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?
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.
So I guess after this month's performance I should be a CTA. Thanks for the career info. OTOH, there's company in misery.
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.
You can get month-to-date performance by looking here: http://www.barclayhedge.com/ Newedge CTA Index, -2.3% MTD. Morningstar Long/Short Commodity Index, -0.62% MTD.