The summer has been a bit of a rollercoaster ride for CTAs: after a dismal showing in June, most managed futures funds made a reasonable recovery in July. But August brought more red ink, as the majority of systematic strategies lost money again.
Cardwell Investment Technologies Global lost 10.79% in its 3x share class, while the regular class was down 3.91%. Qbasis Futures shed 9.29% on the month, while Mulvaney Global Markets dropped 6.26%, Hasenbichler fell 5.01%, Palm Trend was down 4.95%, ISAM Systematic lost 4.68% and Lyxor Epsilon lost 4.47%.
Also posting losses were Quantisquare (-3.38%), Aspect