recent CTA performance

Discussion in 'Trading' started by thisguy, Aug 28, 2007.

  1. thisguy


    Is anyone in ET working for a CTA?

    Curious to know how CTAs did over that 2.5-3 week period of high volatility? Is there a Barclay's-like monthly return summary for CTAs/asset managers I can look at online for free?

    A smaller CTA I worked at laid two people early last week. I didn't get the details but fund performance had something to do with it.

  2. BJL


  3. Overall returns should correlate closely with the S&P-500.
  4. thisguy


    Aren't the standard commodity markets NOT strongly correlated to S&P 500 and other equity indices? I recall a negative correlation between CTA fund returns and S&P500 returns from past studies.
  5. In a liquidity-driven environment, everything moves up and down together.
  6. BJL


    that doesn't really matter since they can be short or long.

    however, in a period of trendreversal after a rising stock market this is probably correct. since most CTA's use trendfollowing programme's they would have been long stocks and other stuff that rallied pre the subprime story. that would have tanked together with the equity market (eg. long equity, short treasuries, long copper, long oil, short yen, long gbp).
    option writing CTA's probably got hammered by the sharp increase in volatility that came with the selloff in equities.