Crypto Fund Misery Continues as CTAs Edge into the Black in June
Posted by Colin Lambert. Last updated: July 26, 2022
The Barclay CTA Index managed to eke out a 0.35% gain in June, as CTAs continued their strong collective 2022. With over 85% of funds reporting June results, the index is up 8.31% year-to-date.
Although agricultural traders also suffered at -1.26% on the month (+2.68% year-to-date), crypto traders continue to reverse last year’s strong performance with another down month, this time -16.92%. This leaves the Cryptocurrency Traders Index -41.96% on the year, although it did return 140% in 2021.
Currency traders performed solidly in June, returning 0.66% for +5.79% year=to-date, elsewhere there were also positives eked out by Fin/Metals traders (+0.49%/+2.05%) and Diversified traders (+0.76%/+12.73%).
Perhaps reflecting the formation of a trend, Systematic traders outperformed their Discretionary brethren and, for the first time in 2022, is outperforming on a year-to-date basis. The Barclay Systematic Traders Index was +0.86% in June, while the Discretionary traders Index was -0.93%, meaning year-to-date the returns are +7.92% and +9.63% respectively.
The MPI Barclay Elite Systematic Traders Index, which captures the average return of the 20 largest systematic traders, was up 0.14% for +16.99% year-to-date.
The BTOP50 Index, which seeks to replicate the overall composition of the managed futures industry with regard to trading style and overall market exposure, was down 1.17% in June, the first monthly decline since November 2021, for a year-to-date return of +15.15%.
Elsewhere, the SG CTA Index was +1.58% in June, for an impressive +21.14% year-to-date. Meanwhile, the SG Trend Index continues to soar, returning a +2.57% performance in June, for an equally impressive +28.97% year-to date.