Currency Traders Lag as CTAs End 2021 on a Positive Note
Posted by Colin Lambert. Last updated: January 20, 2022
The Barclay CTA Index rose 0.45% in December to provide a 5.24% return for the year, with just over three-quarters of funds reporting.
Although December was a tougher month for the Cryptocurrency Traders Index, which fell 10.74%, the index stood out over the year, with a 139.22% return for 2021. Conversely, which the Currency Traders Index was also fractionally down in December (-0.02%), it ended the year at a more modest +1.96%.
Best performers away from crypto were members of the Barclay MPI Elite Systematic Traders Index, which gained 1.68% in December for +11.42% on the year. Overall though, systematic traders were outperformed by their discretionary brethren, the Systematic Traders Index rising 0.21% in December for +3.73% on the year, and the Discretionary Traders Index rising 1.19% for +9.52% in 2021.
The only sub-index to drop in 2021 was the Fin/Metals Index, which was +0.06% in December for -0.77% 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, was +0.85% in December for +9.73% in 2021 as a whole.
Elsewhere, the SG CTA Index was up 0.35% for December, meaning it was +6.16% for 2021 – the SG Trend Index rose 0.48% on the month for +9.08% across 2021.