After a strong August, the NHX CTA Index enjoyed another successful month in September, driven primarily by gains in fixed income amid an intensifying global bond selloff. Performance was broadly positive across managers and sub-strategies, with trend-following managers performing particularly well.

Last month, Time-Series Momentum (TSMOM), as measured by RPM’s Market Divergence Index (MDI), steadily moved towards its long-term average levels amid renewed or continued trends across fixed income and commodity markets. In fixed income, the 10-year Treasury yield reached its highest level since 2007, rising above 5.2 percent amid concerns over inflation and higher interest rates. In equities, U.S. technology stocks moved lower amid rising oil prices, higher borrowing costs, and warnings from major AI companies about the need to slow the pace of investment. 

In FX, the expected interest-rate hike by the Federal Reserve added further momentum to the U.S. dollar, particularly against the Japanese yen. In commodities, crude oil prices approached $110 per barrel amid volatile trading as attacks in the Middle East escalated, with markets seeing no credible path towards de-escalation. Elsewhere, soybean futures tumbled as markets digested the exclusion of raw soybeans from the U.S.-China tariff-reduction agreement.

Sub-Strategies and Constituents in the NHX CTA Index

Nordic trend-followers generated positive returns across the board. Calculo Altus, Estlander & Partners Alpha Trend, Lynx, Mandatum Managed Futures, and SEB Asset Selection all posted gains during the month, largely driven by profits in fixed income and energy markets.

NHX’s non-trend-following managers also performed well. Short-term trading managers, however, delivered mixed results. While Lynx Constellation posted another positive month, Epoque ended September in negative territory, mainly due to losses in soft commodities. Among global macro managers, Estlander & Partners Freedom, Lynx Systematic Macro, and Volt Diversified Alpha all ended the month in positive territory. Multi-manager programme RPM Evolving CTA Fund also rebounded notably, mainly thanks to gains in fixed income among its underlying managers.

Outlook

The global macroeconomic outlook remains positive and continues to improve. However, the Federal Reserve’s recent interest-rate hike has pushed expectations for near-term rate cuts further out, leaving lower interest rates off the table for now. Meanwhile, the AI trade is slowly but surely unfolding before our eyes.