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PLAYING A COMMODITY BOOM WITH CTAS

Commodities have become key contributors to CTAs’ exposures and returns. Since July, CTAs have greatly reweighted commodities from an overall -30% short of their net exposure to nearly +60% long today. Softs represent the lion’s share (+16%), followed by energy (+15%), base metals (+12%) and other minor segments (+12%). Precious metals are standing out at less than +3%. Overall, CTAs now show a 0.5 beta to commodity indices (vs. 0.1 in average). We review whether commodities will be a structural driver for CTAs and discuss the debated start of a new commodity “super-cycle”...
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