Currency Traders Up as CTAs Struggle in June

While the broader Barclay CTA Index struggled in June, currency traders stood out as a lone positive in a sea of red, perhaps reinforcing the strategy’s diversification benefits.

The headline Barclay CTA Index, managed by BarclayHedge, was -1.21% in June with just under 90% of funds reporting results. This brings a short run of positive months to an end, but it remains +5.06% on the year.

As noted, all but the Currency Traders Index (+1.29% in June for +0.53% year-to-date) were in the red, with the Cryptocurrency Traders Index struggling the most at -6.6% for the month and -12.7% year-to-date – easily the worst performing sub-index. Diversified Traders were -1.89% (but +6.85% year-to-date), while Agri traders were -0.74% (-1.18%) and Fin/Met Traders were just in the red at -0.05% (+5.47%).

It was a tough month for discretionary traders who were sharply outperformed by their systematic peers – the Discretionary Traders Index was -3.58% in June, dragging year-to-date performance to +1.3%, while the Systematic Traders Index was only -0.74%, remaining +5.47% year-to-date. The MPI Barclay Elite Systematic Traders Index, which seeks to capture the average return of the 20 largest systematic traders, was -0.46%, but remains the standout sub-index on the year at +9.68%.

The BTOP50 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 -1.44% in June, bringing year-to-date performance down slightly to +8.45%.

It was a similar picture with the SG Macro indices – the headline SG Macro Trading Index was -1.37% in June, but remains +2.83% year-to-date, while again systematic traders outperformed discretionary. The SG Macro Trading Index (Quantitative) was actually just in the black at +0.09% (+5.64% year-to-date), while the SG Macro Trading Index (Discretionary) was -2.37%, dragging down year-to-date performance to +1.23%.