CTAs vs Global Macro Hedge Funds

Systematic versus Discretionary Masters of the Universe

INTRODUCTION

We recently compared the alpha generation of generalist versus sector-focused fund managers in the US equity market, which highlighted that neither was able to generate alpha on average between 2014 and 2022. Worse, there was no consistency for the few fund managers that produced positive alphas (read Alpha Generation: Equity Generalists vs Sector Specialists).