Niederhoffer: CTAs Could Face Historic Challenges From Rising Rates – ValueWalk Premium
Niederhoffer trend models

Niederhoffer: CTAs Could Face Historic Challenges From Rising Rates

Managed futures CTA have enjoyed a “cozy relationship with declining interest rates,” and in a rising rate environment “evolution will become mandatory,” according to an investor letter from R. G. Niederhoffer.
Is the party over?
In a letter titled “CTAs and Rising Interest Rates: Is the Party Over?” authors Roy Niederhoffer and Coen Weddepohl note that “a large fraction of their profits came from being long fixed income futures during a 32-year period of falling rates.”  As a result, the letter said . . .

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