CQA – CTA Challenge Insights September 2021

CQA – CTA Challenge Insights September 2021


U.S. equities sold off in September, recording the worst month since the height of the pandemic fears in March of 2020. Fears of inflation along with central banks indicating policy will not be as accommodative going forward caused yields to rise along the curve. The energy crisis in Europe resulted in natural gas and electricity prices reaching all-time highs as Europe struggles with supply shortages.

We did see a reshuffling among the top 5 in the CTA Challenge to end September. Commodity managers were the big winners this month as they outperformed systematic-non trend and multi-strategy managers. Commodity-biased strategies were able to profit from long positions in the energy complex, performing well on a risk-adjusted basis. Systematic non-trend and multi-strategy managers held their spots on the leaderboard; however, performance was mixed depending on strategy exposure. Managers within the two strategy buckets that had greater exposure to the energy complex than equity markets performed better than managers who had an equity index bias. Long U.S. dollar exposure also provided positive returns for these two strategy buckets. Equity index and volatility managers moved down the leaderboard in September due to the risk-off environment. Long U.S. equity exposure detracted from performance among these managers.

Momentum/trend-focused manager performance was mixed during the month. Once again, performance was dependent on market exposure. Long U.S. dollar versus developed economies, along with long energy exposure helped many momentum/trend managers move up the leaderboard. Some managers within the bucket were not as well-positioned and moved down the leaderboard due to long equity exposure, particularly in the U.S.

Short-term strategies performed relatively well on a risk-adjusted basis with their ranking remaining largely unaffected through the month. They were able to capture some profits from a diversified basket of markets due to the heightened volatility that persisted in September. We look forward to seeing which strategy types perform well as we near the end of 2021.


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