The first October edition of the Nilsson Report is now available. We have 36% of the fund reporting returns, with a slight tilt towards negative numbers (Systematic Trend Followers broke their positive streak in September).
The Database contains 1398 different managers, representing 2615 different investment strategies. For the current reporting month, 351 managers have reported returns. For the prior month, we have 974 live managers. In total, the database contains 291090 years of manager data.
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 … Continue reading CTA Returns in September – Early Read