It is almost ironic to see the chart below, but it paints a true story, the CTA index broke new recent lows. We have covered the CTA space for some time, and the trend continues. The CTA managers seem to continue getting caught wrong in all market moves, both up and down.

Below charts shows the SPX (orange) versus the CTA index (white). As we have been pointing out, the CTA players flipped to negative exposure in early December, caught the initially bearish move well, but the recent bounce has killed performance, once again. The speed and the magnitude of this recent bounce has been rather extreme, and has obviously produced even more p/l pain for the CTA players.

The CTA index chart is updated with a slight lag, but we would love to know if the “model” trend followers have started going net long the overall market, since the trend last few weeks has been markets going higher? We are certainly not jealous of the funds trying to flip trend following systems in this low liquidity market.

Since 2015 the CTA space has on average made zero returns. Sure, they are uncorrelated to the SPX, but returns are not great.

Source; charts by Bloomberg