Fri, Mar 27, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Campbell & Company: CTA performance historically invariant to direction of interest rates

Thursday, February 14, 2013
Opalesque Industry Update – According to new research by Campbell & Company, the performance of commodity trading advisors (CTAs) has historically exhibited a distinctly different pattern than equities and fixed income in relation to the direction of interest rates.

In a new white paper, Prospects for CTAs in a Rising Interest Rate Environment, the firm provides a comprehensive quantitative evaluation of CTA performance in relation to the direction of rates and concludes that the strategy has not historically been rate regime-dependent.

This conclusion is positive news for investors who may wonder if CTAs, many of whom have spent their entire existence operating in a bull market for fixed income, can weather a secular uptrend in rates.

How might a rising interest rate environment impact CTA performance? Here’s a snapshot of the conclusions:

• Unlike stocks and bonds, CTA returns have not historically been rate regime-dependent.
• Since 1972, there has been no statistical difference between the average monthly performance of CTAs in rising and falling rate environments, as defined by changes to the Fed Funds target rate (if anything, the strategy tended to do somewhat better when rates were rising).
• There has, historically, been no linear relationship between CTA performance and the direction of Treasury yield changes.
• The multi-dimensional approach to portfolio diversification employed by many CTAs may be one reason why the monetary policy environment historically has had a minimal impact on performance.

For a copy of the white paper, Prospects for CTAs in a Rising Interest Rate Environment, investment professionals may go to: www.campbell.com/_files/Prospects%20for%20CTAs%20in%20a%20Rising%20Interest%20Rate%20Environment.pdf

Founded in 1972, Campbell & Company is a pioneer in absolute return investment management, specializing in systematic managed futures and equity market-neutral strategies. The firm has long been an innovator in quantitative modeling, Campbell’s research efforts are designed to exploit structural market inefficiencies and have delivered attractive risk-adjusted returns over time. Campbell and its affiliates manage $3Bn in assets for a broad array of institutional and private clients around the world.

Press release

Bg

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   
Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing


  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Other Voices: Does the hedge fund industry benefit society?[more]

    This article was authored by Don Steinbrugge, Chairman of Agecroft Partners, a US-based global consulting and third party marketing firm for hedge funds. It is no secret that the hedge fund industry is viewed negatively by a la

  2. Private credit comes into focus for investors[more]

    Bailey McCann, Opalesque New York: As investors look for a way out of the low yield/no yield environment, private credit is becoming an increasingly attractive asset class, according to a white paper from Bayshore Capital Advisors. Private credit has grown steadily since the financial crisis as

  3. M&A - Hedge funds no longer attractive targets for banks, reinsurers, Blackstone buys stake in Christopher Pucillo’s Solus event-driven hedge fund[more]

    Hedge funds no longer attractive targets for banks, reinsurers From Institutionalinvestor.com: Swiss RE, the world’s second-largest reinsurer, is looking to sell its 15 percent stake in Jersey, Channel Islands–based hedge fund firm Brevan Howard Asset Management. Morgan Stanley reported

  4. Opalesque Radio: Threadneedle expects continuing equity volatility this year[more]

    Benedicte Gravrand, Opalesque Geneva: Investors should expect more volatility, which is signaling a "slow moving" top to the market, KKM Financial’s founder and CEO Jeff Kilburg told CNBC on Monday. And this volatility is going

  5. Hedge funds show strong performance of 2.52% so far in 2015[more]

    Komfie Manalo, Opalesque Asia: The hedge fund industry got off to a strong start in 2015 "completely unmindful" of the poor performance last year, according to data provider Preqin. According to Preqin, following a year which saw the average he

 

banner