Currency CTAs and their investors deserve each other, and that is not meant as a compliment. Consider two frequently cited indices of currency CTA (commodity trading advisor) performance from Stark and the Barclay Group. The former started at the end of December 1981; the latter began at the end of December 1986.
How would a $1,000 investment in each index fare in nominal dollars and before fees? It shows that at the end of January, the money in the Barclay index would have grown to $5,223, while the Stark-based investment would have climbed to $3,444. By way of comparison, a portfolio of three-month Treasury bills would have climbed to $2,611. As do all indices, both of these currency trader performance measures have substantial survivor biases, which means they retain the results of the better-performing CTAs while jettisoning the results of the poorer- performing CTAs.
The performance of currency CTAs has been nothing short of horrendous.
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