CTAs Slightly Positive in August: Currency Declines
Posted by Colin Lambert. Last updated: September 22, 2021
CTAs managed a small 0.11% return in August according to the Barclay CTA Index, created and run by BarclayHedge. With over 80% of funds reporting performance, year-to-date the Index is up 4.83%.
Positive performance was led by the Cryptocurrency Traders Index, at +19.22% for the month and +122.64% on the year; in contrast, the Currency Traders Index was the worst performing of the month at -0.19% (with just under 68% of firms reporting), but remains up 0.69% for the year.
Discretionary traders outperformed systematic in August, the former up 0.58%, the latter drifting 0.06% lower. Year-to-date discretionary traders are up 6.47%, while systematic traders are up 4.36%.
The MPI Barclay Elite Systematic Trading Index, which tracks the average return of the 20 largest systematic traders, had a better month, rising 0.29% for 8.81% up on the year.
The BTOP50 Index, which seeks to replicate the overall composition of the managed futures industry with regard to trading style and overall exposure, was up 0.21% for August for +7.52% on the year-to-date.