Trend Followers Eye Record Year
Posted by Colin Lambert. Last updated: November 28, 2022
Trend following CTAs managed to produce another positive return in October, although the payout curve was more volatile than usual. Overall, however, the strategy remains on course to smash the previous high-water market for this century.
According to the SG Trend Index these funds finished the month +0.19%, in spite of suffering two drawdowns above 1% in the first two days of the month. In all, the Index lost ground on nine of the 21 trading days. Perhaps reflecting the more volatile nature of markets during October, the Index had four days of losses over 1% and three days of over 1% gains.
Year-to-date the Trend Index remains in very healthy condition at +35.84%, the highest return since SG started producing the Index in January 2000. The previous high return for a year was 2003 at +15.75%, while in 2014 the Index was up 15.66%.
The broader SG CTA Index was +0.45% in October, for +26.68% year-to-date, while short -term traders suffered, the SG Short-Term Traders Index falling 0.35% on the month. It remains, however, comfortably in positive territory at +12.61% year-to-date.