On 11/18/2022, zerohedge.com reported that:
The market's recent swings have become so violent so powerful and so unexpected leading to bone-crushing whiplash and a near record loss for trend-following CTA funds during last Thursday's CPI shock...
What's CTA?
Even if they have commodity in their name (Commodity Trade Advisors), CTAs use futures strategies to profit from up and downs in price trends of regulated liquid markets. CTAs are often known as "Managed Futures Fund".[1]
Since the strategy is a trending one, it is fair to say that it is a long gamma strategy. It does better as momentum builds. So volatility is good, but you need markets to trend in a direction for longer periods of time for the strategy to work.
You can read [2] for more details.
What's SG CTA Index?
The SG CTA Index is designed to track the largest 20 (by AUM) CTAs and be representative of the managed futures space. Managers must meet the following criteria:
- Must be open to new investment
- Must report returns on a daily basis
The CTA Index is equally weighted, and rebalanced and reconstituted annually.
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| Pros and Cons of CTAs |
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