Prospects for CTAs in a Rising Interest Rate Environment

  • 31 Jan 2013
  • By Campbell & Company

Since 1972, the S&P 500 Index, US Treasuries and traditional 60/40 portfolios have each underperformed (on average) in Rising Rate periods relative to Declining Rate periods (as defined by changes to the Fed Funds target rate). Performance of the CTA industry in relation to the direction of interest rates has exhibited a distinctly different pattern.

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