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Early Reporting Bias – Shining CTAs

We are proud to present the first database update for April 2022, an update that contains a surprisingly large amount of managers. 1680 strategies with more than 300 CTAs already having reported returns for April. As a fair amount of our regular subscribers are interested in the performance of CTAs (and given the recent run, who isn’t?), we will share a few additional data points. There is a fair amount of early reporting this month, indicating that results are strong across the board.

Hedge Fund Index Performance April 2022

As expected in an environment characterized by shifts in global equilibria, CTAs are generally outperforming other strategies, by a margin. Noteworthy is that the CTA Fund-of-Funds are doing the best. In the CTA space, these are typically moderately leveraged and have a significant allocation towards trend following strategies. The broader NilssonHedge CTA indices are more diversified and do hence have somewhat more muted results.

CTA Performance Breakdown by strategy

Our indices are averages, but a quick approximation gives the result that CTAs are up about 10% for the year, on an asset weighted basis.

CTA Sub-Strategy Dispersion

While average can hide a lot, we note that the 1st to the 3rd quartile performance range is 6% to 23%, a large range revealing that some markets, and some time frames have done much better than others.

Our broadest CTA index is up 6.6% for the year

Another remarkable fact, in the CTA space, is that an index consisting of commodity specialists, traders that are almost exclusively trading in pure commodity markets, have delivered remarkable consistency. The last losing month took place in October 2020. Positive index flows, significant diversification across managers, and perhaps a unique time frame have created a string of positive months stretching 18 months. In an environment characterized by a strong focus on systematic managers, the performance of largely discretionary commodity specialists is worth noting.

Noteworthy, and perhaps frustratingly so for the entrepreneurs running a managed futures firm, the performance is yet to turn into positive flows.

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