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% |
| James Alpha | Macro | -1.1% |
| FS Investments | Managed Futures | -1.2% |
| PIMCO | Trends Composite | -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% |
| Altegris Advisors | Evolution | -3.7% |
| 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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