Currency Traders Buck Negative CTA Performance in June

Currency traders were the only sub-class to return a positive performance as CTAs in the Barclay CTA Index, managed by BarclayHedge, turned in their second successive monthly loss after a run of positive months.

The headline CTA Index was down 0.74% in June, bringing the year-to-date return to a still-healthy +4.19%, but while every other sub-category was in the red, the Currency Traders Index actually rose 0.22%, for a year-to-date return of +3.86%. Unusually, given the sustained bull run by crypto, June was a down month for the asset class, with the Cryptocurrency Traders Index giving up 7.17% for the month, meaning the year-to-date is still leading the sub-indices at +22.86%.

Systematic traders continue to outperform their discretionary peers, with the Barclay Systematic Traders Index falling 0.87% in June, while the Discretionary Index fell 1.03%. Year-to-date, they are +5.22% and +1.13% respectively. The MPI Barclay Elite Systematic Traders Index failed to live up to its name, falling 1.88% in June – only crypto was worse – although it remains +6.57% on the year.

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 struggled in June, dropping 1.69%. This takes the edge of what was a very strong start to the year, thanks mainly to performance in February and March, year-to-date the index is +7.03%.

Elsewhere, The SG Trend Index also suffered in June, falling 2.7% to +8.7% year-to-date. It was also a tough month for the SG Short-Term Traders Index, while fell 1.7%, dragging year-to-date returns down to +2.6%.

In contrast to the BarclayHedge indices, discretionary traders outperformed systematic in the SG Macro Index series – the headline Macro Index was -0.87% for +2.81% year-to-date, while the Quantitative sub-index was -0.98% (+3.78% year-to-date) and the Discretionary sub-index was -0.79% (+1.96%).