Quantitative Investment Strategies Panorama: Signal failure? Getting rates trend back on track

Research evidence excerpt

Quantitative Investment Strategies Panorama: Signal failure? Getting rates trend back on track

Note: Back-tested performance does not represent actual performance of any account or Exhibit 1: CTA performance has significantly

fund. Back-tested performance depicts theoretical (not actual) performance of a particular rebounded since ‘Liberation Day’

strategy over the period indicated. In future periods, market and economic conditions may SG Trend Index is widely recognized as a key

differ and the same strategy will not necessarily produce the same results. No strategy for trend-following CTAs and reported

representation is being made that any actual portfolio is likely to have achieved returns after fees

similar to those shown herein. In fact, there are frequently sharp differences between back-

tested returns and actual results in the management of a portfolio. Back-tested 3300

performance results are created by applying an investment strategy or methodology to

historical data and attempts to give an indication as to how a strategy may have performed

3000during a certain period in the past if it had been in existence during such time. Back-tested

results have inherent limitations including the fact that they are calculated with the benefit

of hindsight, allowing the methodology to be adjusted to maximize returns. Further, results 2700

shown do not reflect actual trading or the impact that material economic and market

factors might have had on a portfolio manager's decision-making in actual circumstances. 2400

Rates trend-followers: Laggards since 2023

Cross asset trend-followers have rebounded meaningfully since ‘Liberation Day’ (Exhibit 2100

1), but the recovery has been far from uniform across asset classes. While equity- and SG CTA Index