|
|
Authored by Auspice, a commodity and multi-strategy investment fund manager based in Canada.
Following three years of strong returns for CTAs, 2023 was a challenging environment for both passive commodity and active CTA/Managed Futures strategies. Indeed, while far from the -19.5% S&P500 and -13.1% Bloomberg Agg Bond Index corrections in 2022, all four commodity / CTA benchmark indices finished slightly lower in 2023.
Table 1: Annual Performance, 2020-2023.
Commodity cycles historically experience ebbs and flows. Previous periods of commodity supply shortages and strong price appreciation have had similar consolidations within longer term cycles. The 1970s bull market experienced a three-year correction, the 1980s bull market experienced a two-year correction, and the early 2000s bull market experienced two 12-plus-month corrections. Timing these cycles is difficult. Within a long-term cycle, there can be gyrations, such as those experienced recently on the downside with COVID, and on the upside with Russia/Ukraine. This is why we employ a rules-based, agnostic approach at Auspice.
Chart 1: Goldman Sachs Commodity Index (GSCI TR) Bull Market Returns.
For CTAs, prior to the Quantitative Easing period when inflation, volatility, and...................... To view our full article Click here
|
|
RSS
