Flash Report – Trend Carnage

CTAs took a beating into the November month-end as asset prices deflated quickly into the month-end as a new Covid variant (omikron) was discovered. At the time of writing much remains unknown about this variant (and at NilssonHedge, we do not even aspire to be hobby epidemiologists).

Based on our indices, this was the 2nd worst 3-day move since we started to calculate the index. The worst index move took place during the Covid Crash in Feb/Mar 2020. The monthly return was down about 3%, which ranks in the worst monthly result for our daily index. This is a “classical” give-back of profits, accumulated in the earlier part of the year. And while the number may appear large, the giveback was essentially the profits made in October. Energy and Equity markets generated most of the losses.

As our daily index is dominated by Trend Based components, the damage seems to be less across more broadly diversified Managed Futures portfolios. Based on a subsample of 236 managers, we see results that are much more dispersed. We observe that trend managers suffered, giving back about a quarter of the profits for the year. Tail Protect strategies, perhaps unsurprisingly, did the best.

As a consequence of higher strategy diversification, our monthly index, (based on less than half of managers reporting) is only down 1.3%.

As usual, we have aggregated performance across Hedge Fund strategies, and have November performance and AUM data for more than 1600 funds. To get an overview of we can recommend the NilssonReport.