Year-End Drop Fails to Dampen Stellar 2022 for Trend Followers
Posted by Colin Lambert. Last updated: January 16, 2023
Although trend followers suffered slightly in December – and had their first losing quarter of the year – 2022 was a stand-out year for the strategy with record returns.
The SG Trend Index, which tracks the strategy ended 2022 at +27.35%, the highest return since the index was launched in January 2000, beating the previous high of +26.12% set in 2022.
The outcome could have been even better had trend followers given up gains in the last quarter of the year, during which only October at +0.19% was in positive territory. Overall, the index finished the quarter -6.07%. In 2022 as a whole, there were four months that saw a decline, the worst being July in which the index dropped 4.41%. The best quarter for the year was Q1 at +17.68%, March was the best performing month at +9.67%.
This represents only the third time the SH Index has returned more than 20% since inception, 2022 is also the seventh time returns have been in double figures – the last being 2014 when it ended the year +19.7%.
The strong performance came against a background of good returns from the wider CTA community. The SG CTA Index also ended 2022 with a record return of +20.13%, easily beating the previous peak of 2033 at +15.75%. Again this was the first double-digit return since 2014 (+15.66%) and is the fifth time the Index has provided a more than 10% return.
Finally, it was also a good year for the SG Short Term Traders Index, which ended the year +11.3%, the second best performance since inception in 2008, beaten only by its first year which was +11.74%. This was the third time this index has produced double-digit returns.