CTAs Suffer in November?
Categorised: The Stream | Tags: CTAs, performance, risk premier, SG Indices, short term traders, Trend
Posted by Colin Lambert. Last updated: December 2, 2021
Posted by Colin Lambert. Last updated: December 2, 2021
The early signs are that CTAs’ strong run of performance came to an end in November with the SG CTA Index provisionally reporting a 3.16% drop for the month. Year-to-date the Index remains comfortably in positive territory at +6.41%.
Elsewhere, the SG Trend Index fell 3.73% in November, but remains a healthy 9.7% up on the year, while the Short Term Traders Index dropped 1.33% for a much more modest 0.93% return year-to-date.
The SG Multi Alternative Risk Premia Index also struggled in November, but turned in a “best” performance in the suite, dropping only 0.09%. Year-to-date the Index is up 4.28%.
