CTAs Continue to Thrive

CTAs have continued to thrive in the volatile conditions in markets, with the Barclay CTA Index, managed by BarclayHedge, rising 1.45% in September with 86.5% of funds reporting. This means since November 2021, the Index has had just one negative month, in May at -0.16% and year-to-date the Index is +9.36%.

Once again good performance was seen across the board with all sub-indices except the Cryptocurrency Traders Index and Discretionary Traders Index rising. The latter fell by 0.55% in September – and was comfortably outperformed by Systematic Traders – while the crypto index fell a modest, for it, 4.48%. Year-to-date the crypto index is the only one in negative territory at -39.08%.

Highlighting the stark difference with the Discretionary Traders Index, the Systematic Traders Index was the second best performing on the month at +2.27%, the MPI Barclay Elite Systematic Traders Index once again lived up to its name by rising 2.89%.

The Currency Traders Index also had a good month, rising 1.85% for a very healthy +8.79% year-to-date. Overall in 2022, the elite systematic traders index is best performer at +20.99%; followed by diversified traders (+13.79%). Systematic traders at +11.30 have opened up a gap to their discretionary brethren, which sits at +8.48% 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, also had a strong month at +4.15%, bringing the index to +18.24% on the year.

The SG CTA Index also had a good month, rising 3.98% in September for an impressive 26.1% up year-to-date. Equally, trend followers continue to revel in conditions, adding another 5.76% in September for +35.6% year-to-date.