After a nice run of three consecutive up months, we are estimating that Managed Futures as an asset class were down between -2.75% and 3.25% in November (The Newedge CTA Index is showing a preliminary number of -2.78%).

Systematic Multi-Market programs which were mostly long commodities and foreign currencies suffered the most due to mid-month reversals in commodity markets such as Metals, Grains, & Softs as the US Dollar strengthened in the face of renewed Euro Debt fears.  Examples include last month’s top program Rosetta -7.15%, Covenant Capital Aggressive -4.40%, Clarke Worldwide -5.40%, and Dominion Capital Sapphire -5.90%.

One silver lining was that Short Options Sellers bounced back with a strong month of trading with estimates showing Liberty Funds Group Diversified Options +5.20%, FCI OSS +3.40%, and HB Capital +2.20% all posting positive numbers for the month.