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Alternative Market Briefing

Early reports show CTAs have suffered poor October performance

Tuesday, October 30, 2012

Beverly Chandler, Opalesque London: A report from Reuters finds that systematic, trend following hedge funds are 'headed for their worst monthly performance in October since the start of the credit crunch after making losing bets in dozens of markets including bonds, currencies and commodities’.

The news comes after a difficult September. Opalesque quoted Sol Waksman from BarclayHedge reporting that September had been tough for the strategy. "Overall, 61 percent of managed futures funds have reported negative returns for September" Waksman said. "The average loss for the month was 2.76% for those CTAs with a negative return."

Reuters reports that many CTAs came into October with "risk on" trades, such as long positions on equities and commodities, and a short position on the U.S. dollar but the trend has gone against them across many markets.

Newedge’s CTA Trend Sub-Index reported a loss of 2.08% over September, with a year to date loss of 0.01%. Reuters reports that the CTA Trend Sub-Index is down 5.63% to October 25.

Newedge’s CTA Index to October 26th 2012......................

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