CTAs’ Good Run Comes to an End

CTA performance dipped for the first time since November 2021 according to the Barclay CTA Index from BarclayHedge, which has recorded a 0.16% decline for May with just over 80% of funds reporting – year-to-date the Index remains in very healthy territory at +7.99%.

All sub-indices were lower on the month with the exception of the Discretionary Traders Index, which squeezed a 0.13% return, yet again the worst performing area was cryptocurrency traders as the extended decline in prices continued to hit home. The Cryptocurrency Traders Index was down 11% in May for -28.74% year-to-date, the only sub-index in negative territory in 2022.

Currency traders were down 0.2% in May, but the index remains a healthy +4.81% year-to-date, while systematic traders were down 0.36% for +8.56% year-to-date. This means the systematic community is still trailing the discretionary on a year-to-date basis, the latter being +9.36%.

It was a similar story for the MPI Barclay Elite Systematic Traders Index, which is constructed to capture the return of the largest 20 systematic traders, this dipped 0.25% in May but remains a sub-index leading +16.6% year-to-date.

The Barclay BTOP50 Index, which seeks to replicate the overall composition of the managed futures industry with regard to trading style and overall market exposure, bucked the trend with a +0.48% return in May, meaning year-to-date the index is +14.42%.

CTAs in the SG CTA Index were also slightly down in May, at -0.12%, again though this hardly dented year-to-date performance at +19.24%. Trend followers also saw their first decline since late in 2021, at -0.2% in May – again though year-to-date the Index remains in very healthy territory at +25.74%.