Currency Traders Shine Amidst CTA Struggle

Not for the first time in recent months, currency traders produced good returns in August amidst a wider struggle for CTAs as volatility swept markets, according to provisional data from BarclayHedge.

While the headline Barclay CTA Index was down 0.67%, the fourth consecutive monthly decline after a strong start to the year, the Currency Traders Index rose 1.57%, meaning it is now the top performing TradFi sub-sector. Year-to-date, the headline CTA Index remains in positive territory at +2.92%, while the Currency Traders Index is +5.57%.

Only the agri and discretionary traders’ indices produced positive returns in August, the latter eking out a 0.07% gain, for +2.37% year-to-date. With the Systematic Traders Index dropping 1.02% for a year-to-date return of +3.03%, the gap between the two sectors’ performance continues to narrow – at the end of June the latter was outperforming by 4%.

The MPI Barclay Elite Systematic Traders Index, which is constructed to capture the returns of the 20 largest systematic traders, fell sharply in August, dropping 2.51% to bring the 2024 return to +1.57%. The Crypto Traders Index also suffered, falling 9.52% as crypto prices suffered, the index remains +10.61% on the year, however.

The BTOP50 Index, which employs a top-down approach to replicate the overall composition of the managed futures industry with regard to trading style and overall market exposure, also suffered in August, dropping a provisional 2.66%, its worst return since November 2023. Year-to-date the BTOP50 is an estimated 2.94%.

Elsewhere, the SG Macro Index also fell, by 0.99%, bringing its 2024 return down to +2.47%, while the SG Quant Macro Trading Index dropped 1.26%, for +2.37% on the year, while the SG Discretionary Macro Index fell 0.76%. This means it now almost matches the Quant performance on a year-to-date basis, it is now at +2.34%.