Currency Traders Lead as CTAs Recovery in May

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.