CTAs crushed in December

Discussion in 'Financial Futures' started by Alexandre, Dec 17, 2009.

  1. hi guys,

    it looks like CTAs are being killed in December after a good November.
    I've heard number in excess of -10% on the back of heavy losses in Gold, Oil, Interest rates, and currencies.

    CTAs (medium and long term trend followers) have been running the following trends:

    Long gold
    short dollar
    long bonds
    long equities
    long commodities (in general)

    I guess they are now realizing how correlated these positions were.

    It looks like we're in for a bumpy ride as some of these markets are changing direction, and most notably the dollar.

    any stories/numbers you've heard off?
  2. Long gold = not invested at all
    short USD = long USD
    long Bonds = short Bonds
    long equities = mean reversion ( by the way, you mean long index futures as a CTA is not invested în "equities"... )
    long commodities = not invested at all

    I must be the exception.:cool:
  3. So I guess after this month's performance I should be a CTA. Thanks for the career info.

    OTOH, there's company in misery.:mad:
  4. I would be surprised if any trend follower with half a brain would run big positions in all these asset classes without running a weekly/monthly correlation analysis and consequently reducing exposure. It's not exactly a rocket science.

    The danger for trendfollowers is not when long-standing correlations are breaking down (because they reduced exposure beforehand as they were able to analyze close correlations) but when formerly uncorrelated asset classes - and many of them - are suddenly becoming directionally correlated in a violent fashion. Spring 2004 and (to an extent) May 2006 are good examples.
  5. Non-conformists are all alike. :cool:
  6. heech


    You can get month-to-date performance by looking here:

    Newedge CTA Index, -2.3% MTD.
    Morningstar Long/Short Commodity Index, -0.62% MTD.