CQA – CTA Challenge Insights March 2021

CQA – CTA Challenge Insights March 2021


The first quarter of 2021 was defined by heightened volatility in markets ranging from equities to commodities. Fiscal stimulus combined with hopes of a swifter economic recovery caused many markets to reach higher levels not seen in years.

The end of the first quarter coincides with our first release of the CTA Challenge rankings, as well. Given the heightened volatility, we were pleased to see many different sub-strategy types perform well, year-to-date. On a risk-adjusted basis, momentum/trend, systematic non-trend/multi-strategy, and commodity-focused strategies lead the pack in the first quarter, while global macro and short-term managers, in general, did not fare as well.

Short fixed income and long commodities were the main contributors to P&L for the top strategy types in the CTA Challenge. Although performance happened to be more correlated to market sectors than strategy type, there were differences in exposures to these markets amongst the leading strategy types. Systematic non-trend/multi-strategy and commodity strategies profited more from grain and energy markets than did momentum/trend strategies, whose performance was more tied to short fixed income trades on the longer end of the curve.

There should be many opportunities for managers as the developed world reopens and industrial production comes back online. We look forward to tracking the CTA Challenge participants and seeing which strategy types perform best over the course of 2021.


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