While we are waiting for the October returns, we thought it would be worthwhile to bring your attention to a recent Marex report to which we had the pleasure of contributing, regarding the state of the CTA and Risk Premia universe. In particular, we observed the following:
- The dramatic changes in immediate and long-term performance metrics across key alternative and long-only asset classes
- Outstanding Alpha generation of CTAs and a slower recovery for Risk Premia and Hedge Funds
- Continued variability of Risk Premia correlation characteristics
- Broad sector return attribution from diversified, systematic momentum strategies during equity market drawdowns since 2000
The report can be viewed in full at the bottom of the page or you can access a condensed version at HedgeNordic where we participated in their Special Report on Systematic Strategies. Except for our article, there is a slew of highly interesting articles in the special edition.
As a teaser, we provide an update on CTA, Risk Premia, and Hedge Fund performance in light of the recent inflationary environment. We evaluate the efficiency of different market sectors during crises for a generalized trend following rules and we provide evidence that CTAs have delivered substantial alpha, even adjusted for Fama-French factors.