Using the NilssonHedge Daily Data performance indicator, we note that CTAs had a relatively good month, breaking the two prior months of givebacks, with a gain close to 0.8%. Different volatility levels will result in different results, but at least the average result is in the right direction.
The month started out on a sour note, but gradually improved throughout November. Is the end in sight?
The underlying database can be found in the usual place and we will come back with a FlashReport covering the larger managers.
Sign up for the underlying database here (free).