As of April 2022, CTAs (as measured by the Barclay BTOP50 Index) have returned 35% over the 18 months since the US Presidential Election in November 2020. Over the preceding 18 months, CTAs returned only -0.2%. What happened?
We argue that the shift in performance is the result of price trends caused by evident macro changes. Some of them started already in late spring 2020. CTAs began to perform immediately after the US Presidential Election the same year – about 18 months ago.
The Russian invasion of Ukraine has further strengthened these price trends and CTA performance has continued to be strong.
This Market Commentary concludes with the assertion that financial and commodity markets have entered a new regime, more favorable to CTAs, than the “Central Bank Regime” that has dominated markets since the Great Financial Crisis (GFC) back in 2008.