Currency Traders Lead as CTAs Recovery in May
Posted by Colin Lambert. Last updated: June 22, 2023
CTAs regained some lost ground in May, led by currency traders who had another strong month, according to BarclayHedge. The headline Barclay CTA Index was +0.44% with 87.11% of funds reporting results, this brings the year-to-date performance of CTAs in the index to -0.49%.
The Currency Traders Index was +1.7% in May, bringing the year-to-date performance to +5.09%. This means currency traders are one of only two sub-indices in the black as at the end of May, the other is the volatile Cryptocurrency Traders Index, which was -3.92% in May but remains solidly in the black for the year at +24.63%.
Discretionary traders had another tough month, with the sub-index -1.2% on the month, pushing the year-to-date performance into the red also, at -0.74%. It was a better month for systematic traders, however, with that sub-index rising 0.86% to trim the year-to-date deficit to -0.42%.
The MPI Barclay Elite Systematic Traders Index also had a good month, rising 1.21%, however it remains in the red for 2023 at -1.31%.
The BTOP50 Index, which seeks to replicate the overall composition of the managed futures industry with regard to trading style and overall market exposure, rose 0.46% in May. Year-to-date, the index continues to recover from an awful March, where it dropped 4.95%, but remains -1.07%.
It was also a better month for the SG CTA Index, which ended May +2.01%, again however, the index is recovering from a rocky start to the year, and remains in negative territory at -1.3%.
It was a similar picture for trend followers, with the SG Trend Index rising 2.9% on the month, however, again it remains under water at -1.9% year-to-date.