CTAs versus Equities

The BTOP50 Index seeks to replicate the overall composition of the Commodity Trading Advisor (CTA) Industry and is one of the most frequently used CTA benchmarks. The largest investable CTA programs, as measured by assets under management, are selected for inclusion in the BTOP50. For 2022 there were 20 funds in the Barclay BTOP50 Index.

From 1987 inception to 2014 the BTOP50 outperformed the S&P500 with lower volatility, lower drawdown, a negative correlation.

Table 1: BTOP50 (CTA) versus S&P500 (Equities) 1987-2014

Performance 2015-2019, often characterized as the Quantitative Easing years that had low volatility, inflation, and interest rates, was a challenge for CTAs. Despite this, through the end of 2022 the BTOP50 performance is comparable to that of the S&P500. Notably the BTOP50 volatility and drawdown are lower, and the diversification benefits high with a slight negative correlation to the S&P500.

Table 2: BTOP50 (CTA) versus S&P500 (Equities) 1987-2022

With the return of inflation, volatility, and higher interest rates in 2022 we may have returned to the longer term trend of CTAs outperforming equities.

For further time period and regime analysis that analysis CTAs versus equities and other asset classes, see here.

For further information regarding the BTOP50 see BarclayHedge.

Disclaimers Below 

IMPORTANT DEFINITIONS, DISCLAIMERS AND NOTES

1.    The S&P 500 is an index of 500 stocks chosen for market size, liquidity and industry grouping, among other factors. The S&P 500 is designed to be a leading indicator of U.S. equities and is meant to reflect the risk/return characteristics of the large cap universe. Price Return data is used (not including dividends).

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