(Opalesque) Timing CTAs is notoriously challenging. Monitoring their exposures provides a useful picture but has rarely been a reliable allocation method. According to Lyxor, they enjoyed an impressive rally this year, mainly supported by their long bond positions, which fueled high CTAs returns’ auto-correlations. Returns might prove less trendy going forward.
Large and broad reversals are the main CTAs’ enemies, says Lyxor
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