Currency Traders Up, But CTAs Down in October

The latest data from BarclayHedge indicates that CTAs continued to struggle to make headway in October, although currency traders managed to eke out another gain to remain the outstanding TradFi strategy of 2023.

The Currency Traders Index was +0.53% in October, bringing the year-to-date return to +7.78% – this against a backdrop of the wider Barclay CTA Index dropping 0.61% to be just +0.76% on the year. The only sub-index to outperform currency traders was the notoriously volatile Cryptocurrency Traders Index, which rose 14.63% as crypto markets had another good bull run. Year-to-date, the crypto index is +37.25%.

Discretionary traders outperformed their systematic brethren to regain the lead in their private battle for supremacy in 2024, although neither is exactly surging. The Discretionary Traders Index rose 0.29% in October for +0.97% on the year – the fourth best performer – while the Systematic Traders Index fell 0.7% for +0.7% year-to-date. The MPI Barclay Elite Systematic Traders Index also fell, by 1.05%, in October, but remains the third best sub-index at +2.15% on the year.

The BTOP50 Index, which employs a top-down approach in selecting its constituents and seeks to replicate the overall composition of the managed futures industry with regard to trading style and overall market exposure, also struggled in October, falling 0.68%. Year-to-date, the index is +2.0%.

Earlier this month, the tough month for the CTA strategy was highlighted by the SG CTA Index falling more than 1% – it too remains just in positive territory at +0.75%.