Currency Managers Stand Out in Down Month for CTAs
Posted by Colin Lambert. Last updated: July 23, 2021
Perhaps highlighting the diversification benefits of currency investing, currency managers were the only significant positive sub-index as the Barclay CTA Index broke a positive run with a decline of 0.28% in June. With over 85% of funds reporting, the index remains up 4.59% year-to-date.
Currency Managers were up 1.3% in June, to creep into positive territory for the year at +0.25%, only the Discretionary Managers index at +0.02% was also positive for the month. Reinforcing the idea that cryptocurrency managers are largely long-only, the Cryptocurrency Traders Index was down 7.61% in June, however it remains easily the best performing year-to-date at +79.66%.
On a year-to-date basis, all eight of the sub-indices are in positive territory, after crypto traders, the MPI Barclay Elite Systematic Traders Index is living up to its name at +8.21%, followed by the Diversified Traders Index at +6.95%. Discretionary traders are up 5.87% in 2021, while systematic traders are +4.22%.
The SG Macro Trading Index weas also down in June, by 0.74%, but also remains up, by 3.61%, year-to-date. The SG Quantitative Macro Index was -0.59% for +2.94% year-to-date, while the Discretionary Macro Index was down 0.94%, but up 4.19% for the year. The SG Commodity Trading Index was +1.51% in June for +10.21% year-to-date.