Currency Traders a Rare Positive in Tough March for CTAs

Currency traders provided a rare note of positivity as the Barclay CTA Index declined in March, headlined by a stark divergence in performance by discretionary and systematic traders.

The headline index was -1.71% with just over 87% of funds reporting, with the Currency Traders Index rising 0.52% for +3.91% year-to-date, and the Crytpocurrency Traders Index, which rose 6.13% for +31.13% in 2023. Losses were seen by the Diversified Traders sub-index, which clearly wasn’t diversified enough, dropping -2.83%, erasing all gains for 2023 to date, as well as the agri and fin/metals indices.

Particularly notable was the divergence in performance between discretionary and systematic traders, however. The MPI Barclay Elite Systematic Traders Index was anything but in March, dropping 4.77% for the worst performance, with 100% of funds reporting. This pushes the sub-index into the red, at -3.64% year-to-date.

More broadly, the Systematic Traders Index fell by 2.37%, again this pushed it into negative territory for the year at -2.15%; but the Discretionary Traders index rose by 0.88%, for +0.96% year-to-date, suggesting these traders handled the choppy conditions witnessed in March, much better.

It was a tough month also for the BTOP50 Index, which seeks to replicate the overall composition of the managed futures industry with regard to trading style and overall market exposure. This fell by 4.86% in March, eradicating previous gains and bringing the year-to-date performance to -3.61%.

Elsewhere, things were even worse for constituents of the SG CTA Index, which fell 6.43% in March for a -5.2% year-to-date return. The strife of systematic traders was reinforced by the SG Trend Index, which dropped by 7.72%, bringing the year-to-date return to -7.3%.