While we still have a few days to go in August and it ain’t over until the fat lady sings, it looks like CTAs recovered much of what they lost in July with a positive return of about 2%. The remarkable action taking place on the last Friday of the month, when Jerome Powell delivered a hawkish stance at the Jackson Hole seminar had a modest impact on CTAs. Moves throughout the month in currencies and bonds are likely to have driven returns.
Despite Friday’s decline, equity markets are still “flattish” for the month, which will most likely result in neutral returns for other Hedge Fund strategies. Crypto Strategies are likely to end down for the month, as risk appetite moderated in the last half of the month.
CTAs have likely moderated equity shorts over the last couple of months. We note increasing exposure to currencies as the USD is moving again.
As seen above, CTAs have insignificant equity exposure and still large sensitivity to increasing bond yields (i.e. short bonds), long the USD, and short precious metals. At least judging by correlation and beta to the NilssonHedge CTA index.
Typically, the third fourth, and the first quarter of the year are strong performance periods for CTAs. Maybe autumn is arriving early this year.
Our coverage is continuously increasing, and we cover the lion’s shareof the liquid alternatives space. With some 600 CTAs strategies captured, we are most likely one of the largest CTA databases and a significant source of returns for Crypto Strategies.
Next month we will have surpassed 400,000 data points that are aggregated and statistically modeled to represent more than 4,500 different hedge fund (like) strategies.
NilssonHedge is gradually moving to a walled approach and readers are encouraged to register an account. If you are or would like to report returns to the NilssonHedge Database, you will have a good opportunity to add your returns here. We will continue to honor existing commitments and sponsors will have preferential access to the database.