August was the comeback of CTA’s, at least for now.
Quantitative strategies were able to turn their strike of loosing months into a solid positive August 2017 result. Two CTA managers gained more than 13%. One of them was a version of the Robeco daughter Transtrend. Most CTA funds were able to benefit from the weakening trend of the US Dollar.
Next to the US Dollar development (which was positive now), CTA managers were taking advantage of lower correlations between different asset classes and more coherent trending markets.
The funds with a higher correlation to equities were losing a bit. These were the Long/Short equity, private equity and merger and arbitrage funds.
Our manager which is trading the bond markets had an excellent month, with an August result of 9%.