October risk-on wave sinks most CTAs

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October was an overwhelmingly negative month for managed futures managers, with nearly all funds posting losses – some in double digits – as the sudden surge in market sentiment during the month wrong-footed most systematic traders and trend-following strategies.

The biggest losers included Superfund Cayman (-21.46%) and Superfund Green Gold (-16.45%), along with Mulvaney Global Markets (-14.44%) and Brummer & Partners Lynx (-9.41%). ISAM Systematic was down 8.79%, Rochester lost 8.78%, BlueTrend was off by 7.25% and Man AHL Diversified lost 6.77%.

GLC Behavioural Trend was down 6.83%, Estlander & Partners Global Markets XL lost 6.57%, Old Mutual