Macro Volte-Face Triggered Black Swan Drawdown For CTAs

"Trend following had a tough time," SocGen's Sandrine Ungari gently remarked, in a recent note. She might've used more colorful language. A little hyperbole would've been entirely justified. CTAs had a horrible go of things recently amid brutal reversals both in markets and, relatedly, in the narratives that drive them. If you're chasing trends, volte-faces are anathema. And a lot's shifted over the past... I don't know, let's call it 45 days. For what it's worth -- a lot in notional terms, I