CQA – CTA Challenge Insights – May 2021
CTA Challenge Insights – May 2021
May saw equity markets finish slightly higher despite inflation numbers rising at their fastest pace in over a decade. Broad commodity markets fared well, while continued dovish monetary policy caused the dollar to continue its trend lower versus G7 peers.
Similar to April, we again saw momentum/trend and systematic non-trend/multi-strategy-focused managers dominate the top of risk-adjusted rankings. Commodity and short-term strategies performed relatively well on a risk-adjusted basis, albeit performance was mixed within the two strategy buckets.
Short dollar exposure and long base and precious metals were the main contributors in May for the top strategy types in the CTA Challenge. Commodity strategies that focus on agricultural markets finished lower as the uptrend in grain markets pivoted in early May. Systematic non-trend/multi-strategy and momentum/trend strategies’ performance was more diversified and tied to long base metals, long energies, and net short U.S. dollar exposure.
Going forward, we continue to expect opportunities for managers to differentiate themselves as the developed world reopens and industrial production comes back online. 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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