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The Newedge CTA index was down -1.15% in October (from 1.17% in September) bringing year-to-date performance to -1.18%.

Short Term Trader returns were mixed, resulting in slightly negative index performance of -0.31%, but representing a large return dispersion between individual managers.

Trend followers experienced the difficult market conditions in October most strongly, with the Newedge Trend index ending down -2.45% for October, but leading with the strongest year-to-date returns compared to the other indices, down slightly -0.97%.

Attribution data from the Newedge Trend Indicator shows all sectors contributed to losses, in particular previous equity indices and currency gains were eroded, returning -2.08% and -2.06% respectively.

However, all sectors except commodities remain in positive territory for 2015 year-to-date, led by currencies and equity indices at 0.73% and 0.69% respectively.

James Skeggs, Global Head of Alternative Investments Consulting at Societe Generale Prime Services, said: October was challenging for all CTA strategies, and comes after a volatile few months, with the CTA Index dipping in and out of positive territory since June.

“The difficult market conditions, with fewer directional trends, have had a negative impact on CTA returns and it remains to be seen whether CTA strategies will manage to see the year out in the black.”

Press release

www.newedge.com