The summer swings for managed futures were stressful – with the indices up one month, back down the next, and back up the next, we were starting to feel motion-sick. But those swings were certainly preferable to the Fall… fall. For the third month in a row, the Newedge CTA Index posted a loss – this time the index fell by -3.11%, bringing the year-to-date performance down to -2.99% (Disclaimer: past performance is not necessarily indicative of future results).

So what happened this month? In short, trendfollowers got smacked. Many managers also came in long stocks…which ended up down -2.50%. Precious metals also pulled back considerably from a recent multi-month rally – gold, silver, copper, and platinum were all down. Plenty of trendfollowers were also hurt by the pullback in the Japanese Yen, which was down -2.32% for the month. Currencies and fixed income remained choppy, failing to provide much value to portfolios to offset losses in other markets.

This is definitely not the kind of month we like to post on a site dedicated to how good managed futures can be. But periods of sustained drawdown are part and parcel with managed futures, and it’s why a realistic time frame is extremely important to an investment in the asset class. Still, it’s never fun to slog through these periods waiting for the next sustained trend to take hold – or better yet, a crisis that allows managed futures to really shine.