October Result Preview: The trend is your friend until the end when it bends

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 Capital361 Managed Futures Strategy Fund3.0%
First Quadrant LPFQ Macro FX – 10% Risk2.7%
IPM Informed Portfolio ManagementIPM Systematic Macro2.5%
361 Capital361 Global Managed Futures Strategy Fund2.4%
Catalyst Capital AdvisorsMulti-Strategy1.0%
Dorsey WrightDWA Tactical1.0%
LoCorr Fund ManagementLoCorr Macro Strategies-0.3%
Graham Capital Mgmt LPTactical Trend-0.8%
James AlphaMacro-1.1%
FS InvestmentsManaged Futures-1.2%
PIMCOTrends Composite-1.2%
StebenManaged Futures Strategy-1.9%
Superfund Capital ManagementManaged Futures Strategy-1.9%
Aspect Capital LimitedAspect Core Trend Fund-2.0%
Guggenheim InvestmentsGuggenheim Managed Futures Strategy-2.0%
Goldman Sach ManagementGoldman Sachs Mngd Futures Strat Instl-2.1%
Rational AdvisorsRational/ReSolve Adaptive Asset Allc-2.2%
Altegris AdvisorsManaged Futures-2.5%
Abbey CapitalAbbey Capital Futures Strategy-2.6%
LoCorr Fund ManagementLong/Short Commodity Strats-2.8%
ColumbiaManaged Futures Strategy Fund-2.8%
GuidePathManaged Futures Strat-3.0%
Allianz Global InvestorsManaged Futures Strategy-3.1%
Chesapeake Capital CorporationEquinox Chesapeake Strategy-3.2%
AlphaSimplex GroupManaged Futures Composite-3.3%
Campbell & CompanyCampbell Dynamic Trend Fund-3.3%
Gresham Investment ManagementManaged Futures Strat-3.4%
AQR Capital ManagementAQR Managed Futures-3.5%
Altegris Advisors Evolution-3.7%
P/E InvestmentsFX Strategy – Standard-3.9%
Equinox Fund ManagementMutualHedge Futures Strategy-4.0%
Man AHLAmerican Beacon AHL Mgd Futs Strat Instl-4.1%
Longboard Asset Management LPManaged Futures Strategy-4.2%
Campbell & CompanyManaged Futures-4.4%
PanAgoraPanAgora Managed Futures Strategy-4.5%
AQR Capital ManagementAQR Managed Futures HV Strategy-5.3%
GSA Capital PartnersGSA Trend Fund-5.7%
Dunn Capital ManagementManaged Futures Strategy (Arrow)-6.0%

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Categories: NilssonHedge

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