CTAs Positive in March
Posted by Colin Lambert. Last updated: April 14, 2021
CTAs had a decent month in March without blowing the doors off, although again, cryptocurrency traders produced eye-catching (and eye-watering) returns.
The Barclay CTA Index from BarclayHedge was up 0.23% for March with just under 75% of funds reporting data, year-to-date the index is up 2.2%.
Only one of the nine sub-indices was negative on the month, the Discretionary Traders Index was down 0.08%, but remains 2.74% in the black for the year. Best performer on a monthly basis was, as noted, crypto traders, with that index rising 10.2% for 93.09% up for the first three months of the year.
The Currency Traders Index was 0.19% up in March, but it remains in negative territory year-to-date at -0.16%. Elsewhere systematic traders were up 0.37% in March (+2.13% on the year), while diversified traders were up 0.29% (+3.67%) and the Financials/Metals Traders Index was up 0.3% but is down 0.18% year-to-date.
The MPI Barclay Elite Systematic Traders Index was +1.1% in March for +2.94% year-to-date, while 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 up 0.83% for +2.73% on the year.
Elsewhere, early indications are the SG CTA Index ended March +0.88% for 2.57% up on the year, while the SG Trend Index was +1.09% for the month and +3.97% year-to-date.