CTA Portfolio

The CTA Strategy Equity Curve highlights steady and incremental growth over the years, reflecting the consistent performance of a systematic trading approach. While the benchmark asset basket shows high volatility, the CTA Strategy exhibits controlled and predictable gains, underscoring its robust trend-following methodology across diverse markets.

The Drawdown Analysis demonstrates the effectiveness of systematic risk management. The CTA Strategy maintains significantly lower drawdowns compared to the benchmark, showcasing its ability to safeguard capital during periods of heightened market volatility. This stability reflects the efficacy of its position-specific stop losses and disciplined rebalancing framework.

The CTA Strategy delivers a total return of 171.57% with a compound annual growth rate (CAGR) of 5.15%. This is achieved with a remarkably low annualized volatility of 5.84%, far below the benchmark’s 25.70%. The strategy's maximum drawdown of -11.09% underscores its superior downside risk management, significantly outperforming the benchmark’s -71.54%.

The performance ratios highlight the strategy's risk-adjusted strength. A Sharpe Ratio of 0.89 and a Sortino Ratio of 1.30 indicate that the CTA Strategy provides consistent returns with minimized downside volatility. Additionally, its Calmar Ratio of 0.46 further validates its ability to deliver growth while controlling risk.

The expected returns reflect the systematic nature of the strategy. With a yearly expected return of 5.17%, the CTA Strategy balances moderate growth with robust capital protection. Its best yearly return of 23.11% emphasizes the strategy’s ability to capitalize on favorable market trends, while its worst yearly return of -3.64% underscores its resilience in challenging market conditions.

The Yearly Returns Analysis reveals a strategy well-suited for long-term investors seeking stability and diversification. The CTA Strategy consistently demonstrates its ability to outperform the benchmark during periods of market uncertainty, highlighting its role as an uncorrelated investment alternative.

The Monthly Active Returns heatmap illustrates the CTA Strategy's steady performance across various market conditions. Its systematic approach ensures that positive monthly returns are distributed evenly, minimizing volatility and maintaining investor confidence.

In the current year, the CTA Strategy has delivered a year-to-date return of 0.07, reflecting its disciplined approach amidst fluctuating market conditions. This performance further solidifies its position as a reliable strategy for capturing uncorrelated returns across commodity and currency markets.