Solid November for CTAs
Posted by Colin Lambert. Last updated: December 17, 2024
Market volatility brought some relief for CTAs in November, bringing to an end a period of mixed performance by the sector.
The Barclay CTA Index, created by BarclayHedge, was +0.92 with just over 80% of funds reporting in November, bringing year-to-date performance to +3.25%. Sub-index performance was led, unsurprisingly, by the Cryptocurrency Traders Index, which was up 34.11% (with 58% of firms reporting), driven by a more than 50% rise in the price of bitcoin over the month.
In the Fiat world, the Currency Traders Index was +0.25%, meaning the index is still best performer on the year at +6.92%, next best performer for 2024 is the Systematic Traders Index at +3.02% (+1.05% in November). The MPI Barclay Elite Systematic Traders Index is +2.87% for 2024, largely thanks to the +2.24% it recorded in November.
The Discretionary Traders Index had a more subdued month at +0.24%, bringing its year-to-date performance to +2.5%.
The BTOP50 Index, which seeks to replicate the overall composition of the managed futures industry with regard to trading style and overall market exposure, was an estimated +2.1% in November, bringing year-to-date performance to +3.47%.
