June a Good Month for CTAs: BarclayHedge
Posted by Colin Lambert. Last updated: July 24, 2023
June was a good month for CTAs with every sub-index in the Barclay CTA Index providing a positive return for the first time this year. The headline index, which is produced by BarclayHedge, provided a +0.95% return with over 84% of firms reporting results – this pushes the index into the black for the first time in 2023.
A positive month for crypto markets pushed the Cryptocurrency Traders index up by 2.65% in June – with 70% of firms reporting results, this means the sub-index is now up 27.8% on the year.
Currency traders continue to perform well, representing the second highest year-to-date return on the index – a 0.09% increase in June taking the 2023 performance to +5.19%, over 4% in front of the next best performer, Fin/Metals Traders (which rose 1.37% in June for +1.03% on the year).
Systematic traders again outperformed their discretionary brethren, the Systematic Traders index was +1.13% for +0.76% on the year, while the Discretionary Traders Index rose 0.72%, but remains just in the red for 2023 at -0.12%. The MPI Barclay Elite Systematic Traders Index was +1.49% in June, dragging itself into the black at +0.32% year-to-date.
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 good month, providing an estimated +1.4% return. This brings the year-to-date performance of the Index back towards flat, although it remains -0.2% year-to-date thanks mainly to a horrendous March.