Market volatility yields winners and losers in CTAs


September’s volatile markets produced a topsy-turvy set of returns in managed futures. Roughly the same number of CTAs posted decent gains as those that ended up in negative territory by month-end – with several outliers at both ends of the spectrum.

It was a good month for A2CT2 Systematic, which returned 8.41% with its Commodities Absolute Returns 1.5X class, and for GLC Behavioural Trend – which posted a 7.95% monthly return.

There were good numbers too for the LSC Investment Fund (5.12%), Brummer & Partners Lynx (5.41%), Dexia Systemat (5.32%), White Tiger (4.35%), GLC Directional (4.17%), Discus Managed