2020 followed 2019’s lead and was another good year for many CTA strategies. CTA indices were also up, with Barclay’s CTA index posting a positive return of 5.4% and, and the SocGen CTA Index posting a positive return of 3.1%. Agricultural strategies, which had been out of favor over the past few years made a comeback and supplanted global macro as the leading category. Grain strategies saw a resurgence in 2020 due to a strong grain market that started last summer and has continued since then. Livestock strategies have also seen a comeback with a number of global demand concerns causing increased volatility. Here are ten of the top performing CTAs of 2020 that are part of aiSource’s approved manager pool:
Past performance is not indicative of future results. All RORs are through December 2020
**WDD: worst drawdown since the inception of the track record
***Sharpe: Sharpe Ratio since the inception of the track record
Four of the above managers are part of the agriculture group: Demeter Capital Management (grains and livestock), Bocken Trading (grains), Blue Bar Futures (livestock), and Four Seasons Commodities (grains),
There is one new entrant to our approved CTA pool this year, which made the top ten list: PlusPlus Capital. PlusPlus Capital is a systematic strategy that uses a combination of futures and options to trade various global markets. A few CTAs have now made the list two consecutive years in a row: Covenant Capital, Breakout Funds, and Emil Van Essen’s GTAP Strategy.
We will continue to track the above managers and hope to add new, emerging managers to the 2021 list!