CTAs Dip into the Red After Tough February

After a solid start to the year in January, CTAs struggled in February, according to the Barclay CTA Index, provided by BarclayHedge, with only two sub-indices making it into the black, and then only by a fraction.

The headline index was -1% with over 90% of funds reporting, reversing the January gain and sending the CTA Index to -0.19% for the year. As noted, all but the Discretionary Traders Index (+0.08%) and the Fin/Met Traders Index (+0.07%) were in the red, with the Currency Traders Index dropping 0.54% to push it to -0.43% year-to-date. Hardest hit was the Cryptocurrency Traders Index, which, following the decline in crypto assets in February, was down 14.22%.

Systematic traders struggled badly in the month and while the Discretionary Traders Index is now +1.42% year-to-date, and best performing of the sub-indices, the Systematic Traders Index fell 1.47% and is now -0.76% on the year. Worse still, the MPI Barclay Elite Systematic Traders Index, which seeks to capture the returns of the 20 largest firms, was down 2.38% in February, with all funds reporting, for -1.87% year-to-date.

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 also down, by 1.73% in February, meaning it is -0.51% thus far in 2025.

It was a similar picture, albeit not so bad, in the Macro world, with the SG Macro Trading Index dropping 0.24% in February, meaning it remains in the black at +1.37% year-to-date.

Again, however, discretionary traders outperformed systematic – the SG Macro Trading Index (Quantitative) was -1.05% in February (+0.12% year-to-date), while the SG Macro Trading Index (Discretionary) was +0.26% for +2.13% year to date.