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Year-to-Date Average Top 20 CTA Performance Remains Negative

Top 20 Commodity Trading Advisor programs are down 2.1% on the average year-to-date, according to data provided by BarclayHedge.

Average top 20 CTA annual performance chart is shown below from Jan 1987 to May 2020:

After a four year losing streak, top 20 CTAs gained 6.7% on average last year and are down 2.1% year-to-date. Since 2004, CAGR for top 20 CTAs is about 1.8%.

In March the average performance was -1.07%  and that means that these programs (on the average) provided some equity market tail risk hedge but still not the positive performance seen in the past, especially in 2008. It is a fact that CTA program convexity has declined significantly in recent years as shown in this article from earlier this year.

At some point I will also include data from NissonHedge; they are doing excellent job with CTA performance data collection.

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CTA performance data source: BarclayHedge. Also see this site: NissonHedge

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