Currency Traders a Rare Positive in Tough Month for CTAs

Currency traders provided a rare beacon of positivity in a rough November for CTAs according to BarclayHedge, although all but cryptocurrency traders continue to have a very positive 2022.

The headline Barclay CTA Index was -1.67% in November with just over 85% of funds reporting results, taking the heat out of 2023 performance which now stands at +7.86% for the year.

All sub-indices were in negative territory expect for the Currency Traders Index at +0.67%, best performer of the month and now +10.5% year-to-date; and the Discretionary Traders Index, which eked out a 0.09% return and is +9.07% year-to-date. For 2023, the Barclays Elite Systematic Traders Index, which fell 3.81% in November, leads the way at +17.09%, followed by the Diversified Traders Index (-2.93% in November) at +10.67% and the aforementioned currency traders.

While discretionary traders did OK in November, their systematic brethren suffered, the Systematic Traders Index dropping 2.93% on the month, bringing year-to-date performance to +8.71%. It was another horrible month for the Cryptocurrency Traders Index, which fell 13.91% (and only 57% of funds have actually reported results), bringing year-to-date performance to -45.5%.

BarclayHedge’s BTOP50 Index, which seeks to replicate the overall composition of the managed futures industry with regard to trading style and overall market exposure, also struggled in November, losing 4.78%, only the second month it has been in negative territory since November 2021. This drags the year-to-date return back to a still very healthy +13.82%.

Poor CTA performance was confirmed by the SG CTA Index, which fell 5.1% in November, its worst monthly return of the year, however 2022 performance remains very strong at +20.23%. It was a similar picture with the SG Trend Index, which tracks trend followers – this fell 6% in November, but remains +27.6% up on the year.