CTAs ‘Poleaxed’ In Rates Rally, But Big Short Cover Still Distant Prospect

Those of you old enough to remember March may recall that the fireworks surrounding SVB's implosion triggered a massive shock for CTA trend. "Going with it," so to speak, was a good strategy vis-à-vis hawkish rates bets in 2022, but the multi-sigma dovish repricing catalyzed by a trio of US bank failures upset the proverbial apple cart. In mid-March, one of the most widely-cited CTA trend indexes suffered its largest two-session drawdown in the history of the series, which dates back nearly a

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2 thoughts on “CTAs ‘Poleaxed’ In Rates Rally, But Big Short Cover Still Distant Prospect

  1. I assume something external is needed to drive short covering, especially with the tipping point rather far away.

    So we’re back to watching macro, market, maybe geopolitical, for bond rally drivers. As for equities, earnings/revisions didn’t seem positive enough to drive a rally. Seasonality is positive but could be damped.

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