Barclay CTA Index Posts a 0.20 per cent return in December

The managed futures industry closed the year with a second consecutive profitable month and rose 0.20 per cent in December, according to the Barclay CTA Index compiled by BarclayHedge, a division of Backstop Solutions. For the full year, CTAs returned 5.15 per cent.

“A fourth month of rising equity prices and government bond yields provided a tailwind for momentum traders in December, but price reversals in agriculture and some currency markets created cross winds that reduced trading profits,” says Sol Waksman, president of BarclayHedge.

Only three CTA sectors posted positive results in December. The Discretionary Traders Index led the way with a 0.48 per cent return, followed by the Diversified Traders Index, up 0.40 per cent, and the Systematic Traders Index, gaining 0.11 per cent.

Sectors in the red in December included the Cryptocurrency Traders Index, down 4.55 per cent, and the MPI Barclay Elite Systematic Traders Index, which lost 0.51 per cent. Also losing ground in December were the Agricultural Traders Index, down 0.27 per cent, the Currency Traders Index dropped 0.25 per cent, and the Financial & Metal Traders Index shed 0.05 per cent.

On an annual basis, all managed futures sectors were in the black for 2019. The Cryptocurrency Traders Index set the pace with a 31.62 per cent annual return, followed by the MPI Barclay Elite Systematic Traders Index, up 8.14 per cent, the Systematic Traders Index, with a 4.88 per cent gain, and the Financial & Metal Traders Index, with a 4.62 per cent return.

The Barclay BTOP50 Index, which tracks the performance of the largest CTAs that are still open for new investment, was down 0.32 per cent in December but gained 6.73 per cent for the year.