AMT Futures Limited's Anthony Hodges looks at whether market conditions will improve for CTAs after a difficult few years.
Much has been written about the lack of CTA performance over
the past 3-4 years. Managed Futures proponents point to 2008,
when CTAs demonstrated a remarkable ability to generate
handsome profits when the financial world was in crisis, as a
reason for including managed futures in a balanced
Since then money has flowed into the sector but investors have
been frustrated by lack-lustre results. Although the low
correlation story still holds true, investors were justifiably
expecting more than a generally flat to negative experience
from 2009 through 2012.
The reasons are well publicised. Zero interest rates have
had a distinctly inhibiting affect on performance. In the past,
higher rates on the substantial percentages of cash held by
CTAs acted as a buffer against poor performance and the
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