Top Performing CTAs 2022 Year to Date

2022 has been a great year so far for managed futures.  CTA indices are all reporting positive results, with Barclay’s CTA index posting ~+8% return through June 2022, and the SG CTA index posting a return of ~+19%. Trend following strategies, which had been out of favor over the last decade are making a comeback this year.  Despite the volatility in various commodities, commodity specific managers are also doing well.  Lastly, short-term systematic space is also performing well as day-to-day volatility has become a mainstay this year. Here are ten of the top performing CTAs in 2022 that are part of aiSource’s approved manager pool+:

 

  

Past performance is not indicative of future results. All RORs are through June 2022
**WDD: worst drawdown since the inception of the track record
***Sharpe: Sharpe Ratio since the inception of the track record

 

Three of the above managers are part of the short-term space: Soaring Pelican, Adalpha, and Breakout Funds.  Commodity specific strategies from the above group are Cayler Capital, Coloma Capital, NWOne, Rosetta Capital Management and Jaguar Investments.

There are some new entrants to our approved CTA pool this year, which have broken into the top ten list: NWOne, Cayler Capital, Absolute Return Capital Management and Jaguar Investments.  NWOne, is a relative value, systematic commodity focused CTA.  ARCM is a “whole portfolio” strategy that pairs  traditional stocks and bond portfolio with a momentum strategy across various markets. Cayler Capital and Jaguar Investments are both energy focused strategies.

 

+: Approved managers are CTAs with whom aiSource has active investments or has had investments with previously.