FAIRFIELD, IOWA JANUARY 17, 2023
The managed futures industry cut its monthly loss to -0.13% in December, following a -1.33% loss a month earlier, according to the Barclay CTA Index, compiled by BarclayHedge, a division of Backstop Solutions.
CTAs were in positive territory for the year, however, posting a 7.33% return for 2022, riding a string of gains in 8 of the past 12 months.
“The performance of CTAs throughout 2022 continuously reaffirmed the critical role that commodities and managed futures play in the pantheon of institutional investing,” noted Ben Crawford, Head of Research at BarclayHedge. “Against an arterial-red backdrop, the average CTA (as represented by the BarclayHedge CTA Index) returned a solid 7.33% in 2022, while the constituents of the BTOP50, which consists of the largest CTAs open to new investment, garnered 13.78% for their investors. It was the index’s best performance in the last 27 years. The MPI Barclay Elite Systematic Traders Index was up 16.88% at year end—a feat last accomplished in the crisis era of 2008.”
The majority of managed futures subsectors suffered losses in December, though three posted modest monthly gains. The Currency Traders Index advanced 0.42%, the Discretionary Traders Index gained 8 basis points and the Agricultural Traders Index was up 3 basis points.
Subsectors retreating in December included the Cryptocurrency Traders Index, down -2.53%, the Systematic Traders Index, off -0.32%, the MPI Barclay Elite Systematic Traders Index, losing -0.15%, the Diversified Traders Index, down -0.16%, and the Financial & Metal Traders Index, retreating -0.16%.
All CTA subsectors but one gained ground in 2022. Among them, the MPI Barclay Elite Systematic Traders Indexreturned 16.88%, the Diversified Traders Index advanced 10.08%, the Currency Traders Index gained 9.78%, the Discretionary Traders Index was up 8.64% and the Systematic Traders Index returned 7.86%. The last time the Currency Traders Index performed so well was almost twenty years ago in 2003. The MPI Barclay Elite Systematic Traders Index had its best year in the last 14 years.
The Barclay BTOP50 Index, which tracks the performance of the largest CTAs open for new investment, was down -0.68% in December, but finished the year up 13.78%.
Alone in posting a loss for the year was the Cryptocurrency Traders Index, which lost -47.36% in 2022.
“The discourse throughout 2022 around digital assets has turned on the so-called ‘Crypto Winter’ and speculations regarding when the ‘Spring’ might reassert itself. For most commentators, the inevitability of the change in season has been a matter of time instead of a matter of faith,” reflected Crawford. “But with the implosion of (yet another) exchange in November (FTX), the tenor of the conversation has shifted and become polarized: The true believers have responded by redoubling their devotion and cranking up their evangelizing to 11. The more skeptical voices have turned to openly wondering if the “Crypto Winter” isn’t a season at all, but a state more akin to a nuclear winter.”
For a complete table of Barclay CTA Index results as well as historical data, click here.
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