Market Movers – Jan. 2021

The U.S. Treasury market was a major performance driver for many CTA strategies in January. The yield curve steepened to levels not seen since 2015, as market expectations for economic expansion/recovery and inflation continued to rise. Optimism that the COVID-19 vaccine should be available to most Americans by July, coupled with the potential trillion-dollar Biden Administration stimulus package, provided further support to the economic recovery case, causing yields to rise dramatically. Although some trend-following and systematic global macro managers suffered losses in January, many are now short interest rates, which bodes well for performance should yields continue to rise.


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