CTAs' run of positive performance over the last 12 months came to an abrupt end in November, as news of the Omicron Covid-19 variant hit markets at the end of the month, according to the latest figures from Society Generale. 

The flagship SG CTA Index was down -3.79 per cent in November but is still strongly positive so far this year at 5.71 per cent. Likewise, the SG Trend Index lost -4.71 per cent for the month, but still stands up 8.59 per cent year-to-date, with one month still to go.

All of the individual CTA constituents of both indices experienced losses in November, driven by a fall at the end of the month in particular on Friday, 26 November: the CTA Index lost -3.52 per cent in one day, the worst single day since the index started in 2000; and the Trend Index lost -4.43 per cent, the fourth biggest single day loss ever and worst since 2007.