CTAs Edge Up in May

The more subdued nature of markets was reflected in the early results from CTAs in May, with the Barclay CTA Index edging higher for the month, with only two sub-indices showing a decline.

The headline index was up 0.18% with just under 85% of funds reporting, bringing the year-to-date return to +6.31%. Only the Diversified and Discretionary Traders’ Indices were down on the month, the latter by 0.66%, the worst performer in May.

The struggle of discretionary traders widened the performance gap with systematic firms slightly, the Systematic Traders Index was +0.3% in May. This brings that index to +6.31% year-to-date, while the Discretionary Index is +5.05%. Elsewhere, the MPI Barclay Elite Systematic Traders Index, which seeks to capture the average return of the 20 largest systematic traders, was +0.34% for +10.19% year-to-date, with one fund to report.

Best performing sub-index was the Fin/Met. Traders Index at +1.1% (+2.61% year-to-date), while the Currency Traders Index managed to stay in the black at +0.25% in May, but remains -0.82% year-to-date. Similarly, the Cryptocurrency Traders Index was +0.74% in May, but remains mired in the red at -6.88% year-to-date.

The BTOP50 Index, which is constructed to replicate the overall composition of the managed futures industry with regard to trading style and overall market exposure, was an estimated +0.12% in May, bringing the index to +9.46% year-to-date.

Elsewhere, it was a slightly different story between systematic and discretionary traders according to the monthly SG Macro indices. The headline SG Macro Trading Index was +0.12% on the month, for +4.45% year-to-date, however, the Quantitative Index was -0.21%, which the Discretionary index was +0.3%. As with the Barclayhedge indices, however, the quant index is still outperforming year-to-date, up 5.71%, compared to +3.84% for discretionary traders.