CQA – CTA Challenge Insights

2020 CTA Challenge Wrap-up


The CTA Challenge was designed to identify best-in-class managers on a risk-adjusted basis. The events that transpired this past year help to reiterate the importance of the CTA Challenge’s evaluative process. No single strategy group dominated the leaderboard. Instead, a diverse group of strategies finished on top in 2020. This highlights the fact that manager skill rather than strategy beta is critical to success.

Global Macro strategies generally fared well, with some managers capturing significant profits early in the year, when risk-off positions rallied sharply during the “COVID Crash.” Opportunities in currencies and precious metals continued throughout the year and helped many Global Macro managers to generate additional profits.

Trend following strategies were a mixed bag during the early part of the year. Financially focused strategies struggled during the market turbulence and those with more commodity exposure generally faired better. However, the strategy as a whole enjoyed a bit of a renaissance during the latter part of the year, a result of managers generating profits from long equity, short dollar, and long commodity positions, all of which performed particularly well in Q4.

As is often the case due to the variety of time frames and strategies employed, short-term manager performance was quite diverse. The strategies that performed well climbed to the top of the leaderboard in the first quarter, capitalizing on the volatility around the swift equity sell-off. Conversely, those who struggled mostly found themselves on the opposite end of the same trade.

Commodity-focused traders generated muted results early in the year; their positions were somewhat insulated from the turbulence that rocked financial markets. However, many managers climbed up the leaderboard in the second half of the year, because they were able to profit from strong rallies across a variety of markets – agricultural markets in particular.

Will we see the same performance trends in this year’s CTA Challenge? Stay tuned!


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