Looking at the last column in Table 3, it is clear that the big winner in risk premia space in 2022 was Momentum. Much has been written in the financial press about the revival of Trend Following -which we include in Momentum.
Where Momentum was the clear winner, Carry was at the other end of the spectrum. The bright spot was Commodity Carry, which registered a more than respectable Sharpe of 0.92.
In summary we believe that while conditions look to be improving for Rates and FX Carry, we are not yet convinced that the time is quite right yet for either.
FX had good performance in the variant that excludes the volatility block. Once vol strategies were included, the Sharpe ratio dropped to just positive. The effect of including volatility for was the other way around for Credit: turning less negative
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