BarclayHedge Data Highlights CTA Struggles for Profit Amidst Volatility

CTAs appear to have been struggling with volatile markets alongside their hedge fund brethren, with the Barclay CTA Index dipping slightly into the red in March, the losses mitigated by discretionary traders who had another strong month.

The headline CTA Index was -0.06% in March with 90% of funds reporting results, while not disastrous in any way, it does highlight how firms have failed to exploit the volatile conditions. Of the eight sub-indices only two, the Discretionary Traders Index at +1.91%, and the Diversified Traders Index at +0.12%, were in the black. The Cryptocurrency Traders Index was -5.11%, while the Currency Traders Index was -0.18% for the month.

Year-to-date the Barclay CTA Index is -0.28%, with only the Discretionary Traders Index in the black, at a healthy +3.38%. This reflects activity in the hedge fund world – earlier this month, HFR data also indicated discretionary traders were outperforming in the volatile conditions.

In the CTA world, the Systematic Traders Index fell 0.6% in March, for -1.4% year-to-date, in the same vein the MPI Barclay Elite Systematic Traders Index, which is constructed to capture the returns of the 20 largest systematic managers, fell 1.1% for -3.01% year-to-date.

The worst performing index is the crypto traders at -17.63% on the year, although this is likely to be mitigated in April as crypto prices have rebounded, currency traders are -0.44% year-to-date.

The BTOP50 Index, which seeks to replicate the overall composition of the managed futures industry with regard to trading style and overall market exposure, managed to eke out gains in March (but is in the midst of a horrendous April) at +0.39%, dragging the index for first quarter almost back to flat at -0.02%.