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CTA Replication Is Not Working Well This Year

Photo by Anna Nekrashevich.

It may be “transitory”, but CTA replication is not working well this year.

As shown below, year-to-date (June 1, 2023), the SG Trend and CTA indexes are down 1.88% and 1.48%, respectively, but the DBMF ETF is down 8.1%.


The spread between the DBMF ETF and the two SG indexes is large, and it appears that something is not working well. However, the large spread may be “transitory”.

Below is the relative performance chart since the DBMF’s inception.


The DBMF ETF has outperformed the SG CTA index but underperformed the SG Trend index. Specifically, DBMF is up 40.2% since inception, while the SG CTA index is up 34% and the SG Trend Index is up 51%.

A few good quants have attempted to provide explanations about the relative performance of replication, but here we prefer to look at the data. There are many known but also unknown factors that can impact performance. The data is the ultimate measure of performance.

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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.