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Managed Futures’ Performance Turns Positive in February, Reversing a Three-Month Slide

Digital Asset Traders Take a Breath, Hopeful of a Crypto Thaw in March


Managed futures posted a monthly gain in February, up 0.15% for the month, according to the Barclay CTA Index, compiled by Backstop BarclayHedge. The February gains reversed three straight losing months for CTAs.

CTAs were just into positive territory for the year to date as well, returning 6 basis points of net profits through the end of February.

“In the world of Managed Futures, the story in 2023 so far has been all about currencies. Fiat currency traders, who enjoyed a record year in 2022, have continued their winning ways through the first two months of 2023,” observed Ben Crawford, Head of Research at Backstop BarclayHedge. “And crypto currency traders, aka Digital Asset Managers, have burst back on the scene following a long and punishing ‘Crypto Winter’ that many hope is coming now to an end.”

Gainers outnumbered losers among managed futures subsectors in February. The Currency Traders Index had the strongest showing with a 1.06% gain on the month. It was followed by the Systematic Traders Index and the Diversified Traders Index which picked up 0.31% and 0.28%, respectively. In a somewhat distant fourth-place was the Agricultural Traders Index which finished February just over the line with a 9-basis point return. By way of comparison, the MPI Barclay Elite Systematic Traders Index was up a respectable 1.86% in February.

CTA subsectors losing ground in February included the Cryptocurrency Traders Index, down -0.91%; the Discretionary Traders Index off -0.90%; and the Financial & Metal Traders Index, losing -0.25%.

Most subsectors were in the black on a year-to-date basis. The Cryptocurrency Traders Index, despite a small loss in February, started 2023 at a blistering pace and enjoyed an aggregate return of 21.48% for the year so far. Elsewhere, among the traditional categories, the Currency Traders Index continues to lead, booking a return of 2.79% through February. The Systematic Traders Index was up 0.24%, while the Diversified Traders Index and the Discretionary Traders Index held on to gains by their fingernails, up 9 bips and 6 bips, respectively.

The only subsector that can be said to be definitively in the red for the year-to-date period is the Agricultural Traders Index which was off -0.41%. The Financials and Metals Traders Index is also showing a loss, albeit down a mere 2 basis points.

The Barclay BTOP50 Index, which tracks the performance of the largest CTAs open for new investment, advanced 1.34% in February. For the year to date, the BTOP50 was up 1.31%.

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

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Malea Lydon

BackBay Communications