Lessons learned: How luck, as well as skill, drove CTAs’ performance during the historic coronavirus sell-off

Building blocks

Managed futures strategies experienced an entire year’s worth of performance dispersion during a dramatic first three months of 2020, with trend-following hedge funds’ returns hinging as much on luck as skill, a new deep-dive analysis by multi-manager CTA portfolio investment firm Efficient Capital Management shows.

CTAs, particularly those trading short-term trends, were widely hailed for their strong returns during the coronavirus-driven sell-off earlier in the year, when other hedge fund strategy types suffered agonising losses.

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