CTAs crushed in December

A

Alexandre

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?
 
Quote from Alexandre:

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

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:
 
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:
 
Quote from Alexandre:I guess they are now realizing how correlated these positions were.
More...
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.
 
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