Currency Traders Up Amidst Continued CTA Struggle

Another tough month for CTAs was dampened by a solid performance from currency managers and an expected good return from crypto traders as cryptocurrencies bounced back in May.

With just over 86% of funds reporting results, the Barclay CTA Index, constructed and managed by BarclayHedge, was -0.67% in May, dragging year-to-date performance down to -3.33%. Highlighting the difficulties CTAs are having in the current environment, unless performance picks up, the index is on track for its worst return since BarclayHedge started publishing the data in 1980.

As noted, the Currency Traders Index was a rare beacon of light in the sub-indices, rising 0.6% to climb back into the black for the year at just +0.2%. This means, along with the Discretionary Traders Index, it is one of only two sub-indices in the black as at end-May. The latter also had a tricky month at -0.06%, but remains +2.05% for the year, while once again it outperformed the Systematic Traders Index, which was -1.05%, for -5.1% on the year.

The struggles of systematic traders have been a theme of 2025 and the random volatility we have seen, this is reinforced by the MPI Barclay Elite Systematic Traders Index, which fell 1.67% in May, dragging year-to-date performance down to a sub-index worst of -8.13%.

What was previously the worst performing sub-index – cryptocurrency traders, bounced back with a +9.47% performance as crypto assets rose in May, however the index remains in negative territory for 2025 at -8.07%. Agri traders (+0.38% for flat on the year) and Fin/Met Traders (+0.25% for -1.62% year-to-date) also managed gains in May.

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 May, dropping an estimated 1.77%. This sends the Index to -4.91% for the year.

For the first time in a while, there was a small divergence between the BarclayHedge and SG Prime indices when it comes to systematic-versus-discretionary performance. In May, the SG Macro Trading Index was -0.05%, for +1.57% year-to-date. Within this, however, the Quantitative Index fell fractionally, by 0.01%, while the Discretionary Index fell 0.09%. Year-to-date, little has changed between the two indices, however, with discretionary macro traders easily outperforming their quant brethren at +3.22% year-to-date, compared to the latter’s -1.39%.