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CTAs on a run – Liquid Alternatives April 2022

April ended with a large sell-off in Equities, with the major indices down more than 3%, a move that likely benefitted Managed Futures strategies, while harming equity-related strategies. While we do not yet have the final returns for April, we have a strong indication through our Daily Indices, that CTAs have continued to do well throughout April. On an indicative basis, we are looking at results that are close to 4% for our diversified CTA index.

CTAs on a run

The discrepancy against other alternatives is large, where only market neutral strategies have managed to avoid the poor investment climate since the start of the Ukrainian Russian war. Short positions in Bonds and long positions in commodities drove performance for April.

CTAs outperforming other style

We note that the difference against the SG CTA Index is even larger, an index that is more concentrated but also contains larger managers. The HFRX Macro/CTA index is lagging behind. The dispersion highlights that style and manager selection are drivers of returns.

Dispersion for CTAs

In March, 25% of the CTAs actually lost money, so unlucky fund selection may have caused negative returns, even for diversified CTA portfolios.

In the next few days, we will have the first full estimates for April. Stay tuned for additional updates.

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