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FlashReport November 2022

“Autumn carries more gold in its pocket than all the other seasons.” – Jim Bishop. Unfortunately, for Managed Futures and especially for Trend Following managers, it turned out that gold was taken out of their pockets in favor of other strategies.

As the USD strengthened, equity markets turned around on a slightly less aggressive Federal Reserve, inducing a rally in Bonds, Equities, and a weakening of the US Dollar. Most likely, the long USD positions and short Bonds positions caused most of the losses for trend followers. The mighty dollar lost steam.

Our daily CTA index recorded the worst month and is likely to have lost 4%, with losses continuing in the first days of December. It is a fairly classic CTA giveback. In some sectors, notable currencies, and positions have been large and we are now seeing them being reduced on the back of a falling USD. We see similar losses from other providers.

Our monthly indices contain too few managers to give a reliable read, but there the number looks somewhat better. Our main CTA index recorded a marginal decline of 1.9% with a minority of the managers reporting. Discretionary managers had positive returns, while systematic managers lost.

With exception of Crypto Strategies (down 14%), Equity-related strategies did really well and surged in November, getting somewhat closer to breaking even for the year. That said, with the exception of CTAs and Risk Premia (also benefitting from Value and Trend) most other strategies are doing rather miserable. That said, still one month to go before we are closing the books.

As per usual, our databases are updated and can be downloaded. Please feel free to explore the datasets that we have. Maybe there are managers that you should have exposure to, holes in your portfolio that need attention, or simply celebrating that you have done better than the averages. The NilssonReport is available for further studies.

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