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 “the years ahead may present significant challenges for CTAs as trend following strategies are likely to have a…
Niederhoffer: CTAs Could Face Historic Challenges From Rising Rates
Mark Melin
Mark Melin is an alternative investment practitioner whose specialty is recognizing the impact of beta market environment on a technical trading strategy. A portfolio and industry consultant, wrote or edited three books including High Performance Managed Futures (Wiley 2010) and The Chicago Board of Trade’s Handbook of Futures and Options (McGraw-Hill 2008) and taught a course at Northwestern University's executive education program.