CQA – CTA Challenge Insights June 2021

CTA Challenge Insights – June 2021


In June, many established trends across currencies, fixed income, and commodity markets reversed sharply, causing losses for many strategy types. Risk assets finished higher and yields crept lower as the Federal Reserve signaled a more hawkish tone.

There were no significant changes in the leaderboard for June, however, there was some reshuffling among the top 10. The reflation trade reversed in June causing many momentum/trend-focused managers to lose ground on a risk-adjusted basis. Short U.S. dollar positions were responsible for most of the losses in the momentum/trend strategy bucket. Broad-based commodities and U.S. Treasuries also changed course, resulting in losses from long and short positions, respectively. Commodity and short-term strategies performed relatively well on a risk-adjusted basis and moved up the rankings, albeit with mixed performance across the two strategy buckets. Commodity managers were able to profit from long energy positions but suffered losses from long agricultural market exposures. Short-term traders and equity index-focused strategies performed relatively well on a risk-adjusted basis with their rankings remaining largely unchanged through June, although performance was quite mixed across managers.

It will be interesting to see how managers do in the coming months as it appears growth is slowing while the Fed is seemingly becoming more hawkish toward inflationary pressures. 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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