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Managed Futures’ Winning Streak Runs Out of Gas, Drops 1.33% in November

CTAs Year-to-Date Performance Remains Strong with an 8.24% Return


The managed futures industry posted a -1.33% loss in November following three consecutive months of gains, according to the Barclay CTA Index, compiled by BarclayHedge, a division of Backstop Solutions.

For the year to date interval, the managed futures industry returned 8.24%, posting gains in nine of the past 12 months.

All but two CTA subsectors tracked were in negative territory for the month. The two outliers were the Currency Traders Index, up 0.37%, and the Discretionary Traders Index, advancing 0.13%.

Among the subsectors losing ground during the month, the Cryptocurrency Traders Index was down -9.87%, the MPI Barclay Elite Systematic Traders Index was off -3.83%, the Diversified Traders Index lost -2.34%, the Systematic Traders Index retreated -1.93% and the Financial & Metal Traders Index was down -0.61%.

All CTA subsectors except Cryptocurrency Traders have posted year-to-date gains through November. The MPI Barclay Elite Systematic Traders Index returned 17.07% over the period, the Diversified Traders Index gained 11.34%, the Currency Traders Index advanced 10.17%, the Systematic Traders Index was up 9.34% and the Discretionary Traders Index gained 9.11%.

A long and brutal winter continues for digital asset managers who lost another -9.87% in November, bringing the Cryptocurrency Traders Index to a combined loss of -42.94% on the year.

“The collapse of the digital assets exchange FTX dumped another blizzard’s-worth of snow on managers struggling to dig out from a prolonged and painful ‘Crypto Winter’,” said Ben Crawford, Head of Research at BarclayHedge. “Crypto notwithstanding, CTAs and Managed Futures funds in 2022 have been something of an oasis in the midst of a roiling wasteland. Elite traders are up double digits on the year while broad markets are down in equal magnitude. Traders of fiat currencies and their derivatives are on course to turn in their best year since 2003 and diversified traders are poised to wrap up an excellent year the likes of which have not been seen since the 2007-2008 crisis era.”

The Barclay BTOP50 Index, which tracks the performance of the largest CTAs open for new investment, was down -4.78% in November. For the year to date, the BTOP50 gained 13.82%.

For a complete table of Barclay CTA Index results as well as historical data, click here.


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Malea Lydon

BackBay Communications