CTAs Perform Strongly in March
Posted by Colin Lambert. Last updated: April 24, 2022
Market volatility was kind to CTAs in March, with the Barclay CTA Index, managed by BarclayHedge, rising 3.09% with over 80% of funds reporting. Year-to-date the Index is up 4.93%.
All sub-indices were up for the month with the Cryptocurrency Traders Index leading the way with what for that index is a subdued +7.52%. Year-to-date the index remains down 6.96%, one of only two sub-indices in negative territory – the other being Currency Traders, at +0.09% in March for -0.28% year-to-date.
For the first time in a while Systematic Traders at +3.92%, outperformed Discretionary Traders at +2.43%, year-to-date the latter remains ahead, however, at +6.15% to +5.45%.
Diversified Traders also had a strong month at +4.55%, for +7.85% year-to-date, while the MPI Barclay Elite Systematic Trader Index, soared 6.02% for an index-leading 11.4% 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 +6.06% for +8.9% year-to-date.
The positive tone around the CTA industry was reinforced by the SG CTA Index, which rose 7.73% in March, for +12.8% year-to-date. It was also a stellar month for trend following with the SG Trend Index rising 9.67% in March, maintaining a tremendous start to the year, the index now 17.68% at the end of the first quarter.