Currency Traders Shine in Downbeat CTA Performance

Currency traders were the only positive note for CTAs in August, according to the latest data from BarclayHedge, which shows the segment performing well amidst a generally downbeat month.

The overall Barclay CTA Index was -0.37%, with just over 87% of funds in the programme reporting results, this erodes year-to-date performance, but it remains just in positive territory at +0.31%. The results are largely in line with those reported earlier by SG.

Agricultural traders managed a 0.1% return on the month, but it was the Currency Traders index that stood out, providing a +1.19% return, with 90% of firms reporting results. Year-to-date, currency traders are +4.95%, a return only beaten by the notoriously volatile Cryptocurrency Traders Index which is +18.75% in 2023, in spite of a -5.55% return in August – the worst performing sub-sector for the month.

Discretionary traders maintained their outperformance compared to systematic traders, although it is relative given both lost money in August. The Discretionary Traders Index was -0.2% in August (for +0.72% year-to-date), while the Systematic Traders Index was -0.57% (+0.12%).

The MPI Barclay Elite Systematic Traders Index also struggled a little, returning -0.23% in August to just keep its head above water for 2023, at +0.1%.

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 August, dropping an estimated 0.43%, bringing the year-to-date return for the Index to an estimated -0.21%.