Currency CTAs and their investors deserve each other, and that is not meant as a compliment. Consider two frequently cited indices of currency CTA (commodity trading advisor) performance from Stark and the Barclay Group. The former started at the end of December 1981; the latter began at the end of December 1986.

As do all indices, both of these currency trader performance measures have substantial survivor biases, which means they retain the results of the better-performing CTAs while jettisoning the results of the poorer-performing CTAs.

The performance of currency CTAs has been nothing short of horrendous.