Currency Traders Up as CTAs Dip in November
Posted by Colin Lambert. Last updated: December 16, 2021
Confirming that November was a tough month for investors, the Barclay CTA Index, managed by BarclayHedge, fell 1.2%, it remains, however, a healthy 5.1% up year-to-date.
Only two sub-indices managed gains, with the Currency Traders Index again perhaps highlighting the diversification benefits of FX, with a 0.96% gain on the month. Only the Agricultural Traders Index managed to join Currency in positive territory, rising 0.46%. Year-to-date, currency traders continue to lag the broader index, being up 2.02%.
There was a rare down month for cryptocurrency traders, with the sub-index falling 2.3% on the month, it remains the small matter of 157.38% up year-to-date. Elsewhere, the MPI Barclay Elite Systematic Traders Index fell 2.81%, the worst performance for the month, however it remains second best year-to-date behind crypto traders at +9.58%
Discretionary traders managed to slightly out-perform their systematic peers, the former index dropped 1.32%, while the latter was down 1.36%. Year-to-date, the Discretionary Traders Index is +8.13%, while the Systematic Traders Index is up 4.02%.
The BTOP50 Index, which seeks to replicate the overall composition of the managed futures industry with regard to trading style and overall market exposure, had only its third down month of what has been a decent year, falling 2.12%. Year-to-date the index remains up 9.08%.