CQA – CTA Challenge Insights April 2021

CTA Challenge Insights April 2021


The global economic recovery continued to accelerate in April as equity and commodity markets trended higher off the back of accommodative monetary and fiscal policies and increased demand for raw materials. Inflationary fears continued to persist during the month as well, pushing commodity prices to elevated levels.

On a risk-adjusted basis, momentum/trend and systematic non-trend/multi-strategy-focused strategies dominated the top of the leaderboard while global macro, in general, did not fare quite as well. Commodity and short-term strategies performed relatively well on a risk-adjusted basis, albeit performance was mixed within the two strategy buckets and correlated with market sector exposure.

Long commodities were the main contributor in April for the top strategy types in the CTA Challenge. Commodity and short-term strategies profited more from grains than did systematic non-trend/multi-strategy and momentum/trend strategies, whose performance was more diversified and tied to long agricultural products, base metals, energies, and U.S. equities.

Going forward, we expect numerous 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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