Currency Traders at 18-Month High to Help CTAs to Good Month
Posted by Colin Lambert. Last updated: October 24, 2023
Currency traders were a key component in the strong performance from the Barclay CTA Index in September, with almost 90% of funds reporting the index is +1.07% for the month, bringing it to +1.36% on the year.
The Barclay Currency Traders Index rose 2.24% with over 93% of funds reporting results, its best monthly return since April 2022, when it returned 2.39%. This continues a second consecutive strong year for the sector, year-to-date the index is +7.21%, far in front of any other sub-index save for the crypto traders, while in 2022 it returned 8.98%.
September was a spectacular month for the highly volatile Cryptocurrency Traders Index, which rose 95.92% with just over 72% of funds reporting results – this sends the year-to-date return to 133% and it is likely to push even higher given the October surge in crypto prices.
Elsewhere, systematic traders outperformed discretionary – the Systematic Traders Index rose 1.3% in October for +1.41% on the year, while the Discretionary Traders Index managed just a 0.01% gain and is now underperforming systematic traders at +0.64% on the year.
The MPI Barclay Elite Systematic Traders Index was best performer outside of the crypto traders, at +2.99% for +3.26% year-to-date.
The BTOP50 Index, which seeks to replicate the overall composition of the managed futures industry with regard to trading style and overall market exposure, also had a good month, rising an estimated 3.11%. This brings the year-to-date performance of the index into the black for the first time since February, with a +2.68% return.
The BarclayHedge data reinforces an earlier report by SG, where the CTA Index rose 3.41% in September, also bringing the year-to-date performance back to the black at +1.8%. The SG Trend Index also performed well to hit positive territory, rising 3.4% on the month, for a year-to-date return of +0.95%, while the SG Short-Term Traders Index rose 1.5% in September, but continues to languish in negative territory at -1.8% year-to-date.