(Opalesque) Pricing volatility in currency and energy markets has created a challenging performance environment for CTAs in 2017 so far. As at the end of September, the Preqin All-Strategies CTA benchmark has recorded year-to-date losses of 0.04%, compared to gains of 8.04% for the All-Strategies Hedge Fund benchmark. Trend followers, which represent the largest group of CTAs, have lost 1.62% YTD. In contrast, option writing CTAs, which represent one in 10 active funds, have gained 7.63% through the year so far. Similarly, systematic CTAs have posted losses of 1.02% in the nine months to September, but discretionary funds have returned 0.75%.
Preqin: Price Swings Make Challenging Environment for CTAs
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