Currency Traders Boost CTA Index, but Crypto Lets the Air Out

The Currency Traders Index was the best performing sub-index in the Barclay CTA Index for the second month in a row, but unlike in February when the Cryptocurrency Traders Index also went well, March was a nightmare, it being one of only two to see negatives returns

The overall Barclay CTA Index was +2.04% in March, for a year-to-date return of +1.98%. Six of the eight sub-indices were in positive territory, led by currency traders at +3.42% . Other good performances were from the Diversified Traders Index at +2.71% and Systematic Trader Index at +2.78%.

While the MPI Barclay Elite Systematic Traders Index did not live up to its billing in losing 2.09% in March (for -3.75% year-to-date) the real horror show was cryptocurrency trades at -8.93%. While this data may put a dent in the argument that crypto is a good diversifier from mainstream markets, it should be noted that the strategy remains the best performing year-to-date at +7.62%, closely followed now by currency traders at +7.04%.

The BTOP50 Index, which seeks to replicate the overall composition of the managed futures industry with regard to trading style and overall market exposure and which employs a top-down approach in selecting its constituents, fell 1.14% in March for -2.63% year-to-date. This index includes the largest investable trading advisor programmes, as measured by assets under management and in each calendar year the selected funds represent, in aggregate, no less than 50% of the investable assets of the Barclay CTA universe.

Hedge Funds Lose Out

It was a quite different story for hedge funds in March, however, with the Barclay Hedge Fund Index falling 7.88% for -10.69% year-to-date and only three of the 30 sub-indices creating positive returns (one strategy was flat on the month).

Unsurprisingly, the Volatility Trading Index had a stellar month, rising 19.25% amidst the mayhem in the market, this also dragged the index into the black for the year and it is best performer at +19.17%. Second best performer was Options Strategies Index at +7.36%, that brings the index into positive territory for the year at 3.76%. Those two strategies, thanks to one good month, are the only ones in positive territory year-to-date. The Equity Market Neutral Index rose 0.69% in March, but is still down on the year and the Emerging Markets Fixed Income Index return was precisely 0.0% – again though it is negative for the year.

Ten of the sub-indices were down double digits, with Emerging Markets Latin American Equities “leading” the way at -22.44%. That index is worst performer year-to-date at -28.55% although 18 sub-indices in total are down double digits with Emerging Markets Global Equities (-25.38%) and Emerging Markets Latin American Index (-24.22%) particularly suffering.

Colin Lambert

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