In 2025, amid extreme levels of macro and policy uncertainty, Time Series Momentum (TSMOM) remained below long-term average levels almost throughout the whole year. Accordingly, the RPM Evolving CTA Fund was slightly down yet performing in line with CTA benchmarks. Profits in precious metals and soft commodities were offset by losses elsewhere, in particular fixed income. Performance was mixed across managers and substrategies. Again, RPM’s active allocations added significant value.
In 2026, once again, a cyclical slowdown is expected. Given the surprising economic recovery last year, this would mean yet another turn in the business cycle. Continued high levels of volatility and market uncertainty make a focus on commodity markets and nimble managers seem like the best option going forward. However, by now, downside risks have amassed and cannot be ignored much longer. A potential stock market correction or bond market crisis make us look “hopefully” into the future with regards to Crisis Alpha. The replacement of the Chair of the Federal Reserve in May could be extra interesting.
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