October continued to be challenging for trend following managers, here represented by a proxy, consisting of a restricted subset of managers reporting daily data. The trend certainly bent in September and continued to bend in October, with most strategies seeing losses. The estimated loss is around 2.2%, with a high degree of uncertainty. With that we mean, we are certain that it is negative, but not if the number of smaller or larger.
In terms of drawdowns, we reach a new maximum drawdown for the year. The index is still positive for the year, but has now given back a substantial part of the gains for the year. The give back is now about 50% of the profits generated from the run-up for the year. Currencies and Bonds seem to have been the main loss making sectors.
As pointed out by for instance http://www.40in20out.com/ , Trend Following has continued to remain difficult over the last months. This is reflect in the results above.
Below is a list of preliminary manager returns for October, with focus on some of the larger names. NilssonHedge collects this data on a Beta basis and there is a risk that some numbers are not correct, although the general direction looks right. Fundamental (or non-trend) strategies came out positive, but the numbers have a clear negative skew.
|361 Capital||361 Managed Futures Strategy Fund||3.0%|
|First Quadrant LP||FQ Macro FX – 10% Risk||2.7%|
|IPM Informed Portfolio Management||IPM Systematic Macro||2.5%|
|361 Capital||361 Global Managed Futures Strategy Fund||2.4%|
|Catalyst Capital Advisors||Multi-Strategy||1.0%|
|Dorsey Wright||DWA Tactical||1.0%|
|LoCorr Fund Management||LoCorr Macro Strategies||-0.3%|
|Graham Capital Mgmt LP||Tactical Trend||-0.8%|
|FS Investments||Managed Futures||-1.2%|
|Steben||Managed Futures Strategy||-1.9%|
|Superfund Capital Management||Managed Futures Strategy||-1.9%|
|Aspect Capital Limited||Aspect Core Trend Fund||-2.0%|
|Guggenheim Investments||Guggenheim Managed Futures Strategy||-2.0%|
|Goldman Sach Management||Goldman Sachs Mngd Futures Strat Instl||-2.1%|
|Rational Advisors||Rational/ReSolve Adaptive Asset Allc||-2.2%|
|Altegris Advisors||Managed Futures||-2.5%|
|Abbey Capital||Abbey Capital Futures Strategy||-2.6%|
|LoCorr Fund Management||Long/Short Commodity Strats||-2.8%|
|Columbia||Managed Futures Strategy Fund||-2.8%|
|GuidePath||Managed Futures Strat||-3.0%|
|Allianz Global Investors||Managed Futures Strategy||-3.1%|
|Chesapeake Capital Corporation||Equinox Chesapeake Strategy||-3.2%|
|AlphaSimplex Group||Managed Futures Composite||-3.3%|
|Campbell & Company||Campbell Dynamic Trend Fund||-3.3%|
|Gresham Investment Management||Managed Futures Strat||-3.4%|
|AQR Capital Management||AQR Managed Futures||-3.5%|
|P/E Investments||FX Strategy – Standard||-3.9%|
|Equinox Fund Management||MutualHedge Futures Strategy||-4.0%|
|Man AHL||American Beacon AHL Mgd Futs Strat Instl||-4.1%|
|Longboard Asset Management LP||Managed Futures Strategy||-4.2%|
|Campbell & Company||Managed Futures||-4.4%|
|PanAgora||PanAgora Managed Futures Strategy||-4.5%|
|AQR Capital Management||AQR Managed Futures HV Strategy||-5.3%|
|GSA Capital Partners||GSA Trend Fund||-5.7%|
|Dunn Capital Management||Managed Futures Strategy (Arrow)||-6.0%|
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