CQA – CTA Challenge Insights July 2021

CQA – CTA Challenge Insights – July 2021


July brought a continuation of many of the market moves that we saw in June. The reflation trade again took a hit as investors moved into safe-haven assets. Global financial markets experienced an increase in volatility as the spread of the Delta variant caused major economies to question their outlook on growth.

There were no changes among the top 5 in the CTA Challenge to end July; however, we did see some changes in the rankings from 5-10. Commodity strategies that have a bias towards agriculture markets moved down the rankings from losses on long positions due to mixed weather in major U.S. growing regions, which caused corn and soybean prices to fall during the month. Systematic non-trend/multi-strategy managers continue to occupy a large portion of the top spots on the leaderboard. For the most part, these managers performed well on a risk-adjusted basis profiting from long energy, U.S. equity, and U.S. and European fixed income exposure.

Momentum/trend-focused managers performed better in July than in June. Long exposure to softs and energies were able to offset losses in net short U.S. dollar positions. Positioning in the rankings for momentum/trend managers remains unchanged.

Short-term strategies performed relatively well on a risk-adjusted basis with their ranking remaining largely unaffected through the month. Equity Index managers fared well from long U.S. equity exposure as the Fed has backtracked on their hawkish tone as they look to evaluate the potential effects of the Delta variant. Equity managers also benefitted from robust earnings growth in the U.S. and a favorable jobs report. We look forward to tracking the CTA Challenge participants and seeing which strategies perform best over the remainder of the year.


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