Whitepaper

CTAs in a Regime of Rising Rates

The advent of the Federal Reserve’s recent interest rate ‘lift-off’ and the future unwinding of other developed market central banks’ ultra-loose monetary policies prompts the question as to whether this new regime presents a problem for interest rate trend following. In this short note we examine the performance of the trend applied to interest rate futures and also to the other asset classes employed by CTAs – namely equities, commodities and FX, in periods of rising and falling rates and also in regimes of upward and downward sloping yield curves.