CTAs Up in February, FX, Crypto, Metals, Down

CTAs continued their good run of performance in February according to the Barclay CTA Index, which rose 1.03% for +1.7% year-to-date. The SG CTA Index also performed strongly.

Just under 80% of funds in the programme have reported results, and while the currency, crypto and financials/metals traders indices were all down, the losses were made up elsewhere, not least in the MPI Barclay Elite Systematic Index, which was up 2.26% on the month, for a strong +4.78% year-to-date.

Perhaps reflecting the lack of volatility in crypto markets and the headline cryptocurrencies’ inability to maintain last year’s strong rise, the Cryptocurrency Traders Index is down 0.93% on the month for -13.18% on the year – easily the worst performing sub-index thus far. It is notable that under 50% of crypto funds have reported results to March 16 – perhaps their blockchain isn’t working well – but even so, the full results are unlikely to be radically different.

Currency Traders were down 0.76% in February for -0.37% year-to-date and the Fin./Metals Traders Index was down 0.24% for -0.04% on the year, it will be interesting to see what happens in that sector in March given the mayhem in commodities markets and Nickel in particular.

Discretionary traders continue to outperform systematic, with the former returning 1.6% in February for +3.37% on the year, while the latter was up 0.9% for +1.39% year-to-date.

The BTOP 50 Index, which seeks to replicate the overall composition of the managed futures industry with regard to trading style and overall market exposure, was +1.15% in February, making it +2.81% for the first two months of 2022.

The SG CTA Index, meanwhile, was +2.5% in February, for +4.8% year-to-date, within this, the SG Trend Index, which tracks trend-following funds, was up 3.7% for the month, meaning a +7.4% return year-to-date.