November's big currency moves, particularly the strengthening of the dollar, created traction in the market for many CTAs, with diversified systematic funds in particular showing strength.
Market participants say those funds that did best were long the dollar and short most other currencies. Shorting bond futures - both at the short and long end - also worked well as U.S. interest rates continued to edge higher.
The ever-volatile John W. Henry funds sported some of the best returns. The JWH Dollar program gained 14.82% in November; the Financial and Metals portfolio rose 9.17%; the Strategic Allocation program climbed 8.56%; and