The CTA sub-index of the Nordic Hedge Index advanced for a second consecutive month in October, supported by continued trends in precious metals and stock indices. Most constituents of the index ended the month in positive territory, with pure trend-following managers performing particularly well.
In October, trend strength (TSMOM), as measured by RPM’s Market Divergence Index (MDI), remained around long-term average levels as many of the major trends were (at least temporarily) interrupted....
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