In April, the NHX CTA Index delivered a positive return despite multiple trend reversals following the fragile ceasefire between the U.S. and Iran. Performance was mixed across managers and sub-strategies, depending on whether gains in equities were sufficient to offset losses in fixed income and commodities.
In the first half of the month, time-series momentum (TSMOM), as measured by RPM’s Market Divergence Index (MDI), plunged amid a series of trend reversals triggered by the ceasefire. In...
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