections in the bond markets so those TF firms that were not heavily invested towards this sector avoided the king hit. Let’s have a minutes silence however for those who were over-exposed to this segment.

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