CQA – CTA Challenge Insights August 2021
CQA – CTA Challenge Insights – August 2021
Major geopolitical events, the Delta variant, and the devastation caused by Hurricane Ida dominated headlines in August. Despite this, European and U.S. equities continued their grind higher as the two developed economies printed strong economic numbers. Inflation levels remained at heightened levels and the Fed indicated tapering may begin later this year.
While there were no significant changes among the top 5 in the CTA Challenge to end August, we did see certain strategy types move up the leaderboard. Systematic non-trend and multi-strategy managers continue to lead the pack, YTD. For the most part, these managers performed well on a risk-adjusted basis, profiting from long natural gas and softs, as well as long U.S. and European equity exposure.
Equity index and volatility managers climbed up the rankings, benefiting from long U.S. equity and short VIX exposure. Momentum/trend-focused manager performance was mixed during the month. Long exposure in U.S. and European equities were the top-performing positions. Net long softs and long natural gas positions also helped cover losses from long U.S. Treasury exposure.
Short-term strategies performed relatively well on a risk-adjusted basis, with their ranking remaining largely unaffected through the month. Performance in the commodity bucket was dependent on market exposure. Commodity managers who had exposure to the energy and softs markets fared better than commodity managers with a bias towards grains markets.
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