Volatility and Discretionary CTAs Continue to Perform despite Unstable 2016

by Jamie Fisher

  • 28 Nov 2016
  • HF

Preqin Quarterly Update: Hedge Funds, Q3 2016 shows how CTAs have struggled to maintain the positive returns generated through H1 2016. The Preqin All-Strategies CTA benchmark has posted a cumulative 2016 year-to-date return of -0.79%, despite the benchmark’s strong start to the year (+2.80% for H1 2016). In particular, CTAs have struggled since August, posting three consecutive months of negative returns. However, 2016 CTA performance has varied significantly by trading style.

As shown in the chart above, Preqin's Volatility and Discretionary CTA benchmarks have generated positive cumulative year-to-date returns of 6.34% and 2.86% respectively, despite both experiencing drawdowns in January 2016. The Preqin Discretionary CTA benchmark recorded its highest return (+2.71%) in May this year since July 2012, while volatility CTAs are on course for the highest cumulative year-to-date return since 2012.

While systematic CTAs registered the highest monthly return figure in June (+2.87%) across all three trading strategies, poor performance elsewhere this year has resulted in negative cumulative returns over 2016 (-1.99%). The varied performance across 2016 for systematic CTAs has contributed to three-year volatility of 6.0% this is the greatest volatility of all three CTA trading strategies tracked by Preqin’s Hedge Fund Online.

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