Some preliminary observations are based on early data input from a limited set of Managers (we have only had two proper business days in February, so please allow some additional time).
- CTAs did well, MTD: +1.4%
- Equity Long/Short enjoyed strong equity markets: MTD: 1.5%
- Market Neutral did exceptionally well, MTD: +2.2%. Here we have a near-perfect string of returns.
- Event Driven had a flat month (MTD: 0%).
- Crypto lost 2.5% during January. A month where buying the rumor and selling the news dominated the path.
While most of the correlation remains as expected, correlations (and exposures) have shifted materially for CTAs. We have seen persistent short biases in bonds shifting towards long biases. Remember that CTAs have not had a positive correlation to bonds for more than two years, so this is groundbreaking in terms of correlation expectations. Likewise, the equity correlation is picking up and for the next few months, CTAs will behave somewhat like Risk Parity strategies
We can verify this by looking at actual ETF positions. We see the same pattern here, rapid exit from Fixed Income shorts and longer in other markets. Perhaps not surprisingly we see the same pattern here.
Index updates are in progress and new members will be announced on the webpage in due course.