Based on the limited number of managers that have reported November returns, we have updated our composites and note a converges between our Daily Return estimates and our monthly return indices.
Our daily return index indicates a November gain of +0.8% ( https://nilssonhedge.com/index/daily-cta-index/) for November. The market action in early December has been somewhat tricky though. But that is another story.
Our broader CTA index indicates a 40 bps gain while the Systematic subset shows a 90 bps gain.
Thus it seems as if our daily composite mirrors the Systematic CTA index fairly well. The Daily Data is still in beta mode but has done a reasonable job of tracking the systematic CTA space (most of the funds with daily numbers are indeed systematic). Here we would like to hedge ourselves and point out that not all managers have reported and that several large managers have not yet reported final numbers.