Currency Traders Shine Again in Good Month for CTAs

While September was a good month more generally for CTAs, currency traders continued their stellar 2024 by leading the sub-indices in the Barclay CTA Index, compiled by BarclayHedge.

The overall index was +1.09%, with just around 85% of funds reporting, meaning year-to-date it is +4.01%. The Currency Traders Index, meanwhile, rose 1.66% in September, a performance only bettered by the always-entertaining Cryptocurrency Traders Index, which rose 6.1% as prices went up (for +17.4% year-to-date). In 2024, the Currency Traders Index is +7.4%, easily the best performing of the TradFi sub-indices – the Systematic Traders Index is second best performer at +4.15%.

The latter was +1.11% in September, slightly outperforming the Discretionary Traders Index, which rose 0.89%. This brings to an end a period of divergence between the two, although they are still closely aligned, with the Discretionary index being +3.17% year-to-date.

The MPI Barclay Elite Systematic Traders Index returned +1.27% in September, for +3.04% year-to-date. This Index is constructed to capture the returns of the 20 largest systematic traders.

The BTOP50 Index, which seeks to replicate the overall composition of the managed futures industry with regard to trading style and overall market exposure, was also up in September, by an estimated 1.24%. This brings an end to a run of four successive losing months (after four up months to start the year), meaning the year-to-date return is +4.37%.

Elsewhere, the SG Macro Trading Index from SG Prime Services, was up 1.56% in September, bring the year-to-date return to +4.22%, while SG saw a reverse in performance from discretionary and quantitative traders, the Quant sub-index was +0.41% in September (+2.79% on the year), while the discretionary sub-index was +2.49%, taking year-to date to +5.1%, the first time it has been in front in performance terms this year.