Yearly Performance Review 2019

RPM Investments
By January 21, 2020 06:55

Yearly Performance Review 2019

In 2019, RPM portfolios again delivered mixed results in a difficult market environment with little exploitable time series momentum (TSMOM) outside of fixed income markets. After an initial sell-off, the year was characterized by a major bond rally on the back of an escalating US-China trade war and growing recession fears as the US yield curve inverted for the first time since 2007. In May, evolving managers once again delivered crisis alpha. However, in the fourth quarter, market sentiment completely turned around on renewed trade optimism with US stock indices reaching new record highs at year- end. As TSMOM vanished, CTA performance suffered accordingly. Overall, bonds and to some extent equities provided profitable trading opportunities while commodities were a drag on returns. Performance was mixed across managers but, on aggregate, all substrategies ended the year in positive territory. RPM Evolving was up performing in line with benchmarks whereas RPM Galaxy was down slightly underperforming.

In 2020, the global economy is generally expected to trough by midyear. If correct, CTA performance should remain positive in the coming months before we expect it to deteriorate once the business cycle turns as managers adjust positions to a new environment.

 

RPM Investments
By January 21, 2020 06:55

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