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Update on the CTA Replication Project

Photo by Markus Spiske

Our CTA replication strategy is down 5.8% year-to-date, versus a 10.4% loss for the DBMF ETF and a 9.4% loss for the CTA ETF. The KMLM ETF is down 3.7% year-to-date.

Our strategy (REPA) does not rely on an index to replicate CTA performance. It’s a bottom-up replication strategy instead of a top-down one. Below is a chart of the relative performance of popular managed futures ETFs and our REPA strategy.


The KMLM ETF shows the best performance, down 3.7% year-to-date after rising the most last year by 30.6%. The DBMF ETF is down 10.4% year-to-date and has given up about half of the gains of last year. The CTA ETF is down 9.4% year-to-date, nearly erasing last year’s gains.

The REPA strategy was up 33.3% last year (backtest), and year-to-date it is down 5.8%. Below is a performance chart since 2000 (backtest).


The REPA strategy is behaving more like the KMLM ETF, but we need more data going forward to verify it. This replication strategy trades 26 liquid futures contracts and does not rely on any information from CTA indexes.

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Disclaimer:  No part of the analysis in this blog constitutes a trade recommendation. The past performance of any trading system or methodology is not necessarily indicative of future results. Read the full disclaimer here.

Charting and backtesting program: Amibroker. Data provider: Norgate Data

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