Currency Managers Best Since 2003 as CTAs End Good 2022 on a Down Note

December was a tough month for CTAs, however the minor losses had little impact on what was a very good 2022 for the sector.

The Barclay CTA Index, which is managed by BarclayHedge, was -0.19% in December, with just over 90% of funds reporting, with only the Agricultural and Discretionary Traders indices managed to claw out gains. For 2022 as a whole, however, the CTA Index was +7.23% – its best performance since 2014 when it gained 7.61%.

All sub-indices made money in 2022 with the exception of the Crytpocurrency Traders Index, which fell a further 4.48% in December to end the year -48.41%.

Currency traders were -0.31% in December for +8.99% for the year, the sector’s best performance since 2003’s +11.08%. In all, the Currency Traders Index has been in the black every year since 2006, with the exception of 2017, when it was marginally down at -0.08%.

Best performing sub-index in 2022 was the appropriately-named MPI Barclay Elite Systematic Index, which dropped 0.41% in December, but ended the year +16.58%. Elsewhere, the Discretionary Traders Index outperformed the Systematic Index, the former adding 0.61% in December for a full year performance of +9.21%, while systematic traders were -0.53% in December for +7.63% on the year.

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 dropped in December, by 0.68%, making the full year performance a still-impressive +13.14%.