CTAs Continue to Erode 2024 Gains

CTAs had their third consecutive monthly decline in performance in July, according to the Barclay CTA Index, managed by BarclayHedge, however, thanks to a strong start to the year, they remain comfortably in the black for 2024 as a whole.

The headline index was -0.64% in July with almost 87% of funds reporting, bringing the year-to-date return to +3.61%. The drop came in spite of positive performance from half of its sub-indices, including currency managers. The Currency Traders index crept into the black at +0.08%, pushing the year-to-date return to +3.94%. Elsewhere, there were also gains for Agri traders (+1.13% for +2.55% year-to-date) and crypto traders (+0.62% for +23.12%).

Discretionary traders were also positive in July, up 0.36%, the second time in 2024 that they have outperformed (and the second consecutive month this has happened). The Discretionary Traders Index is now +2.23% for the year, still behind the Systematic Traders Index, which dropped 1% in July, for +4.11% year-to-date.

Worst performing sub -index on the month was, ironically, the MPI Barclays Elite Systematic Traders index, which is constructed to capture the average return of the 20 largest systematic traders, this fell 1.74% in July, but remains the best performing fiat-based sub-index for 2024 at +4.37%.

The BTOP50 Index, which seeks to replicate the overall composition of the managed futures industry with regard to trading style and overall market exposure, also struggled in July, dropping an estimated 1.75%. This is also the third consecutive monthly decline, and brings year-to-date performance back to +5.3%.

Elsewhere, the SG Macro Trading Index ended July at +0.44% for +3.32% year-to-date, with again discretionary traders outperforming systematic. The SG Macro Discretionary sub-index was +0.9% in July, while the Quantitative sub-index dropped 0.12%. Year-to-date, however, the latter continues to outperform at +3.67% to +2.94%.

Trend followers also suffered for the third consecutive month, the SG Trend Index dropping 2.41%, bringing year-to-date performance to +6.07%. The SG Short-Term Traders Index also declined, by 1.06%, erasing all year-to-date performance, settling back to flat on the year.