Currency Traders Suffer as CTAs Eke Out Small Gains
Posted by Colin Lambert. Last updated: August 23, 2023
July was a tough month for currency traders at CTAs, with the strategy performing second worst only to crypto traders according to the latest data from BarclayHedge.
The Barclay CTA Index rose 0.2% in July with just over 88% of firms reporting results, this extends the fragile gain for the year to 0.73%.
The Currency Traders Index fell 1.16% in July, easily its worst performance of the year, however it remains second only to the Cryptocurrency Traders Index in year-to-date terms at +3.97%. The latter index fell 1.28% in July to be +25.6% year-to-date. As is often the case with the crypto index, in down months less firms report results, July is based upon returns from just 59.6% of funds in the basket.
July was a very good month for discretionary traders, who outperformed their systematic brethren. The Discretionary Traders Index was +1.32% – best performer of the month – while the Systematic Traders Index was flat. This means discretionary traders are now very slightly outperforming systematic year-to-date, returning 0.93% compared to 0.77%.
The MPI Barclay Elite Systematic Traders Index, which was constructed to capture the average return of the 20 largest systematic traders, fell 0.21% in July, but remains just in positive territory for the year at +0.27%.
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 had a small loss in July. The Index, which employs a top-down approach in selecting its constituents, is an estimated -0.12%, keeping it slightly in the red – largely thanks to a terrible March performance – by 0.38%.