CTA trend followers suffer in market dominated by intervention

As correlations return to normal, many CTAs hope for better performance, citing market intervention by central banks as effectively stopping markets from trending and creating short, sharp reversals

CTAs hope for return to normality

The last two-and-a-half years have been brutal for trend followers. Performance of the CTA industry in particular has fallen dramatically since 2008.

Justifying the relatively long and deep period of drawdowns appears as challenging as finding returns. Questions about capacity and broken models have been asked of the industry but neither issue appears to explain fully the underperformance.

The scale of market intervention and inter-asset correlations are more likely candidates. However