Living with Trend Following (SG CTA Index)

This paper is the first in a four-part series exploring how CTAs have navigated periods of complex macro dynamics over the last 25 years. Here we examine the Turn of the Millennium, the four years from Jan 1999 to Dec 2003.

Around the turn of the millennium, markets witnessed a series of pivotal events: the bursting of a stock market bubble, a recession, the onset of war, and China’s rapid rise as an economic powerhouse – to name just a few. Though each event impacted markets in its own unique way, they all shared one thing in common: a lasting and transformative effect on the global economy...