Trend behavior last month was mixed for many CTA managers. The allocation weights had a significant impact on November performance. We believe there may again be significant dispersion in performance because trend dispersion is high. For example, US stock indices show strong up trend signals while non-US stock indices are showing clear short signals. The opposite is the case for bonds where US bond signals are for short positions while non-US bonds signals point to long positions.

The dollar reversed long signals and is now showing sell signals on lower prices in spite of higher interest rates versus other developed countries, tighter monetary policy and higher economic growth signals. The oil complex continues to produce long signals. Base metals have generally been choppy but now have a short bias. Commodities do not have clear signals expect for down trends in corn and wheat.