Trend-following quant funds are this year's biggest losers

New York

THE trend is not your friend - at least not lately. Between sleepy movements in global assets and short-lived macro shocks, programmatic investors who make their fortunes chasing momentum have had a particularly rough year. In fact, by some measures, commodity trading advisers (CTAs) are on track to post the worst yearly return since 1987, when data were first collected on the group.

CTAs, the majority of which bet on price trends using futures contracts across asset classes, are known for being volatile strategies, billed for their low correlation to equities.