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.
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.