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What worked for CTAs?

First, we wish you all a Happy Holiday. Furthermore, we hope the testing times that Trend Following strategies endured in March enables the strategy to successfully resurrect during the rest of the year. As we are collecting more and more returns for March-22, we are getting a clear picture of how different strategies faired.

While not halfway through the month, we have close to 50% of the managers reporting numbers. There may be some early reporting bias in our numbers, but we believe it gives a reasonable picture.

Long story short, as long as you did not engage in trend following you actually did pretty ok. Unfortunately, a large amount of the larger managers are focused on Trend Following strategies in the more liquid markets.

While most Hedge Fund strategies have generated positive results YTD, the March Madness in Fixed Income markets, has caused the Q1 results for CTA to lag the other strategies.

To explore the managers that are captured so far, please check out our Ranking Page (login required).

Looking through the data, we note that most of the negative outliers are indeed Trend Following strategies. Other strategies had much more mixed results, with an average flat result for March. Finally, a month where diversification paid off. Given that March was not a particularly eventful month for Equity markets, option strategies faired well.

In terms of indices, our broad-based CTA index is down 1.5%. From a longer perspective, almost half of the inflation-driven pnl generated in the early half of 2022 has been given back. A lot of positions got reset over the last couple of weeks and CTAs are likely completely out of short fixed-income positions.

Strangely enough, the picture is similar for discretionary managers. Not the same pattern, but while uncorrelated, Discretionary managers have also faced difficult trading conditions post the half-year mark in 2022.

Commodity Specialists, which got a fair amount of positive attention in the last weeks. For instance, this report (by Bridge Alternatives) has so far reported a flat return, despite difficult trading conditions in several commodities. Commodity Specialists has had an exceptional run during the last four years and it may have been the most Sharpe Ratio efficient strategy over a tumultuous period.

As usual, our databases are updated and available for download.

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