Fri, Oct 21, 2016
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:

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


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. M&A - U.S. hedge fund HarbourVest is shock winner in the £1.1bn SVG Capital takeover saga, Hedge fund Parvus shows hand, toppling William Hill merger deal[more]

    U.S. hedge fund HarbourVest is shock winner in the £1.1bn SVG Capital takeover saga From The fierce battle to buy Britain's biggest private equity group has come to an unexpected conclusion, with the original bidder walking away with the prize. SVG Capital has agreed

  2. Marc Lasry: Energy is still a phenomenal opportunity[more]

    From Distressed debt specialist Marc Lasry said energy debt is still a "phenomenal opportunity" because investors can get "massively overpaid" for the risk they take on. There are "huge opportunities" in the energy sector especially in restructurings, the Avenue Capital Group CEO said Tues

  3. Opalesque Exclusive: Ex-SAC manager re-emerges with market neutral hedge fund[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: A manager re-emerged from the SAC battleground last year to launch his own hedge fund under the umbrella of New York-based investment firm Endicott Group.

  4. North America - Hedge-fund manager Kyle Bass says the U.S. is on track for stagflation, Billionaire hedge fund titans Dinan, Lasry on election, markets and best investment ideas[more]

    Hedge-fund manager Kyle Bass says the U.S. is on track for stagflation From Kyle Bass, founder of Hayman Capital Management, on Wednesday warned that the U.S. is headed toward so-called stagflation. Stagflation is typically described as persistently high inflation and hi

  5. Macro hedge funds up 3.3% in one week on Fed and Brexit pays off[more]

    Komfie Manalo, Opalesque Asia: Hedge funds were boosted by the strong performance of global macro funds, with the Lyxor Global Macro Index gaining 3.3% as of the week ending Oct. 11 (-1.7% YTD), Lyxor Asset Management reported. Their short on the p