Currency Managers Highlight CTA Performance in 2023
Posted by Colin Lambert. Last updated: January 24, 2024
In spite of a mildly positive December, 2023 is looking like a poor one for CTAs, with the Barclay CTA Index from BarclayHedge at -0.28% for the year with just over 85% of funds reporting results. In 2022, the index ended up 7.13%.
The index managed to add 0.25% in December and performance across the board was mildly positive, led, again, by the Cryptocurrency Traders Index, which rose 13.84% on the month for +71.88% in 2023. Only 74% of crypto funds have reported results, however.
2023 was a good year for currency traders, however, the Currency Traders Index added another 0.97% in December (with 72.4% of funds reporting), providing an annual return of +7.13%. This is the second best since 2003, beaten only by 2022’s +8.98%.
Elsewhere, 2023 saw discretionary traders outperform their systematic brethren for the fourth successive year, with the Barclay Discretionary Traders Index adding 0.85% in December for +1.96% on the year. This is actually the lowest return for the index since 2018, a fate also suffered by the Systematic Trades Index, which was up 0.17% in December, but this was not enough to drag it to the black, the index ending 2023 at -0.81%.
The Fin/Met Traders Index was the only other sub-index to end in positive territory for the year at +1.10%. The MPI Barclay Elite Systematic Traders Index, which is constructed to capture the average return of the 20 largest systematic traders, was down 0.61% in December, to end the year at -1.47%, an annual performance that only beats the Agricultural Traders Index at -1.96% and the Diversified Traders Index at -1.99%.
It was a similar picture for the BTOP50 Index, which seeks to replicate the overall composition of the managed futures industry with regard to trading style and overall market exposure. The index dropped 0.71% in December, closing out a poor last quarter that saw the index drop every month. This left the index at -1.39% for 2023 as a whole.