Trend-Chasing Quants Post Worst Returns in 17 Years
- February worst month for commodity trading advisors since 2001
- Outlook for less-agile programs questioned amid turbulence
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A decades-old $350 billion pocket of quantitative money management may have met its match in February’s choppy markets -- and it could get worse from here.
Some quant investors are concerned that the most popular trend-following commodity trading advisers, more widely known as CTAs, are ill-equipped to handle a new era of steeper declines and sudden volatility spikes. The strategy, which rides price trends across asset classes, fell 6.4 percent in February, the worst month since 2001, according to a Societe General basket of the 20 largest managers. CTA funds have fallen 0.7 percent in the first three trading days of March.