Fortunes for CTA strategies were mixed in November. The SG Short Term Traders Index was the only index to post positive performance in November returning 0.43% for the month. 6 out of the 10 constituent CTAs contributed positive returns. The SG STTI is still the best performing CTA index for the year however, it remains in negative territory at -1.15% YTD.

The SG CTA Index posted a negative return of -1.83% and was down overall -3.38% YTD. The SG Trend Index fared slightly better returning -1.25% in November, but remains the worst performing Index for the year at -6.79% YTD.

The SG Trend Indicator, however, posted a positive performance of 3.89% for the month. This was primarily driven by short positions in 9 out of the 10 bonds, accounting for 3.88% of the returns for the month. The equity, currency and interest rate sectors returned marginally positive performance for the month which was offset by losses in the commodities sector of -0.54%, as the model whipsawed between long and short positions across the energy complex.

“With the end of year rapidly approaching and many CTA managers no doubt hoping to post a positive gain for investors and their own historical records, November has continued to be a difficult environment. Markets have been indisputably challenging this year with many political events causing uncertainty. CTAs have continued to fulfil their purpose of contributing uncorrelated performance to traditional asset classes. Short term traders are faring best in the current market, whilst trend followers are struggling. This could shift, however, if 2017 sees political change starting to bed in and stronger trends taking hold.”