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 have suffered. A couple of large classical “safe bet” CTAs have not performed as expected.

The report can be accessed here. Sign up for the underlying database here (free).