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News Link • Stock Market

"It's A Bloodbath Out There Across Almost Every Strategy"

• by Tyler Durdan

In fact, extending the chart, this is the worst drop in the iShares Momentum (MTUM) ETF on record.

And in a world in which every aspect of the market is repackaged for algo use, the collapse in momentum trading means that hedge funds using models to follow big market trends have been whiplashed as volatility has spiked; in fact according to Bloomberg, trend - and momentum chasers - are now among the biggest casualties of a stock rout that has accelerated worldwide.

Within this group, it is the group of trend-followers known as CTAs, or commodity trading advisers, that has been hit the hardest with Leda Braga's BlueTrend hedge fund, GAM Holding AG's Cantab unit and Man Group Plc's AHL unit among those suffering steep losses in October.

While on paper, CTAs use computer-driven models to navigate markets and trade everything from equities to bonds to currencies to commodity futures, in reality they simply chase momentum and try to isolate an upward (and occasionally) downward pattern which to piggyback on. Unfortunately for their programmers, with volatility surging, the market's traditional patterns have all been shattered.

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