Managed futures (CTA): the last 12 months

Managed futures (CTA) are up 4.6% over 1Y; the 90-day change is +4.0% after +13.9% at the end of September. Trend followers rode the oil rally, then cut long oil positions as crude collapsed after the midterms, losing 10.7% in early November. No status quo card for this group.

Month by month

Computed in code. Change: the calendar-month change (z against its own monthly history). 90-day: the trailing 90-day change at the month-end. Rank: its place among that month's biggest moves. Causes: the surviving monthly causes acting on it (a force's loading on this asset times the month's fitted strength, in standard deviations). ETF holdings use current weights (an approximation).

MonthChange90-dayRankCauses
November 2026 (month to date)−10.7% (z -6.7)+4.0%1Trend-following funds cut oil longs as crude collapsed after the midterms (explains this move, score 8.7)
October 2026+4.3% (z 0.8)+11.8%none of the surviving causes loads on it
September 2026+2.5% (z 0.3)+13.9%none of the surviving causes loads on it
August 2026+4.7% (z 0.9)−3.5%none of the surviving causes loads on it
July 2026+5.1% (z 1.0)−14.0%none of the surviving causes loads on it
June 2026−9.7% (z -2.6)−10.7%3Trend followers were caught by the reversal in oil and metals (explains this move, score 9.5)
May 2026−10.3% (z -3.2)−3.2%1Trend followers hit as oil swung sharply lower into month-end (explains this move, score 4.9)
April 2026+7.6% (z 1.8)+17.1%none of the surviving causes loads on it
March 2026+0.4% (z -0.1)+12.4%none of the surviving causes loads on it
February 2026+8.3% (z 1.7)+12.1%none of the surviving causes loads on it
January 2026+3.3% (z 0.6)+4.1%none of the surviving causes loads on it
December 2025+0.2% (z -0.1)+0.3%none of the surviving causes loads on it
November 2025+0.7% (z 0.1)−1.1%none of the surviving causes loads on it

What drove each month · All assets

Not investment advice. MarketMoves describes past market data and reported news for general information. Figures can be delayed or wrong; check the original source before relying on them.