CTA Performance Dips in July

After managing to eke out a small gain in June, CTA performance dipped again in July, with the Barclay CTA Index dropping -0.57% with just over 82% of funds reporting. Year-to-date the Index remains a very healthy +7.76%, however this is the second month in three it has been in negative territory after a booming start to 2022.

Only three sub-indices were in positive territory, currency traders were +0.07%, the Discretionary Traders Index was +0.65% and crypto traders took the heat out of a prolonged decline by returning 18.61%. Year-to-date the Cryptocurrency Traders Index is -31.96%, the only sub-index in negative territory – the Currency Traders Index is +5.79% in 2022.

Although it was -2.3% in July, the MPI Barclay Elite Systematic Traders Index continues to lead the way in 2022 at +14.31%. This is followed by Diversified Traders index at +11.27% (-1.18% in July); and the Discretionary Traders Index (+9.78%) – the Systematic Traders Index is +8.38% on the year (-1% in July).

The BTOP50 Index, which seeks to replicate the overall composition of the managed futures industry with regard to trading style and overall market exposure, had a tough month at -3.13%, the first down month of 2022, which put a dent in year-to-date performance, which remains impressive at +12.41%.

The SG CTA Index was also down in July, dropping by 3.06%, however it remains +17.44% up on the year. Elsewhere, trend followers also took a bit of a beating in July, dropping 4.4% according to the SG Trend Index – year-to-date, however, the Index remains a very healthy +23.28%.