CTAs delivered record gains in 2022, the fourth consecutive year of positive performance across all strategy types, according to the 2022 CTA Performance Report from the Capital Consulting group of Societe Generale Prime Services.
- The SG CTA Index had its best ever annual performance in 2022 with a 20.2% gain
- Trend-followers led the way with the SG Trend Index the best performer at +27.3%
- Fixed income, currency, and bond sectors were the year’s key performances drivers
By Mark Kitchen
Head of Intel, Hedgeweek
CTAs delivered record gains in 2022, the fourth consecutive year of positive performance across all strategy types, according to the 2022 CTA Performance Report from the Capital Consulting group of Societe Generale Prime Services.
The SG CTA Index finished the year up 20.1% – its best annual gain since Société Générale began calculating the index in 2000.
Trend-followers once again led performance both at the index level, with the SG Trend Index being the best overall performer of Society Generale’s suite of CTA indices at +27.3%, as well as at the individual firm-level.
The total return over the last four years for the CTA Index is 39.8%, and for the Trend Index 61.3%, showing that managed futures strategies have clearly benefitted from the market environment.
Shorter-term CTA strategies also did well in 2022 as the SG Short-Term Traders Index equalled its best yearly return up 11.3% and delivered the best risk-adjusted performance of the various CTA indices for the year.
CTA performance was strongest in the first half of 2022, with managed futures outperforming equity markets by a large margin, peaking in the middle of June 2022 when the CTA Index stood positive 25.9% YTD.
CTAs subsequently saw a drawdown and recovery in the second half of 2022 before reaching new highs again in October, when the CTA Index was up 28.7% YTD. The year ended with another small drawdown and slight recovery.
The key performance drivers for trend-following CTAs were the fixed income, currency and bond sectors. Gains were predominantly from downward trends in bond and interest rate markets, and upward trends in US dollar and energy markets.
The variety of opportunities across different cross-asset markets, time frames, and strategies highlights that CTAs are tactical trading strategies that can capture both up and down-market environments.
