May 2020 – New and Closed Managers


We have published our NFA report, covering the developments in May 2020. May, featured a a small decline in the number of managers seeking or doing business under the CTA moniker. We observed a decline of the number of active CTAs, in line with earlier estimates, with a net loss of 8 managers. We observed … Continue reading May 2020 – New and Closed Managers

Database Updated – 92%


The Database contains 1790 different managers, representing 3368 different investment strategies.For the current reporting month, 1488 managers have reported returns. For the prior month, we have 1626 live managers. In total, the database contains 24484 years of manager data. Number of CTA Strategies: 2300 Number of Equity Long Short Strategies: 303 Number of Market Neutral … Continue reading Database Updated – 92%

Returns for CTAs over $100mn


We extract returns from Manager and Programs with more than $100 under management (estimated). The results can be seen below. We note that at the end of April, this group of managers had extracted approximately $1.4bn from the markets. With estimated assets for this group is around $130bn, this takes returns to 1.4% for the … Continue reading Returns for CTAs over $100mn

Database Updated – 86% Complete for April


The Database contains 1782 different managers, representing 3354 different investment strategies.For the current reporting month, 1381 managers have reported returns. For the prior month, we have 1607 live managers.In total, the database contains 24429 years of manager data.Number of CTA Strategies: 2294Number of Equity Long Short Strategies: 300Number of Market Neutral Strategies: 99Number of Event … Continue reading Database Updated – 86% Complete for April

Decomposing a public CTA Index


Michael Harris made a comment regarding the low performance for the large CTAs (https://www.priceactionlab.com/Blog/2020/05/top-20-cta-performance/). Using the NilssonReport, we can have a closer look at the underlying managers. The results are presumably disappointing given the large moves that have taken place YTD. In particular, it looks as if some of the managers focused on non-Trend strategies … Continue reading Decomposing a public CTA Index

Hic Sunt Dracones


ATS Trading Solutions delivered an interesting analysis on how Trend Following strategies did in April. So how do we navigate this very unfamiliar terrain? Attach a safety rope to your broadened domain of certainty and take very small steps. Imagine you are traversing a glacier with lots of hidden crevasses. Take it slowly, sure-footedly and … Continue reading Hic Sunt Dracones