CTAs Maintain Momentum in October
Posted by Colin Lambert. Last updated: November 28, 2022
CTAs continued their strong collective 2022 with the Barclay CTA Index rising 0.22% in October with over 90% of funds reporting. Year-to-date, the index is up 9.69%.
With the Cryptocurrency Traders Index rising for the first time in months, by 3.96%, all sub-indices were in positive territory. Crypto traders remain mired in negative territory, however, at -36.95% on the year, something that is likely to be even worse when November’s performance is reported, thanks to the collapse of FTX.
The Currency Traders Index was third best performer – it was pipped by agricultural traders – at +0.75%, for a year-to-date performance of +9.82%.
For only the second time in five months, discretionary traders outperformed their systematic brethren – who have been enjoying the trend -, the Discretionary Traders Index was +0.22%, while the Systematic Traders Index was +0.08%. Year-to-date, systematic traders continue to outperform, by +11.5% to +8.92%.
The MPI Barclay Elite Systematic Traders Index continues to perform well also, rising 0.63% in October for a leading year-to-date performance of +21.74%.
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 also up in October, by 0.67%, for a year-to-date return of +18.91%.