CTAs Gain in August
Posted by Colin Lambert. Last updated: September 20, 2022
CTAs managed to eke out gains on the Barclay CTA Index, in spite of mixed performance across sectors, with currency traders performing well.
The overall Barclay CTA Index was +0.46% in August with just under 80% of funds reporting results, year-to-date the Index is +7.92%. The Currency Traders Index rose 1.02%, while the Cryptocurrency Traders Index was -7.02%. While the former has produced a solid year-to-date return of +6.66%, the latter remains the only sub-index mired in negative territory, at -36.29%.
The Agricultural and Fin/Metals sub-indices were also lower on the month, while once again systematic traders outperformed their discretionary brethren, finally closing the gap in performance between the two that opened thanks to a strong opening from discretionary traders. The Systematic Traders Index was +0.69% in August, while the Discretionary Traders Index was +0.16%. Year-to-date, coincidentally, both indices are now +8.96%.
The MPI Barclay Elite Systematic Traders Index lived up to its title, with a best-on-ground performance of +2.86% in August, bringing the year-to-date performance to an impressive +17.58%. The BTOP50 Index, which seeks to replicate the overall composition of the managed futures industry with regard to trading style and overall market exposure, rose 1.73% in August, year-to-date it is +14.14%
Elsewhere, the SG CTA Index pumped in a strong +3.26% return, for +21.27% year-to-date performance – it was also a good month for trend followers, with the SG Trend Index rising +3.99%. Year-to-date, the SG Trend Index is an impressive +28.2%.