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A Fair and Placid October Yields Mostly Modest Gains for CTAs and Managed Futures Funds

CTAs Continue to Outperform Other Asset Classes, Up 9.59% Year to Date


The managed futures industry eked out a third consecutive monthly gain in October, returning 13 basis points according to the Barclay CTA Index, compiled by BarclayHedge, a division of Backstop Solutions. The CTA industry has now posted profits in 9 of the last 11 months.

For the year to date the managed futures industry returned +9.59% through the end of October.

“October gave the ever-optimistic crypto enthusiasts something material to celebrate: A return to gains,” observed Ben Crawford, Head of Research at BarclayHedge. “Meanwhile, commodities experienced yet another positive (if unspectacular) month, benefitting many CTAs and managed futures traders. Segments that lost value in October did so in only the most minute fashion and overall gains outweighed losses in the industry.”

Most CTA subsectors were in positive territory for October. The Cryptocurrency Traders Index returned to the podium and set the pace with a +4.63% return on the month. Elsewhere, the gains were somewhat more modest: The Agricultural Traders Index was up +0.93%, besting the MPI Barclay Elite Systematic Traders Index which booked profits of +0.62%. The Currency Traders Index pocketed +0.25% in change and the Systematic Traders Index reported a gain of 10 basis points.

Of the two managed futures subsectors which lost ground in October, neither one suffered much damage. The Financials/Metals Traders Index dropped -14 basis points and the Discretionary Traders Index was down -6 basis points.

Once again following October’s results, we see that all traditional CTA subsectors have remained profitable in 2022. Faring best of all has been the MPI Barclay Elite Systematic Traders Index, which is up +21.73% with two months remaining in the year. It is followed by the Diversified Traders Index (+14.02%); the Systematic Traders Index (+11.52%); the Currency Traders Index (+9.27%); and the Discretionary Traders Index (+8.62%). Following at a slightly slower gait are the Fin./Met. Traders Index up +2.40% and the Agricultural Traders Index +2.17% in the black.

The Cryptocurrency Traders Index remained the lone sector in the red for the year to date, down -36.54%.

“In the broader context, CTAs continue to trounce nearly all other investment vehicles and asset types in 2022,” observed Crawford. “Both the MPI Barclay Elite Systematic Traders Index and the Barclay BTOP50 Index have outperformed almost all major equity, stock and broad hedge fund indices—in many cases by double digits. While the industry lore holds that once CTAs are doing well, it’s already too late to invest in them, it is difficult to imagine that the titanic and growing pressure of FOMO isn’t driving at least some to bet against the established wisdom.”

The Barclay BTOP50 Index, which tracks the performance of the largest CTAs open for new investment, returned +0.67% in October. For the year to date, the BTOP50 is up a combined +18.67%.

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


About Backstop BarclayHedge

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Malea Lydon

BackBay Communications