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CTAs Holding Their Ground - Mostly - Through February

These are turbulent times in financial markets and many things are not what they used to be just a few short weeks (and even days) ago. Growing concern over COVID19 (what actually does it take for the WHO to finally call it for what it is - a pandemic?) seems to be the proverbial unmovable object that has met the unstoppable bull market force that has resulted in an explosion that is annihilating long positions across the global financial markets. It may be difficult to focus on investment strategies at such a turbulent time, but those who have lived through a few calamities like the dot-com bubble and housing crash know that now is actually the time to do so for professional investors. 

With that in mind, this week we’re taking a look at a few possible diversifiers to long equities, and traditionally those have been the managed futures strategies offered by CTAs. Not many funds that report their performance monthly have checked in yet, so we turned to daily data available from the NilssonHedge database of daily funds, and screened those that qualify as CTAs (or close) using AlphaBot’s Quant Screener, and looked at their returns through the end of February. We ended up with a universe of 28 programs and noticeably, 25 of them are doing much better than the S&P500 since the beginning of the year, with only 3 programs out of the set doing worse.

In fact, exactly half of the programs are producing a positive return with some programs such as LoCorr Long/Short Commodity program and Campbell Managed Futures being up almost 7% YTD. Gresham Managed Futures strategy returned almost 3%, and Man AHL American Beacon just above 2%.


Now this is something that CTAs are designed to do, and while this is a difficult period for, I guess we can say now, the entire world, good news is always welcome, whatever the circumstances, so kudos to these CTAs!

Dmitri Alexeev is Founder and CEO of AlphaBot, a collaborative platform for alternative investment research.

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