No crisis alpha with this crisis - The form of the crisis matters

There has not been any crisis alpha within the CTA space for this crisis. CTA return performance suggests that there was no crisis and the actual gains in stocks and bonds do not show a crisis when looking at year to date numbers. The liquidity crisis of March seems like just a bad dream. A sustained decline in equity prices is needed over an extended time period translate into CTA crisis alpha performance.

A close look at the largest managers in the Nilsson Hedge database shows that there generally has not been any "crisis alpha" from these managers in 2020 as measured through the end of August. The average return for the set of large managers is -.88% with the 25th and 75th percentile respectively -2.48 and 1.25 percent. The size of the managers ranged between $9 and $1.85 billion in AUM and represents just over $148 billion in total investor capital. 

The major CTA performance indices are up just under one percent, but there is a noticeable difference between the large indices (BTOP50 and SG CTA) and the broader indices which include all managers. Large CTAs have not been nimble during this period. Simply put, all crises are not alike, and the largest managers may not have found a way to exploit sharp short-term shocks.