After a good 2003 (11.08 percent) and a so-so 2004 (2.36 percent), commodity trading advisors (CTAs) focusing on currencies are struggling to keep their heads above water, according to the Barclay Group (, which tracks CTA and hedge fund performance.

As of July 27 (with more than 98 percent of funds reporting), the Barclay Currency Trader Index was down .80 percent on the year. The index’s June return was up 1.65 percent.

However, currency traders were not necessarily underperforming other CTAs. Barclay’s overall CTA index was down 1.33 percent through June, and only three (Agricultural, Discretionary, and Financial/Metal) of its six sub-indices were in the black.

Traders and investors looking for more information about currency fund managers will now have a more timely tool at their disposal. In late July the Barclay Group launched a new forex barometer the BTOP FX Index (“Barclay Top 50%”), a “currency traders” index that provides daily net rates of return for the largest currency managers.

The Barclay Group updates the BTOP FX Index daily, posting the previous day’s data on its Web site by 10:30 a.m. CT. (Daily returns since the beginning of 2005 can be downloaded in Excel format.)

In the company’s press release, Barclay’s president Sol Waksman pointed to the continued growth and importance of currency trading in the decision to launch the new index, which complements the firm’s existing Currency Traders Index and tracks monthly returns in the currency sector.

“Given its size and given the increased interest in overlay strategies among institutional investors, the global currency markets are an area of opportunity for investors seeking to diversify their risk exposures and sources of alpha,” Waksman says. “We believe the Barclay BTOP FX Index will increase transparency in this fertile investment arena.”

The release also states the BTOP FX Index is designed to “replicate the overall composition of the currency sector of the managed futures industry,” including trading style and market exposure. Historical returns for the BTOP FX have a correlation of 0.87 with the Barclay Currency Traders Index, although the new index has a couple of unique characteristics. “The BTOP FX will allow us to publish daily rates of return on a timely basis,” Waksman says. “Also, this index is potentially investable. Neither of these two possibilities were available with the Barclay Currency Traders Index.”

According to Barclay’s, the BTOP FX Index includes the largest (as measured by assets under management) investable currency trading programs. In each calendar year the index’s currency trading programs will represent “no less than 50 percent of the investable assets of the Barclay Currency Traders Universe.” Participating programs can trade either currency futures or spot forex.

The BTOP FX index daily rate of return on July 26 was +.52 percent, while the July month-to-date return was -.13 percent and the 2005 year-to-date return was +.57 percent — a figure that stood in contrast to the larger Currency Traders Index YTD return of -.80.