Key Takeaways
- • The NHX CTA Index posted a loss in October 2026, giving back gains from a strong August and September, as setbacks in bonds outweighed gains in energy and soft commodities.
- • Time-series momentum, measured by RPM's Market Divergence Index (MDI), fell below its long-term average in October, mainly due to trend reversals in financial markets.
- • Nordic trend followers Lynx, Mandatum Managed Futures, and SEB Asset Selection all recorded losses, while Calculo Altus finished flat.
- • Volt Diversified Alpha was positive for the month, while Lynx Systematic Macro and short-term traders Lynx Constellation and Epoque posted losses; RPM Evolving CTA Fund had a relatively strong month.
Summary
The NHX CTA Index took a breather in October 2026 after two particularly strong months in August and September, posting a loss as setbacks in bonds outweighed gains in energy and soft commodities. Performance varied across managers and sub-strategies in a challenging environment marked by several market reversals, though commodities offered a degree of trend stability.
According to RPM, time-series momentum as measured by its Market Divergence Index fell below its long-term average last month, primarily reflecting trend reversals in financial markets, while some commodity trends remained intact. In fixed income, US government bond yields initially surged to multi-decade highs before reversing sharply as a selloff in AI and technology stocks, coupled with renewed geopolitical risks, triggered a flight to safety. Global equities initially rallied despite elevated government bond yields, persistent inflation, and rising oil prices, before reversing and ending the month lower.
In foreign exchange, the US dollar surged to an 18-month high in early October before retreating as investors reassessed the Federal Reserve's policy outlook. Crude oil climbed to its highest levels since April amid escalating tensions involving Iran, Israel, and the US, and the month saw one of the highest numbers of attacks on commercial shipping in the Strait of Hormuz. Global wheat prices maintained a downward trend, driven by geopolitical developments, a stronger dollar, and larger-than-expected revisions to domestic supply estimates.
Nordic trend followers were largely negative. Lynx, Mandatum Managed Futures, and SEB Asset Selection all posted losses, primarily due to setbacks in financial markets, while Calculo Altus was unchanged as energy gains were offset elsewhere. Among non-trend-following managers, results were mixed but negative in aggregate. Short-term traders Lynx Constellation and Epoque struggled amid intraday reversals in financial futures. Among global macro managers, Volt Diversified Alpha finished positive while Lynx Systematic Macro lost ground. The multi-manager RPM Evolving CTA Fund had a relatively strong month, driven mainly by energy and soft commodity gains among its underlying managers.
Looking ahead, RPM notes that the macroeconomic outlook has cooled somewhat, but inflation remains challenging with price pressures accelerating faster than anticipated, making expectations of lower interest rates increasingly difficult to justify. The AI trade continues to show signs of gradually unwinding.
According to RPM, time-series momentum as measured by its Market Divergence Index fell below its long-term average last month, primarily reflecting trend reversals in financial markets, while some commodity trends remained intact. In fixed income, US government bond yields initially surged to multi-decade highs before reversing sharply as a selloff in AI and technology stocks, coupled with renewed geopolitical risks, triggered a flight to safety. Global equities initially rallied despite elevated government bond yields, persistent inflation, and rising oil prices, before reversing and ending the month lower.
In foreign exchange, the US dollar surged to an 18-month high in early October before retreating as investors reassessed the Federal Reserve's policy outlook. Crude oil climbed to its highest levels since April amid escalating tensions involving Iran, Israel, and the US, and the month saw one of the highest numbers of attacks on commercial shipping in the Strait of Hormuz. Global wheat prices maintained a downward trend, driven by geopolitical developments, a stronger dollar, and larger-than-expected revisions to domestic supply estimates.
Nordic trend followers were largely negative. Lynx, Mandatum Managed Futures, and SEB Asset Selection all posted losses, primarily due to setbacks in financial markets, while Calculo Altus was unchanged as energy gains were offset elsewhere. Among non-trend-following managers, results were mixed but negative in aggregate. Short-term traders Lynx Constellation and Epoque struggled amid intraday reversals in financial futures. Among global macro managers, Volt Diversified Alpha finished positive while Lynx Systematic Macro lost ground. The multi-manager RPM Evolving CTA Fund had a relatively strong month, driven mainly by energy and soft commodity gains among its underlying managers.
Looking ahead, RPM notes that the macroeconomic outlook has cooled somewhat, but inflation remains challenging with price pressures accelerating faster than anticipated, making expectations of lower interest rates increasingly difficult to justify. The AI trade continues to show signs of gradually unwinding.
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