Crypto Traders a Rare Sour Note in CTA Performance
Posted by Colin Lambert. Last updated: June 23, 2021
The Barclay CTA Index has continued its strong run in 2021, reporting a +0.86% performance for the month and 4.91% return year-to-date, with almost 90% of funds reporting.
Unusually for the index, crypto traders were a drag on performance, losing 13.09% in the month – they remain up 94.49% year-to-date, however. The Currency Traders Index rose a fraction, 0.1%, but remains the only sub-index in negative territory for the year at -.84%.
Top performer, and living up to its name, was the MPI Barclay Elite Systematic Traders Index at +2.07% – it is now up 8.27% year-to-date, second only to the crypto sub index.
Systematic traders outperformed their discretionary brethren, the former rising 0.9% on the month for 4.77% year-to-date, while discretionary traders were +0.48% on the month, but continue to outperform year-to-date at 5.67%.
The BTOP50 Index, which seeks to replicate the overall composition of the managed futures industry with regard to trading style and overall market exposure and which employs a top-down approach in selecting its constituents, was +1.97% in May, the fourth consecutive monthly gain.
Elsewhere, the SG Macro Trading Index was +1.72% for May and +4.81% year-to-date. Again, systematic traders outperformed on the month, but lag discretionary year-to-date, the SG Quantitative Index was +2.1% in May for +3.89% year-to-date, while the Discretionary Index was +1.18% for +5.4% year-to-date. It was another strong month for the SG Commodity Trading Index, which rose 1.45% for +8.79% year-to-date.