Author Archives
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Returns for large CTA (reporting for October)
While the larger managers typically report later in the month, we have a sample of existing managers reporting numbers. As for the last month, the numbers are generally negative, but most of them are up strongly for the year. We… Read More ›
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Database Update
The Database contains 1468 different managers, representing 2705 different investment strategies. For the current reporting month, 477 managers have reported returns. For the prior month, we have 1042 live managers. In total, the database contains 312686 years of manager data.
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New Feature: Daily Performance Barometer
Based on Daily Data, we are now able to show an indication of daily performance for listed managed futures funds. At year-end, this will be transformed into a proper index and we will start publishing numbers for the index. This… Read More ›
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Trend got hit in October, but other CTAs seems to have done OK
Based on a very limited datasample, we observe that CTAs seems to be down in October, but given the losses for Trend Following Managers, other strategies seems to have done much better.
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New CTAs – Last week’s registrations
As a new experiment, we are scanning the NFA’s website for managers that have recently registered as a CTA or CPO. Below are the most recent registration. Some of the managers are clearly established, but have recently decided to register… Read More ›
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Top 10/Bottom 10 Hedge Funds for October
We only know one thing, this list will change over the month, as we get more data points. We also note that Greek philosopher / mathematician that created the first derivative trade would be proud of being on the top… Read More ›
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NilssonReport Updated
The first November edition of the NilssonReport is available. With only 194 managers reporting numbers, we cannot really make an grand assumption about direction. We previously noted that Trend Following strategies had a rough October, but otherwise it looks relatively… Read More ›
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Database Updated
The Database contains 1468 different managers, representing 2704 different investment strategies. For the current reporting month, 199 managers have reported returns. For the prior month, we have 1038 live managers. In total, the database contains 312654 years of manager data.
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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… Read More ›
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CTA Performance Review – September Data
Richard Brennan at ATS Trading Solution provides an interesting take on what happened to CTAs in September, that turned out to be rough month for a lot of trend following strategies. Here we were last month losing ourselves in euphoria… Read More ›
