CTAs Suffer First Negative Month in 2024
Posted by Colin Lambert. Last updated: June 25, 2024
After a strong start to the year, the Barclay CTA Index, compiled by BarclayHedge, suffered its first down month in May, falling 0.28%, with just under 85% of funds reporting results. Year-to-date, the index remains in very healthy territory at +5.03%.
Currency traders eked out a positive for the month at +0.13%, bringing the Barclay Currency Traders Index to +3.92% for the year, while the strong month for cryptocurrencies saw the Crypto Traders Index rise 10.3% for +33.47% on the year.
Systematic traders under-performed their discretionary brethren for the first time in 2024, the Discretionary Traders Index just about holding its head above water at +0.02% (for +2.2% year-to-date), while the Systematic Traders Index fell 0.49%, but remains ahead for 2024, currently at +6.21%. The latter is only bettered in the TradFi world by the Diversified Traders Index at +6.42% on the year, after a 0.75% loss in May, and the MPI Barclays Elite Systematic Traders Index, which fell 1.21% in May, but remains a strong performer at +8.67% year-to-date.
It was a similar picture for the Barclay BTOP50 Index, which seeks to replicate the overall composition of the managed futures industry with regard to trading style and overall market exposure, by deploying a top-down approach to selection. Again for the first time in 2024, this index fell, by an estimated 1.7%, bringing the year-to-date performance to +9.24%.
Elsewhere, trend followers also struggled for the first time in 2024, the SG Trend Index fell 2.29% in May, taking some of the shine off a good year-to-date, at +11.37%. The SG Short-Term Traders Index was also down, by 0.77% in May, bringing year-to-date performance to +4.51%.
The SG Macro Trading Index was -0.9% in May, bringing year-to-date returns to +3.54%. Quantitative traders remain the best performer, the SG Macro Index (Quantitative) was +0.19% in May, bringing the year-to-date return to +5%, while the SG Macro Index (Discretionary) was +0.75% for a year-to-date return of +2.41%.
