While the end of the last month looked dicey, things have turned around for most CTAs and we are looking at what looks like a solid result for the (mainly) trend following strategies in the NilssonHedge Daily CTA index.
At pixel-time, the index was up 2.6%, higher than before the Corona Virus introduced temporary risk aversion. Much of the risk aversion was, as we now know, offset by stimulus by various Chinese state actors.
In terms of market sensitivity, correlation against equity markets is back at pre-Corona levels while Beta has been reduced somewhat. This may have several explanations, lower notional allocation to equities or increased bond allocation which has also been trending higher (on average).
The daily data indices are available at https://nilssonhedge.com/index/daily-indices/ , free to download without registration. We also feature a Long/Short Equity and an Equity Market Neutral Index. Here we note that equity market neutral strategies does not appear to be the flavour of the day as they continue to underperform.