CTAs completed a record year in 2022 following broadly flat performance in December, according to data from Societe Generale, with the SG CTA Index down slightly at -0.15% for the month to finish with its best annual gain 20.07%.
CTAs completed a record year in 2022 following broadly flat performance in December, according to data from Societe Generale, with the SG CTA Index down slightly at -0.15% for the month to finish with its best annual gain 20.07%.
Trend-followers were the main performance driver throughout the year, after the SG Trend Index finished December at -0.23% and logged the best year for the strategy with a 27.35% gain.
Shorter-term CTA strategies also recorded a strong positive performance in 2022, nearly equalling gains in 2008: the SG Short-Term Traders Index was down -0.24% in December and finished the year up 11.26%.
Despite the flat performance for all three managed futures indices in December, individual CTA manager performance did vary, with a split between small gains and losses in each strategy. The flagship CTA Index constituents were equally distributed with 10 positive and 10 negative returns, and the biggest range of individual performance from -4.2% to +4.9%.
Attribution data from the SG Trend Indicator indicated that in December most market sectors were hard to navigate for trend-following strategies, with only the Fixed Income sector contributing positively to the portfolio, where a resumption of downwards trends in global government bonds was likely profitable. The fixed income sector was the overall best sector for trend-following over 2022, followed by currency markets and then commodities.
