Currency Traders Outperform Again as CTAs Struggle

Currency traders were once again a rare beacon of light in an otherwise tough month for CTA strategies in October, accompanied only by the highly volatile cryptocurrency traders in positive territory.

The Barclay CTA Index, managed by BarclayHedge, was -1.23% in October, with just shy of 90% of managers reporting, bringing year-to-date performance down to +2.31%. As noted, only two sub-indices were in positive territory, the crypto traders index at +1.77% (and notably, the price of bitcoin rose 15% in the month), and the Currency Traders Index, which was +1.27%.

Year-to-date the Cryptocurrency Traders index leads the way at +20.11% (and again, as a proxy, the price of bitcoin was up some 57% to the end of October), while amongst more traditional strategies, the Currency Traders Index is pulling away from the crowd at +6.65%. The second best performing sub-index is the Discretionary Traders Index at +2.25% year-to-date, in October discretionary traders once again outperformed their systematic brethren, the former was -0.67%, the latter -1.61% (for +1.94% year-to-date).

The MPI Barclays Elite Systematic Traders Index, which is intended to capture the average return of the 20 largest systematic traders, was a worst-in-class -2.35% in October, meaning year-to-date performance is also at the bottom of the group at +0.77% to the end of October.

The BTOP 50 Index, which seeks to replicate the overall composition of the managed futures industry with regard to trading style and overall market exposure, was an estimated -2.98% in October, dragging year-to-date performance, in what has been a rollercoaster of a year, to +1.4%.

Elsewhere, the SG Macro Index was -0.97% in October, for +2.79% year-to-date, and again the discretionary traders survived better than systematic. The SG Macro Trading Index (Quantitative) was -1.59% (for +0.38% year-to-date), while the Discretionary index was -0.56%, for +4.23% in 2024.