Quarterly Dispersion

While we have anecdotal evidence that April will be a good month for a large set of systematic manager, we now have data for most CTAs. Observing that the dispersion has been large, but that most style and strategies ended up with flat returns, on average.

In terms of our widely followed match between Man and Machine, we note that Systematic strategies are running a bit ahead of the Discretionary managers. Systematic strategies are up around 1% for the year. Fund of Funds mirrors the universe, but has additional fees, reducing the total returns.

Strategy-wise, the picture is fairly similar, no average returns, regardless of strategy. Surviving option writes have managed to generate returns as volatility across markets collapsed. Otherwise, there is no clear winner or loser across the board.

In terms of sector exposures, Equity focused CTAs, has pulled ahead of the crowd as the markets have been somewhat more opportune. Energy markets, given the massive rally in Crude Oils, could reasonably have been expected to do better, but is a sector with flat performance but no net returns.

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Categories: NilssonHedge

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