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.

 

To send a question to the author, or to learn more about this topic, click here.

For more information about Coquest Advisors and its Portfolios, please click here.

 

Disclosure: The risk of loss in trading futures and/or options is substantial. Past performance is not indicative of future results. The information in this message derived from third-party sources is believed to be accurate and reliable; Coquest does not guarantee the accuracy or completeness of the information. Opinions expressed in this material are subject to change without notice. This report should not be interpreted as a request to engage in any transaction of futures, options, and/or OTC derivatives. The information contained in this material is not to be relied upon in substitution for the exercise of your independent judgment. Seek independent financial, tax, legal, and accounting advice from your own professional advisers, based upon your particular circumstances.

Back